Financial Report for Galaxy Plus Fund – Welton Master Fund (538) LLC | F-170
INDEX TO GALAXY PLUS FUND FINANCIAL STATEMENTS (3) | (1) | These financial statements represent the consolidated financial statements of the Series of the Trust. |
| (2) | The Trust holds a majority of the equity interests in the various Trading Companies, which are the trading vehicles established for the various Series of Units of the Trust. In the financial statements of the Trust, Trading Companies in which a Series has a majority equity interest are consolidated by such Series, and investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method of accounting, which approximates fair value and are carried in the statement of financial condition of such Series at fair value. In addition, financial statements of each of the unconsolidated Trading Companies are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. . Inclusion of these financial statements may or may not be required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of each consolidated Trading Company of the Trust are also included in the interest of providing a more complete presentation. |
| (3) | Financial statements of each of the Galaxy Plus entities are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Inclusion of these financial statements may or may not be required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of the Galaxy Plus entities are also included in the interest of providing a more complete presentation. |
(3) | Financial statements of each of the Galaxy Plus entities are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Inclusion of these financial statements may or may not be required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of the Galaxy Plus entities are also included in the interest of providing a more complete presentation. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Unitholders and the Executive Committee of Frontier Funds
Opinions on the Financial Statements
We have audited the accompanying statements of financial condition of Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, Frontier Heritage Fund (collectively the “Series”) as of December 31, 2019, including the schedule of investments as of December 31, 2019, and the related statements of operations, changes in owners’ capital and cash flows for the year then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Series as of December 31, 2019, and the results of its operations and its cash flows for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on the Series’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
/s/ Spicer Jeffries LLP
We have served as auditor of the Frontier Funds Trust since 2019.
Denver, Colorado
March 30, 2020
The Series of Frontier Funds
Statements of Financial Condition
December 31, 2019 and December 31, 2018
Frontier Balanced Fund | | | | | | | | | | | | | | | | | | | | | Frontier | | | Frontier | | | Frontier | | | | Diversified Fund | | | Masters Fund | | | Long/Short Commodity Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents | | $ | 56,263 | | | $ | 472,695 | | | $ | 25,639 | | | $ | 46,374 | | | $ | 34,272 | | | $ | 61,600 | | U.S. Treasury securities, at fair value | | | 99,605 | | | | 1,553,261 | | | | 45,391 | | | | 152,384 | | | | 60,673 | | | | 202,415 | | | | | | | | | | | | | | | | | | | | | | | | | | | Incentive fee receivable | | | - | | | | 17,277 | | | | - | | | | - | | | | - | | | | 60,871 | | Swap contracts, at fair value | | | 6,384,583 | | | | 5,920,414 | | | | - | | | | - | | | | 362,521 | | | | 479,102 | | Investments in private investment companies, at fair value | | | 9,305,733 | | | | 11,084,463 | | | | 2,198,997 | | | | 4,661,327 | | | | 986,757 | | | | 1,729,241 | | Investments in unconsolidated trading companies, at fair value | | | 24,150 | | | | 1,160,910 | | | | 11,005 | | | | 775,088 | | | | 14,711 | | | | 28,163 | | Interest receivable | | | 2,027 | | | | 32,017 | | | | 924 | | | | 3,141 | | | | 1,296 | | | | 4,172 | | Receivable from related parties | | | 11,453 | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemptions receivable from private investment companies | | | 171,906 | | | | - | | | | - | | | | - | | | | - | | | | - | | Other assets | | | 5,700 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 16,061,420 | | | $ | 20,241,037 | | | $ | 2,281,956 | | | $ | 5,638,314 | | | $ | 1,460,230 | | | $ | 2,565,564 | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | Redemptions payable | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | 6,585 | | | $ | - | | Incentive fees payable to Managing Owner | | | - | | | | 10,897 | | | | - | | | | - | | | | - | | | | - | | Management fees payable to Managing Owner | | | - | | | | 3,875 | | | | - | | | | 8,347 | | | | - | | | | - | | Interest payable to Managing Owner | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Service fees payable to Managing Owner | | | 3,392 | | | | 4,498 | | | | 204 | | | | 1,750 | | | | - | | | | 51 | | Trading fees payable to Managing Owner | | | 35,877 | | | | 44,827 | | | | 11,673 | | | | 27,984 | | | | 3,468 | | | | 5,306 | | Advance on unrealized swap appreciation | | | 4,000,000 | | | | 4,000,000 | | | | - | | | | - | | | | 115,000 | | | | 115,000 | | Subscriptions in advance for service fee rebates | | | 22,531 | | | | 20,430 | | | | 31,541 | | | | 28,100 | | | | 220 | | | | - | | Other liabilities | | | - | | | | - | | | | 499 | | | | - | | | | 667 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 4,061,800 | | | | 4,084,527 | | | | 43,917 | | | | 66,181 | | | | 125,940 | | | | 120,357 | | | | | | | | | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 3,023 | | | | 3,005 | | | | 13,043 | | | | 51,365 | | | | 4,530 | | | | 5,998 | | Managing Owner - Class 2a | | | - | | | | - | | | | - | | | | - | | | | 7,861 | | | | 20,484 | | Managing Owner - Class 3 | | | 115,933 | | | | 172,426 | | | | 9,228 | | | | 20,019 | | | | - | | | | - | | Managing Owner - Class 3a | | | - | | | | - | | | | - | | | | - | | | | 993 | | | | 1,253 | | Limited Owner - Class 1 | | | 1,303,195 | | | | 1,703,556 | | | | 12,794 | | | | 1,484,478 | | | | - | | | | - | | Limited Owner - Class 1a | | | - | | | | - | | | | - | | | | - | | | | 11,447 | | | | 20,051 | | Limited Owner - Class 2 | | | 5,597,828 | | | | 7,669,749 | | | | 837,765 | | | | 1,241,610 | | | | 36,515 | | | | 78,098 | | Limited Owner - Class 2a | | | - | | | | - | | | | - | | | | - | | | | 73,965 | | | | 165,985 | | Limited Owner - Class 3 | | | 4,979,641 | | | | 6,607,774 | | | | 1,365,209 | | | | 2,774,661 | | | | 991,828 | | | | 1,791,417 | | Limited Owner - Class 3a | | | - | | | | - | | | | - | | | | - | | | | 207,151 | | | | 361,921 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 11,999,620 | | | | 16,156,510 | | | | 2,238,039 | | | | 5,572,133 | | | | 1,334,290 | | | | 2,445,207 | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Capital | | | 11,999,620 | | | | 16,156,510 | | | | 2,238,039 | | | | 5,572,133 | | | | 1,334,290 | | | | 2,445,207 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 16,061,420 | | | $ | 20,241,037 | | | $ | 2,281,956 | | | $ | 5,638,314 | | | $ | 1,460,230 | | | $ | 2,565,564 | | | | | | | | | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | | 12,890 | | | | 16,661 | | | | 177 | | | | 16,296 | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 259 | | | | 353 | | Class 2 | | | 46,067 | | | | 63,494 | | | | 9,759 | | | | 12,008 | | | | 503 | | | | 851 | | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,557 | | | | 2,803 | | Class 3 | | | 44,853 | | | | 60,202 | | | | 16,806 | | | | 27,734 | | | | 11,581 | | | | 17,282 | | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 3,763 | | | | 5,201 | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | 101.10 | | | $ | 102.25 | | | $ | 72.28 | | | $ | 91.10 | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 44.20 | | | $ | 56.80 | | Class 2 | | $ | 121.58 | | | $ | 120.84 | | | $ | 87.18 | | | $ | 107.68 | | | $ | 81.60 | | | $ | 98.82 | | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 52.55 | | | $ | 66.52 | | Class 3 | | $ | 113.61 | | | $ | 112.62 | | | $ | 81.78 | | | $ | 100.77 | | | $ | 85.64 | | | $ | 103.66 | | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 55.31 | | | $ | 69.83 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Financial Condition
December 31, 2019 and December 31, 2018
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | ASSETS | | | | | | | | | | | | | Cash and cash equivalents | | $ | 118,506 | | | $ | 37,556 | | | $ | 61,345 | | | $ | 25,072 | | U.S. Treasury securities, at fair value | | | 209,799 | | | | 123,409 | | | | 108,603 | | | | 82,386 | | Open trade equity, at fair value | | | 116,184 | | | | 220,659 | | | | - | | | | - | | Receivable from futures commission merchants | | | 2,526,242 | | | | 2,683,299 | | | | - | | | | - | | Swap contracts, at fair value | | | 11,944,753 | | | | 10,794,908 | | | | - | | | | - | | Investments in private investment companies, at fair value | | | 13,809,892 | | | | 22,854,326 | | | | 2,184,240 | | | | 3,252,075 | | Investments in unconsolidated trading companies, at fair value | | | 50,867 | | | | 1,744,999 | | | | 505,355 | | | | 523,180 | | Interest receivable | | | 4,270 | | | | 2,544 | | | | 2,268 | | | | 1,698 | | Redemptions receivable from private investment companies | | | 380,111 | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 29,160,624 | | | $ | 38,461,700 | | | $ | 2,861,811 | | | $ | 3,884,411 | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | Redemptions payable | | $ | 39,059 | | | $ | 23,759 | | | $ | 6,875 | | | $ | - | | Management fees payable to Managing Owner | | | 8,795 | | | | 13,917 | | | | - | | | | - | | Interest payable to Managing Owner | | | 105 | | | | 1,490 | | | | - | | | | - | | Service fees payable to Managing Owner | | | 41,635 | | | | 56,791 | | | | 6,906 | | | | 8,575 | | Trading fees payable to Managing Owner | | | 70,179 | | | | 101,770 | | | | 6,000 | | | | 7,812 | | Risk analysis fees payable | | | 8,465 | | | | 9,127 | | | | - | | | | - | | Advance on unrealized swap appreciation | | | 6,176,555 | | | | 6,176,555 | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 319,698 | | | | 258,194 | | | | 16,895 | | | | 11,162 | | Other liabilities | | | 2,372 | | | | - | | | | 8,509 | | | | - | | | | | | | | | | | | | | | | | | | Total Liabilities | | $ | 6,666,863 | | | $ | 6,641,603 | | | $ | 45,185 | | | $ | 27,549 | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 73,748 | | | | 125,021 | | | | 29,831 | | | | 46,368 | | Managing Owner - Class 2a | | | 151,133 | | | | 251,097 | | | | - | | | | - | | Limited Owner - Class 1 | | | 17,797,600 | | | | 25,703,922 | | | | 2,715,051 | | | | 3,709,130 | | Limited Owner - Class 1AP | | | 238,544 | | | | 355,112 | | | | 10,834 | | | | 1,897 | | Limited Owner - Class 2 | | | 3,288,105 | | | | 4,403,354 | | | | 60,910 | | | | 99,467 | | Limited Owner - Class 2a | | | 44,048 | | | | 88,076 | | | | - | | | | - | | Limited Owner - Class 3a | | | 900,583 | | | | 893,515 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 22,493,761 | | | | 31,820,097 | | | | 2,816,626 | | | | 3,856,862 | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Capital | | | 22,493,761 | | | | 31,820,097 | | | | 2,816,626 | | | | 3,856,862 | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 29,160,624 | | | $ | 38,461,700 | | | $ | 2,861,811 | | | $ | 3,884,411 | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | Class 1 | | | 151,814 | | | | 218,514 | | | | 40,793 | | | | 51,939 | | Class 1AP | | | 1,731 | | | | 2,647 | | | | 138 | | | | 23 | | Class 2 | | | 18,092 | | | | 25,027 | | | | 873 | | | | 1,348 | | Class 2a | | | 1,212 | | | | 2,163 | | | | N/A | | | | N/A | | Class 3a | | | 5,611 | | | | 5,718 | | | | N/A | | | | N/A | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | Class 1 | | $ | 117.23 | | | $ | 117.63 | | | $ | 66.56 | | | $ | 71.41 | | Class 1AP | | $ | 137.81 | | | $ | 134.16 | | | $ | 78.51 | | | $ | 82.48 | | Class 2 | | $ | 185.82 | | | $ | 180.94 | | | $ | 103.94 | | | $ | 108.18 | | Class 2a | | $ | 161.04 | | | $ | 156.81 | | | | N/A | | | | N/A | | Class 3a | | $ | 160.50 | | | $ | 156.26 | | | | N/A | | | | N/A | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Financial Condition
December 31, 2019 and December 31, 2018
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | ASSETS | | | | | | | | | | | | | Cash and cash equivalents | | $ | 27,532 | | | $ | 951,485 | | | $ | 44,011 | | | $ | 135,096 | | U.S. Treasury securities, at fair value | | | 48,741 | | | | 3,126,551 | | | | 77,916 | | | | 443,921 | | Incentive fee receivable | | | - | | | | - | | | | - | | | | 697 | | Swap contracts, at fair value | | | - | | | | - | | | | 2,888,008 | | | | 2,955,444 | | Investments in private investment companies, at fair value | | | 5,022,967 | | | | - | | | | 2,259,678 | | | | 2,167,879 | | Investments in unconsolidated trading companies, at fair value | | | 11,818 | | | | 4,292,075 | | | | 18,891 | | | | 726,686 | | Interest receivable | | | 992 | | | | 64,446 | | | | 1,586 | | | | 9,150 | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 5,112,050 | | | $ | 8,434,557 | | | $ | 5,290,090 | | | $ | 6,438,873 | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemptions payable | | $ | 71,379 | | | $ | - | | | $ | 9,735 | | | $ | - | | Management fees payable to Managing Owner | | | - | | | | 42,705 | | | | - | | | | 9,201 | | Interest payable to Managing Owner | | | 56 | | | | 8,124 | | | | 166 | | | | 1,238 | | Service fees payable to Managing Owner | | | 11,263 | | | | 17,803 | | | | 5,362 | | | | 6,684 | | Trading fees payable to Managing Owner | | | 22,540 | | | | 24,353 | | | | 11,170 | | | | 10,189 | | Advance on unrealized swap appreciation | | | - | | | | - | | | | 1,900,000 | | | | 1,900,000 | | Subscriptions in advance for service fee rebates | | | 150,025 | | | | 133,281 | | | | 57,132 | | | | 46,159 | | Other liabilities | | | 8,543 | | | | - | | | | 1,488 | | | | - | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 263,806 | | | | 226,266 | | | | 1,985,053 | | | | 1,973,471 | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 50,058 | | | | 107,598 | | | | 28,593 | | | | 46,961 | | Limited Owner - Class 1 | | | 4,471,980 | | | | 7,755,444 | | | | 2,295,623 | | | | 3,331,725 | | Limited Owner - Class 1AP | | | 33,047 | | | | 32,082 | | | | 8,333 | | | | 1,006 | | Limited Owner - Class 2 | | | 293,159 | | | | 313,167 | | | | 493,464 | | | | 573,992 | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 4,848,244 | | | | 8,208,291 | | | | 2,826,013 | | | | 3,953,684 | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | 479,024 | | | | 511,718 | | | | | | | | | | | | | | | | | | | Total Capital | | | 4,848,244 | | | | 8,208,291 | | | | 3,305,037 | | | | 4,465,402 | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 5,112,050 | | | $ | 8,434,557 | | | $ | 5,290,090 | | | $ | 6,438,873 | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | Class 1 | | | 34,003 | | | | 58,946 | | | | 23,536 | | | | 33,374 | | Class 1AP | | | 214 | | | | 214 | | | | 73 | | | | 9 | | Class 2 | | | 1,780 | | | | 2,248 | | | | 3,399 | | | | 4,071 | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | Class 1 | | $ | 131.52 | | | $ | 131.57 | | | $ | 97.54 | | | $ | 99.83 | | Class 1AP | | $ | 154.43 | | | $ | 149.92 | | | $ | 114.15 | | | $ | 111.78 | | Class 2 | | $ | 192.82 | | | $ | 187.17 | | | $ | 153.59 | | | $ | 152.53 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2019
| | | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | SWAPS (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXV Diversified select swap (U.S.) | | $ | 6,384,583 | | | | 53.21 | % | | $ | - | | | | - | | | $ | - | | | | - | | | | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | - | | | | - | | | | - | | | | 362,521 | | | | 27.17 | % | | | Total Swaps | | $ | 6,384,583 | | | | 53.21 | % | | $ | - | | | | - | | | $ | 362,521 | | | | 27.17 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 494,968 | | | | 4.12 | % | | $ | 210,013 | | | | 9.38 | % | | $ | 111,013 | | | | 8.32 | % | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,267,090 | | | | 10.56 | % | | | - | | | | - | | | | - | | | | - | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 2,031,482 | | | | 16.93 | % | | | - | | | | - | | | | - | | | | - | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 1,460,173 | | | | 12.17 | % | | | - | | | | - | | | | - | | | | - | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 499,551 | | | | 4.16 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 1,827,263 | | | | 15.23 | % | | | 1,049,575 | | | | 46.90 | % | | | - | | | | - | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 1,549,720 | | | | 12.91 | % | | | 466,988 | | | | 20.87 | % | | | 343,834 | | | | 25.77 | % | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 472,421 | | | | 21.11 | % | | | - | | | | 0.00 | % | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 175,486 | | | | 1.46 | % | | | - | | | | 0.00 | % | | | 531,910 | | | | 39.86 | % | | | Total Private Investment Companies | | $ | 9,305,733 | | | | 77.54 | % | | $ | 2,198,997 | | | | 98.26 | % | | $ | 986,757 | | | | 73.95 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 24,150 | | | | 0.20 | % | | $ | 11,005 | | | | 0.49 | % | | $ | 14,711 | | | | 1.10 | % | | | Total Investment in Unconsolidated Trading Companies | | $ | 24,150 | | | | 0.20 | % | | $ | 11,005 | | | | 0.49 | % | | $ | 14,711 | | | | 1.10 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | Fair Value | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 99,605 | | | | 0.83 | % | | $ | 45,391 | | | | 2.03 | % | | $ | 60,673 | | | | 4.55 | % | | | | | $ | 99,605 | | | | 0.83 | % | | $ | 45,391 | | | | 2.03 | % | | $ | 60,673 | | | | 4.55 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | Face Value | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 78,065 | | | | | | | $ | 35,575 | | | | | | | $ | 47,552 | | | | | | | | | | $ | 78,065 | | | | | | | $ | 35,575 | | | | | | | $ | 47,552 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | Cost | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 99,804 | | | | | | | $ | 45,482 | | | | | | | $ | 60,794 | | | | | | | | | | $ | 99,804 | | | | | | | $ | 45,482 | | | | | | | $ | 60,794 | | | | | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Unitholders and the Executive Committee of Frontier Funds Opinions on the Financial Statements We have audited the accompanying statements of financial condition of Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, Frontier Heritage Fund (collectively the “Series”) as of December 31, 2020 and 2019, including the schedule of investments as of December 31, 2020 and 2019, and the related statements of operations, changes in owners’ capital and cash flows for each of the years the ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Series as of December 31, 2020 and 2019, and the results of its operations and its cash flows for the year then ended, in conformity with accounting principles generally accepted in the United States of America. Basis for Opinion These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on the Series’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Series is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion. Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. /s/ Spicer Jeffries LLP We have served as auditor of the Frontier Funds Trust since 2019. Denver, Colorado March 31, 2021
The Series of Frontier Funds Statements of Financial Condition December 31, 2020 and December 31, 2019 | | Frontier | | | Frontier | | | Frontier | | | | Diversified Fund | | | Masters Fund | | | Long/Short Commodity Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | ASSETS | | | | | | | | | | | | | | | | | | | Cash and cash equivalents | | $ | 87,715 | | | $ | 56,263 | | | $ | 4,771 | | | $ | 25,639 | | | $ | 93,327 | | | $ | 34,272 | | U.S. Treasury securities, at fair value | | | 427,393 | | | | 99,605 | | | | 23,245 | | | | 45,391 | | | | 454,738 | | | | 60,673 | | Swap contracts, at fair value | | | - | | | | 6,384,583 | | | | - | | | | - | | | | - | | | | 362,521 | | Investments in private investment companies, at fair value | | | 3,644,603 | | | | 9,305,733 | | | | 1,014,591 | | | | 2,198,997 | | | | 738,053 | | | | 986,757 | | Investments in unconsolidated trading companies, at fair value | | | 16,669 | | | | 24,150 | | | | 907 | | | | 11,005 | | | | 17,736 | | | | 14,711 | | Interest receivable | | | 8,534 | | | | 2,027 | | | | 464 | | | | 924 | | | | 9,080 | | | | 1,296 | | Receivable from related parties | | | 4,892 | | | | 11,453 | | | | 266 | | | | - | | | | 5,205 | | | | - | | Redemptions receivable from private investment companies | | | 31,886 | | | | 171,906 | | | | 24,837 | | | | - | | | | 1,251 | | | | - | | Other assets | | | - | | | | 5,700 | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 4,221,692 | | | $ | 16,061,420 | | | $ | 1,069,081 | | | $ | 2,281,956 | | | $ | 1,319,390 | | | $ | 1,460,230 | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | Interest payable to Managing Owner | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | 87 | | | $ | - | | Redemptions payable | | | - | | | | - | | | | 38,128 | | | | - | | | | - | | | | 6,585 | | Service fees payable to Managing Owner | | | 385 | | | | 3,392 | | | | 70 | | | | 204 | | | | 18 | | | | - | | Trading fees payable to Managing Owner | | | 12,576 | | | | 35,877 | | | | 5,460 | | | | 11,673 | | | | 2,281 | | | | 3,468 | | Advance on unrealized swap appreciation | | | - | | | | 4,000,000 | | | | - | | | | - | | | | - | | | | 115,000 | | Subscriptions in advance for service fee rebates | | | 22,650 | | | | 22,531 | | | | 31,725 | | | | 31,541 | | | | 393 | | | | 220 | | Other liabilities | | | 3,110 | | | | - | | | | 171 | | | | 499 | | | | 3,308 | | | | 667 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 38,721 | | | | 4,061,800 | | | | 75,554 | | | | 43,917 | | | | 6,087 | | | | 125,940 | | | | | | | | | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 2,212 | | | | 3,023 | | | | 6,265 | | | | 13,043 | | | | 3,939 | | | | 4,530 | | Managing Owner - Class 2a | | | - | | | | - | | | | - | | | | - | | | | 8,274 | | | | 7,861 | | Managing Owner - Class 3 | | | 54,405 | | | | 115,933 | | | | 7,167 | | | | 9,228 | | | | - | | | | - | | Managing Owner - Class 3a | | | - | | | | - | | | | - | | | | - | | | | 1,048 | | | | 993 | | Limited Owner - Class 1 | | | 154,260 | | | | 1,303,195 | | | | 9,740 | | | | 12,794 | | | | - | | | | - | | Limited Owner - Class 1a | | | - | | | | - | | | | - | | | | - | | | | - | | | | 11,447 | | Limited Owner - Class 2 | | | 464,012 | | | | 5,597,828 | | | | 257,673 | | | | 837,765 | | | | 30,334 | | | | 36,515 | | Limited Owner - Class 2a | | | - | | | | - | | | | - | | | | - | | | | 76,583 | | | | 73,965 | | Limited Owner - Class 3 | | | 3,508,082 | | | | 4,979,641 | | | | 712,682 | | | | 1,365,209 | | | | 976,771 | | | | 991,828 | | Limited Owner - Class 3a | | | - | | | | - | | | | - | | | | - | | | | 216,354 | | | | 207,151 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 4,182,971 | | | | 11,999,620 | | | | 993,527 | | | | 2,238,039 | | | | 1,313,303 | | | | 1,334,290 | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Capital | | | 4,182,971 | | | | 11,999,620 | | | | 993,527 | | | | 2,238,039 | | | | 1,313,303 | | | | 1,334,290 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 4,221,692 | | | $ | 16,061,420 | | | $ | 1,069,081 | | | $ | 2,281,956 | | | $ | 1,319,390 | | | $ | 1,460,230 | | | | | | | | | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | | 2,122 | | | | 12,890 | | | | 177 | | | | 177 | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 259 | | Class 2 | | | 5,241 | | | | 46,067 | | | | 3,908 | | | | 9,759 | | | | 399 | | | | 503 | | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,535 | | | | 1,557 | | Class 3 | | | 42,754 | | | | 44,853 | | | | 11,333 | | | | 16,806 | | | | 10,828 | | | | 11,581 | | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 3,725 | | | | 3,763 | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | 72.68 | | | $ | 101.10 | | | $ | 55.18 | | | $ | 72.28 | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 44.20 | | Class 2 | | $ | 88.95 | | | $ | 121.58 | | | $ | 67.54 | | | $ | 87.18 | | | $ | 85.99 | | | $ | 81.60 | | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 55.29 | | | $ | 52.55 | | Class 3 | | $ | 83.33 | | | $ | 113.61 | | | $ | 63.52 | | | $ | 81.78 | | | $ | 90.21 | | | $ | 85.64 | | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 58.37 | | | $ | 55.31 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Financial Condition December 31, 2020 and December 31, 2019 | | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | ASSETS | | | | | | | | | | | | | Cash and cash equivalents | | $ | 261,803 | | | $ | 118,506 | | | $ | - | | | $ | 61,345 | | U.S. Treasury securities, at fair value | | | 1,275,641 | | | | 209,799 | | | | - | | | | 108,603 | | Open trade equity, at fair value | | | 100,440 | | | | 116,184 | | | | - | | | | - | | Receivable from futures commission merchants | | | 233,973 | | | | 2,526,242 | | | | - | | | | - | | Swap contracts, at fair value | | | - | | | | 11,944,753 | | | | - | | | | - | | Investments in private investment companies, at fair value | | | 10,528,252 | | | | 13,809,892 | | | | 1,638,665 | | | | 2,184,240 | | Investments in unconsolidated trading companies, at fair value | | | 49,755 | | | | 50,867 | | | | - | | | | 505,355 | | Interest receivable | | | 25,471 | | | | 4,270 | | | | - | | | | 2,268 | | Receivable from related parties | | | 14,602 | | | | - | | | | - | | | | - | | Redemptions receivable from private investment companies | | | 55,473 | | | | 380,111 | | | | 67,876 | | | | - | | Other assets | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 12,545,410 | | | $ | 29,160,624 | | | $ | 1,706,541 | | | $ | 2,861,811 | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | Redemptions payable | | | - | | | | 39,059 | | | | - | | | | 6,875 | | Management fees payable to Managing Owner | | | 8,854 | | | | 8,795 | | | | - | | | | - | | Interest payable to Managing Owner | | | 1,376 | | | | 105 | | | | 179 | | | | - | | Service fees payable to Managing Owner | | | 21,381 | | | | 41,635 | | | | 3,709 | | | | 6,906 | | Trading fees payable to Managing Owner | | | 37,894 | | | | 70,179 | | | | 3,933 | | | | 6,000 | | Risk analysis fees payable | | | 9,513 | | | | 8,465 | | | | - | | | | - | | Payables to related parties | | | - | | | | - | | | | 26,129 | | | | - | | Advance on unrealized swap appreciation | | | - | | | | 6,176,555 | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 346,855 | | | | 319,698 | | | | 19,463 | | | | 16,895 | | Other liabilities | | | 9,258 | | | | 2,372 | | | | - | | | | 8,509 | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 435,131 | | | | 6,666,863 | | | | 53,413 | | | | 45,185 | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 51,810 | | | | 73,748 | | | | 17,210 | | | | 29,831 | | Managing Owner - Class 2a | | | 75,416 | | | | 151,133 | | | | - | | | | - | | Limited Owner - Class 1 | | | 9,430,532 | | | | 17,797,600 | | | | 1,575,328 | | | | 2,715,051 | | Limited Owner - Class 1AP | | | 108,053 | | | | 238,544 | | | | 9,821 | | | | 10,834 | | Limited Owner - Class 2 | | | 1,906,359 | | | | 3,288,105 | | | | 50,769 | | | | 60,910 | | Limited Owner - Class 2a | | | 30,961 | | | | 44,048 | | | | - | | | | - | | Limited Owner - Class 3a | | | 507,148 | | | | 900,583 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 12,110,279 | | | | 22,493,761 | | | | 1,653,128 | | | | 2,816,626 | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total Capital | | | 12,110,279 | | | | 22,493,761 | | | | 1,653,128 | | | | 2,816,626 | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 12,545,410 | | | $ | 29,160,624 | | | $ | 1,706,541 | | | $ | 2,861,811 | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | Class 1 | | | 117,991 | | | | 151,814 | | | | 26,906 | | | | 40,793 | | Class 1AP | | | 1,116 | | | | 1,731 | | | | 138 | | | | 138 | | Class 2 | | | 15,000 | | | | 18,092 | | | | 722 | | | | 873 | | Class 2a | | | 940 | | | | 1,212 | | | | N/A | | | | N/A | | Class 3a | | | 4,495 | | | | 5,611 | | | | N/A | | | | N/A | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | Class 1 | | $ | 79.93 | | | $ | 117.23 | | | $ | 58.55 | | | $ | 66.56 | | Class 1AP | | $ | 96.81 | | | $ | 137.81 | | | $ | 70.99 | | | $ | 78.51 | | Class 2 | | $ | 130.54 | | | $ | 185.82 | | | $ | 94.20 | | | $ | 103.94 | | Class 2a | | $ | 113.20 | | | $ | 161.04 | | | | N/A | | | | N/A | | Class 3a | | $ | 112.81 | | | $ | 160.50 | | | | N/A | | | | N/A | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Financial Condition December 31, 2020 and December 31, 2019 | | Frontier Global Fund | | | Frontier Heritage Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | ASSETS | | | | | | | | | | | | | Cash and cash equivalents | | $ | 5,694 | | | $ | 27,532 | | | $ | 15,156 | | | $ | 44,011 | | U.S. Treasury securities, at fair value | | | 27,742 | | | | 48,741 | | | | 73,847 | | | | 77,916 | | Swap contracts, at fair value | | | - | | | | - | | | | - | | | | 2,888,008 | | Investments in private investment companies, at fair value | | | 3,068,656 | | | | 5,022,967 | | | | 2,367,462 | | | | 2,259,678 | | Investments in unconsolidated trading companies, at fair value | | | 1,083 | | | | 11,818 | | | | 2,880 | | | | 18,891 | | Interest receivable | | | 554 | | | | 992 | | | | 1,475 | | | | 1,586 | | Receivable from related parties | | | 319 | | | | - | | | | 845 | | | | - | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 3,104,048 | | | $ | 5,112,050 | | | $ | 2,461,665 | | | $ | 5,290,090 | | | | | | | | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | Redemptions payable | | $ | - | | | $ | 71,379 | | | $ | - | | | $ | 9,735 | | Interest payable to Managing Owner | | | 326 | | | | 56 | | | | 139 | | | | 166 | | Service fees payable to Managing Owner | | | 6,348 | | | | 11,263 | | | | 4,794 | | | | 5,362 | | Trading fees payable to Managing Owner | | | 11,849 | | | | 22,540 | | | | 7,705 | | | | 11,170 | | Advance on unrealized swap appreciation | | | - | | | | - | | | | - | | | | 1,900,000 | | Subscriptions in advance for service fee rebates | | | 154,671 | | | | 150,025 | | | | 63,205 | | | | 57,132 | | Other liabilities | | | 205 | | | | 8,543 | | | | 540 | | | | 1,488 | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 173,399 | | | | 263,806 | | | | 76,383 | | | | 1,985,053 | | | | | | | | | | | | | | | | | | | CAPITAL | | | | | | | | | | | | | | | | | Managing Owner - Class 2 | | | 31,366 | | | | 50,058 | | | | 24,105 | | | | 28,593 | | Limited Owner - Class 1 | | | 2,741,972 | | | | 4,471,980 | | | | 2,169,152 | | | | 2,295,623 | | Limited Owner - Class 1AP | | | - | | | | 33,047 | | | | 8,460 | | | | 8,333 | | Limited Owner - Class 2 | | | 157,311 | | | | 293,159 | | | | 183,565 | | | | 493,464 | | | | | | | | | | | | | | | | | | | Total Owners’ Capital | | | 2,930,649 | | | | 4,848,244 | | | | 2,385,282 | | | | 2,826,013 | | | | | | | | | | | | | | | | | | | Non-Controlling Interests | | | - | | | | - | | | | - | | | | 479,024 | | | | | | | | | | | | | | | | | | | Total Capital | | | 2,930,649 | | | | 4,848,244 | | | | 2,385,282 | | | | 3,305,037 | | | | | | | | | | | | | | | | | | | Total Liabilities and Capital | | $ | 3,104,048 | | | $ | 5,112,050 | | | $ | 2,461,665 | | | $ | 5,290,090 | | | | | | | | | | | | | | | | | | | Units Outstanding | | | | | | | | | | | | | | | | | Class 1 | | | 24,725 | | | | 34,003 | | | | 22,572 | | | | 23,536 | | Class 1AP | | | N/A | | | | 214 | | | | 73 | | | | 73 | | Class 2 | | | 1,126 | | | | 1,780 | | | | 1,332 | | | | 3,399 | | | | | | | | | | | | | | | | | | | Net Asset Value per Unit | | | | | | | | | | | | | | | | | Class 1 | | $ | 110.90 | | | $ | 131.52 | | | $ | 96.10 | | | $ | 97.54 | | Class 1AP | | | N/A | | | $ | 154.43 | | | $ | 116.50 | | | $ | 114.15 | | Class 2 | | $ | 167.56 | | | $ | 192.82 | | | $ | 155.92 | | | $ | 153.59 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 | | | | | Frontier | | | Frontier | | | Frontier Long/Short | | | | | | | Diversified Fund | | | Masters Fund | | | Commodity Fund | | | | | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | $ | 1,066,074 | | | | 25.49 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 414,692 | | | | 9.91 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 672,766 | | | | 16.08 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 732,066 | | | | 17.50 | % | | | 486,659 | | | | 48.98 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 435,119 | | | | 10.40 | % | | | 258,609 | | | | 26.03 | % | | | 272,294 | | | | 20.73 | % | | | | | Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) | | | 323,886 | | | | 7.74 | % | | | 269,323 | | | | 27.11 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 465,759 | | | | 35.46 | % | | | | | Total Private Investment Companies | | $ | 3,644,603 | | | | 87.12 | % | | $ | 1,014,591 | | | | 102.12 | % | | $ | 738,053 | | | | 56.19 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 16,669 | | | | 0.40 | % | | $ | 907 | | | | 0.09 | % | | $ | 17,736 | | | | 1.35 | % | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 16,669 | | | | 0.40 | % | | $ | 907 | | | | 0.09 | % | | $ | 17,736 | | | | 1.35 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | Fair Value | | | | | $ | 1,755,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) | | $ | 427,393 | | | | 10.22 | % | | $ | 23,245 | | | | 2.34 | % | | $ | 454,738 | | | | 34.63 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Face Value | | | | | | Face Value | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 328,604 | | | | | | | $ | 17,872 | | | | | | | $ | 349,629 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | Cost | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 427,509 | | | | | | | $ | 23,251 | | | | | | | $ | 454,862 | | | | | |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2019
| | | | | Frontier | | | Frontier | | | | | | | Balanced Fund | | | Select Fund | | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | LONG FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | $ | 22,437 | | | | 0.10 | % | | $ | - | | | | 0.00 | % | | | | Various base metals futures contracts (U.S.) | | | (3,344 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | Various energy futures contracts (U.S.) | | | (735 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Europe) | | | (2,763 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | Various precious metal futures contracts (U.S.) | | | 45,590 | | | | 0.20 | % | | | - | | | | 0.00 | % | | | | Various soft futures contracts (Far East) | | | 709 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various soft futures contracts (U.S.) | | | 1,740 | | | | 0.01 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Europe) | | | (2,506 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Far East) | | | (7,157 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Oceanic) | | | (21,237 | ) | | | -0.09 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (U.S.) | | | 21,385 | | | | 0.10 | % | | | - | | | | 0.00 | % | | | | Total Long Futures Contracts | | $ | 54,119 | | | | 0.25 | % | | $ | - | | | | 0.00 | % | SHORT FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | $ | (1,410 | ) | | | -0.01 | % | | $ | - | | | | 0.00 | % | | | | Various base metals futures contracts (U.S.) | | | (6,369 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | | Various energy futures contracts (U.S.) | | | 3,380 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Europe) | | | 9,573 | | | | 0.04 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Far East) | | | 1,104 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various soft futures contracts (U.S.) | | | (3,340 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | Total Short Futures Contracts | | $ | 2,938 | | | | 0.00 | % | | $ | - | | | | 0.00 | % | CURRENCY FORWARDS* | | | | | | | | | | | | | | | | | | | | Various currency forwards contracts (NA) | | $ | 59,127 | | | | 0.26 | % | | $ | - | | | | 0.00 | % | | | | Total Currency Forwards | | $ | 59,127 | | | | 0.26 | % | | $ | - | | | | 0.00 | % | | | | Total Open Trade Equity (Deficit) | | $ | 116,184 | | | | 0.52 | % | | $ | - | | | | 0.00 | % | SWAP (1) | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | 11,944,753 | | | | 53.10 | % | | $ | - | | | | - | | | | | Total Swap | | $ | 11,944,753 | | | | 53.10 | % | | $ | - | | | | - | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 668,428 | | | | 2.97 | % | | $ | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,913,873 | | | | 8.51 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 2,589,148 | | | | 11.51 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 2,556,118 | | | | 11.36 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 533,194 | | | | 2.37 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 2,679,197 | | | | 11.91 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 2,583,294 | | | | 11.48 | % | | | 835,386 | | | | 29.66 | % | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 1,348,854 | | | | 47.89 | % | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 286,640 | | | | 1.27 | % | | | - | | | | 0.00 | % | | | | Total Private Investment Companies | | $ | 13,809,892 | | | | 61.39 | % | | $ | 2,184,240 | | | | 77.55 | % | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 50,867 | | | | 0.23 | % | | $ | 26,331 | | | | 0.93 | % | | | | Frontier Trading Company XXXIX, LLC | | | - | | | | - | | | | 479,024 | | | | 17.01 | % | | | | Total Investment in Unconsolidated Trading Companies | | $ | 50,867 | | | | 0.23 | % | | $ | 505,355 | | | | 17.94 | % | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 209,799 | | | | 0.93 | % | | $ | 108,603 | | | | 3.86 | % | | | | | | $ | 209,799 | | | | 0.93 | % | | $ | 108,603 | | | | 3.86 | % | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 164,427 | | | | | | | $ | 85,116 | | | | | | | | | | | $ | 164,427 | | | | | | | $ | 85,116 | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 210,217 | | | | | | | $ | 108,820 | | | | | | | | | | | $ | 210,217 | | | | | | | $ | 108,820 | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
The accompanying notes are an integral part of these financial statements. | (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2019
| | | | | Frontier Global Fund (Formerly Winton Fund) | | | Frontier Heritage Fund | | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | SWAP (1) | | | | | | | | | | | | | | | | | | | | Frontier Brevan Howard swap (U.S.) | | $ | - | | | | - | | | $ | 2,888,008 | | | | 18.14 | % | | | | Total Swap | | $ | - | | | | - | | | $ | 2,888,008 | | | | 18.14 | % | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | $ | - | | | | - | | | $ | 786,246 | | | | 23.79 | % | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 5,022,967 | | | | 103.60 | % | | | 1,473,432 | | | | 44.58 | % | | | | Total Private Investment Companies | | $ | 5,022,967 | | | | 103.60 | % | | $ | 2,259,678 | | | | 68.37 | % | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 11,818 | | | | 0.24 | % | | $ | 18,891 | | | | 0.57 | % | | | | Total Investment in Unconsolidated Trading Companies | | $ | 11,818 | | | | 0.24 | % | | $ | 18,891 | | | | 0.57 | % | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 48,741 | | | | 1.01 | % | | $ | 77,916 | | | | 2.36 | % | | | | | | $ | 48,741 | | | | 1.01 | % | | $ | 77,916 | | | | 2.36 | % | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 38,200 | | | | | | | $ | 61,065 | | | | | | | | | | | $ | 38,200 | | | | | | | $ | 61,065 | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 48,838 | | | | | | | $ | 78,071 | | | | | | | | | | | $ | 48,838 | | | | | | | $ | 78,071 | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018
| | | | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | SWAPS (1) | | | | | | | | | | | | | | | | | | | | | | Frontier XXXV Diversified select swap (U.S.) | | $ | 5,920,414 | | | | 36.64 | % | | $ | - | | | | - | | | $ | - | | | | - | | | | | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | - | | | | - | | | | - | | | | 479,102 | | | | 19.59 | % | | | | Total Swaps | | $ | 5,920,414 | | | | 36.64 | % | | $ | - | | | | - | | | $ | 479,102 | | | | 19.59 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 855,522 | | | | 5.30 | % | | $ | 695,585 | | | | 12.48 | % | | $ | 230,848 | | | | 9.44 | % | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,150,943 | | | | 7.12 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 1,789,814 | | | | 11.08 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 1,517,376 | | | | 9.39 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | | 1,650,526 | | | | 10.22 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 446,649 | | | | 2.76 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 300,708 | | | | 1.86 | % | | | - | | | | - | | | | - | | | | - | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 3,266,499 | | | | 20.22 | % | | | 2,667,361 | | | | 47.87 | % | | | 887,952 | | | | 36.31 | % | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 1,298,381 | | | | 23.30 | % | | | - | | | | - | | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 106,426 | | | | 0.66 | % | | | - | | | | - | | | | 610,441 | | | | 24.96 | % | | | | Total Private Investment Companies | | $ | 11,084,463 | | | | 68.60 | % | | $ | 4,661,327 | | | | 83.65 | % | | $ | 1,729,241 | | | | 70.72 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 216,107 | | | | 1.34 | % | | $ | 21,201 | | | | 0.38 | % | | $ | 28,163 | | | | 1.15 | % | | | | Frontier Trading Company II, LLC | | | 944,803 | | | | 5.85 | % | | | 753,887 | | | | 13.53 | % | | | - | | | | - | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 1,160,910 | | | | 7.19 | % | | $ | 775,088 | | | | 13.91 | % | | $ | 28,163 | | | | 1.15 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | | Fair Value | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 4,512,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $5,589,456) | | $ | 1,553,261 | | | | 9.61 | % | | $ | 152,384 | | | | 2.73 | % | | $ | 202,415 | | | | 8.28 | % | | | | | | $ | 1,553,261 | | | | 9.61 | % | | $ | 152,384 | | | | 2.73 | % | | $ | 202,415 | | | | 8.28 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | | Face Value | | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 1,232,919 | | | | | | | $ | 120,957 | | | | | | | $ | 160,669 | | | | | | | | | | | $ | 1,232,919 | | | | | | | $ | 120,957 | | | | | | | $ | 160,669 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | | Cost | | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 1,527,337 | | | | | | | $ | 149,841 | | | | | | | $ | 199,037 | | | | | | | | | | | $ | 1,527,337 | | | | | | | $ | 149,841 | | | | | | | $ | 199,037 | | | | | |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018
| | | | | | Frontier | | Frontier | | | | | | | Frontier | | Frontier | | | | | | Balanced Fund | | | Select Fund | | | | | | | Balanced Fund | | Select Fund | | | | | | | | % of Total Capital | | | | % of Total Capital | | Description | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS* | LONG FUTURES CONTRACTS* | | | | | | | | | | LONG FUTURES CONTRACTS* | | | | | | | | | | | | | | | Various agriculture futures contracts (Far East) | | $ | 72,005 | | | | 0.59 | % | | $ | - | | | | 0.00 | % | | | | | | Various agriculture futures contracts (Europe) | | | 9,803 | | | | 0.08 | % | | | - | | | | 0.00 | % | | | | | | Various agriculture futures contracts (U.S.) | | | 87,496 | | | | 0.72 | % | | | - | | | | 0.00 | % | | | | | | Various base metals futures contracts (U.S.) | | | 22,858 | | | | 0.19 | % | | | - | | | | 0.00 | % | | | | Various agriculture futures contracts (Europe) | | $ | (1,472 | ) | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | Various currency futures contracts (Europe) | | | 10,573 | | | | 0.09 | % | | | - | | | | 0.00 | % | | | | Various agriculture futures contracts (U.S.) | | | 8,490 | | | | 0.03 | % | | | - | | | | 0.00 | % | | | | Various currency futures contracts (Latin America) | | | 5,833 | | | | 0.05 | % | | | - | | | | 0.00 | % | | | | Various base metals futures contracts (U.S.) | | | (31,117 | ) | | | -0.10 | % | | | - | | | | 0.00 | % | | | | Various currency futures contracts (U.S.) | | | (100 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various energy futures contracts (U.S.) | | | (5,390 | ) | | | -0.02 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Europe) | | | 148,949 | | | | 1.23 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Canada) | | | 7,402 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Far East) | | | 2,882 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Europe) | | | 116,653 | | | | 0.37 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (U.S.) | | | 2,438 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Far East) | | | 17,226 | | | | 0.05 | % | | | - | | | | 0.00 | % | | | | Various precious metal futures contracts (U.S.) | | | 28,625 | | | | 0.24 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Oceanic) | | | 48,083 | | | | 0.15 | % | | | - | | | | 0.00 | % | | | | Various soft futures contracts (U.S.) | | | 52,349 | | | | 0.43 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (U.S.) | | | 1,094 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Far East) | | | 5,312 | | | | 0.04 | % | | | - | | | | - | | | | | Various soft futures contracts (U.S.) | | | (2,025 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | Total Long Futures Contracts | | $ | 449,023 | | | | 3.70 | % | | $ | - | | | | 0.00 | % | | | | Total Long Futures Contracts | | $ | 158,944 | | | | 0.51 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | SHORT FUTURES CONTRACTS* | SHORT FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | SHORT FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (Canada) | | $ | 9,613 | | | | 0.03 | % | | $ | - | | | | - | | | | | Various agriculture futures contracts (Far East) | | $ | (30,963 | ) | | | -0.26 | % | | $ | - | | | | 0.00 | % | | | | Various agriculture futures contracts (U.S.) | | | 6,120 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various agriculture futures contracts (Europe) | | | (10,797 | ) | | | -0.09 | % | | | - | | | | 0.00 | % | | | | Various base metals futures contracts (U.S.) | | | 28,880 | | | | 0.09 | % | | | - | | | | 0.00 | % | | | | Various agriculture futures contracts (U.S.) | | | (92,738 | ) | | | -0.77 | % | | | - | | | | 0.00 | % | | | | Various energy futures contracts (U.S.) | | | (600 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various base metals futures contracts (U.S.) | | | (10,289 | ) | | | -0.08 | % | | | - | | | | 0.00 | % | | | | Various precious metal futures contracts (U.S.) | | | (1,305 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various currency futures contracts (Europe) | | | (10,381 | ) | | | -0.09 | % | | | - | | | | 0.00 | % | | | | Various soft futures contracts (U.S.) | | | 25,227 | | | | 0.08 | % | | | - | | | | 0.00 | % | | | | Various currency futures contracts (Latin America) | | | 2,512 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Canada) | | | 3,027 | | | | 0.01 | % | | | - | | | | 0.00 | % | | | | Various currency futures contracts (U.S.) | | | 2,300 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (Europe) | | | 12,826 | | | | 0.04 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Europe) | | | (127,832 | ) | | | -1.06 | % | | | - | | | | 0.00 | % | | | | Various stock index futures contracts (U.S.) | | | 128 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | Various interest rates futures contracts (Far East) | | | (2,482 | ) | | | -0.02 | % | | | - | | | | 0.00 | % | | | | Total Short Futures Contracts | | $ | 83,916 | | | | 0.25 | % | | $ | - | | | | 0.00 | % | | | | Various interest rates futures contracts (U.S.) | | | 3,656 | | | | 0.03 | % | | | - | | | | 0.00 | % | CURRENCY FORWARDS* | | | | | | | | | | | | | | | | | | | | | Various currency forwards contracts (NA) | | $ | (22,201 | ) | | | -0.07 | % | | $ | - | | | | 0.00 | % | | | | Various precious metal futures contracts (U.S.) | | | (25,560 | ) | | | -0.21 | % | | | - | | | | 0.00 | % | | | | Total Currency Forwards | | $ | (22,201 | ) | | | -0.07 | % | | $ | - | | | | 0.00 | % | | | | Various soft futures contracts (U.S.) | | | (42,669 | ) | | | -0.35 | % | | | - | | | | 0.00 | % | | | | Total Open Trade Equity (Deficit) | | $ | 220,659 | | | | 0.69 | % | | $ | - | | | | 0.00 | % | | | | Various stock index futures contracts (Far East) | | | (3,340 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | SWAP (1) | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | 10,794,908 | | | | 33.92 | % | | $ | - | | | | - | | | | | Total Short Futures Contracts | | $ | (348,583 | ) | | | -2.89 | % | | $ | - | | | | 0.00 | % | | | | Total Swap | | $ | 10,794,908 | | | | 33.92 | % | | $ | - | | | | - | | | | | Total Open Trade Equity (Deficit) | | $ | 100,440 | | | | 0.81 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 1,526,456 | | | | 4.80 | % | | $ | - | | | | - | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | $ | 2,311,240 | | | | 19.08 | % | | $ | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,852,304 | | | | 5.82 | % | | | - | | | | - | | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 1,581,941 | | | | 13.06 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 3,191,189 | | | | 10.03 | % | | | - | | | | - | | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 982,020 | | | | 8.11 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 3,451,307 | | | | 10.85 | % | | | - | | | | - | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 1,600,611 | | | | 13.22 | % | | | - | | | | 0.00 | % | | | | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | | 3,853,295 | | | | 12.11 | % | | | - | | | | - | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 2,612,336 | | | | 21.57 | % | | | 956,968 | | | | 57.89 | % | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 484,157 | | | | 1.52 | % | | | - | | | | - | | | | | Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) | | | 1,440,104 | | | | 11.89 | % | | | 681,697 | | | | 41.24 | % | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 802,570 | | | | 2.52 | % | | | - | | | | - | | | | | Total Private Investment Companies | | $ | 10,528,252 | | | | 86.93 | % | | $ | 1,638,665 | | | | 99.13 | % | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 7,426,768 | | | | 23.34 | % | | | 1,954,531 | | | | 50.68 | % | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 1,297,544 | | | | 33.64 | % | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 266,280 | | | | 0.84 | % | | | - | | | | - | | | | | Total Private Investment Companies | | $ | 22,854,326 | | | | 71.81 | % | | $ | 3,252,075 | | | | 84.32 | % | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | Frontier Trading Company II, LLC | | $ | 1,710,577 | | | | 5.38 | % | | $ | - | | | | - | | | | | Frontier Trading Company XXXVIII, LLC | | | 34,422 | | | | 0.11 | % | | | 11,463 | | | | 0.30 | % | | | | | Frontier Trading Company XXXIX, LLC | | | - | | | | - | | | | 511,717 | | | | 13.27 | % | | | | Frontier Trading Company XXXVIII, LLC | | $ | 49,755 | | | | 0.41 | % | | $ | - | | | | 0.00 | % | | | | Total Investment in Unconsolidated Trading Companies | | $ | 1,744,999 | | | | 5.49 | % | | $ | 523,180 | | | | 13.57 | % | | | | Total Investment in Unconsolidated Trading Companies | | $ | 49,755 | | | | 0.41 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | FACE VALUE | FACE VALUE | | Fair Value | | | | | Fair Value | | | | | | FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 4,512,000 | | US Treasury Note 6.875% due 08/15/2025 (Cost $5,589,456) | | $ | 123,409 | | | | 0.39 | % | | $ | 82,386 | | | | 2.14 | % | 1,755,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) | | $ | 1,275,641 | | | | 10.53 | % | | $ | - | | | | 0.00 | % | | | | | | $ | 123,409 | | | | 0.39 | % | | $ | 82,386 | | | | 2.14 | % | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 980,787 | | | | | | | $ | - | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 97,958 | | | | | | | $ | 65,395 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 97,958 | | | | | | | $ | 65,395 | | | | | | | | | | | $ | 17,266,387 | | | | | | | $ | 2,593,522 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | Cost | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 121,350 | | | | | | | $ | 81,011 | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 1,275,989 | | | | | | | $ | - | | | | | | | | | | $ | 121,350 | | | | | | | $ | 81,011 | | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 | | | | | Frontier Global | | | Frontier | | | | | | | Fund | | | Heritage Fund | | | | | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | $ | 3,068,656 | | | | 104.71 | % | | $ | 1,539,331 | | | | 64.53 | % | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | - | | | | - | | | | 828,131 | | | | 34.72 | % | | | | | Total Private Investment Companies | | $ | 3,068,656 | | | | 104.71 | % | | $ | 2,367,462 | | | | 99.25 | % | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 1,083 | | | | 0.04 | % | | $ | 2,880 | | | | 0.12 | % | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 1,083 | | | | 0.04 | % | | $ | 2,880 | | | | 0.12 | % | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,755,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) | | $ | 27,742 | | | | 0.95 | % | | $ | 73,847 | | | | 3.10 | % | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 21,330 | | | | | | | $ | 56,778 | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 27,750 | | | | | | | $ | 73,867 | | | | | |
Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. (1) See Note 4 to the Financial Statements. (2) See Note 2 to the Financial Statements. (3) See Note 5 to the Financial Statements. The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2019 | | | | | Frontier | | | Frontier | | | Frontier Long/Short | | | | | | | Diversified Fund | | | Masters Fund | | | Commodity Fund | | | | | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | SWAPS (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXV Diversified select swap (U.S.) | | $ | 6,384,583 | | | | 53.21 | % | | $ | - | | | | - | | | $ | - | | | | - | | | | | | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | - | | | | - | | | | - | | | | 362,521 | | | | 27.17 | % | | | | | Total Swaps | | $ | 6,384,583 | | | | 53.21 | % | | $ | - | | | | - | | | $ | 362,521 | | | | 27.17 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 494,968 | | | | 4.12 | % | | $ | 210,013 | | | | 9.38 | % | | $ | 111,013 | | | | 8.32 | % | | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,267,090 | | | | 10.56 | % | | | - | | | | - | | | | - | | | | - | | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 2,031,482 | | | | 16.93 | % | | | - | | | | - | | | | - | | | | - | | | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 1,460,173 | | | | 12.17 | % | | | - | | | | - | | | | - | | | | - | | | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 499,551 | | | | 4.16 | % | | | - | | | | - | | | | - | | | | - | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 1,827,263 | | | | 15.23 | % | | | 1,049,575 | | | | 46.90 | % | | | - | | | | - | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 1,549,720 | | | | 12.91 | % | | | 466,988 | | | | 20.87 | % | | | 343,834 | | | | 25.77 | % | | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 472,421 | | | | 21.11 | % | | | - | | | | - | | | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 175,486 | | | | 1.46 | % | | | - | | | | 0.00 | % | | | 531,910 | | | | 39.86 | % | | | | | Total Private Investment Companies | | $ | 9,305,733 | | | | 77.54 | % | | $ | 2,198,997 | | | | 98.26 | % | | $ | 986,757 | | | | 73.95 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 24,150 | | | | 0.20 | % | | $ | 11,005 | | | | 0.49 | % | | $ | 14,711 | | | | 1.10 | % | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 24,150 | | | | 0.20 | % | | $ | 11,005 | | | | 0.49 | % | | $ | 14,711 | | | | 1.10 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 99,605 | | | | 0.83 | % | | $ | 45,391 | | | | 2.03 | % | | $ | 60,673 | | | | 4.55 | % | | | | | | | $ | 99,605 | | | | 0.83 | % | | $ | 45,391 | | | | 2.03 | % | | $ | 60,673 | | | | 4.55 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Fair Value | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 78,065 | | | | | | | $ | 35,575 | | | | | | | $ | 47,552 | | | | | | | | | | | | $ | 78,065 | | | | | | | $ | 35,575 | | | | | | | $ | 47,552 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 99,804 | | | | | | | $ | 45,482 | | | | | | | $ | 60,794 | | | | | | | | | | | | $ | 99,804 | | | | | | | $ | 45,482 | | | | | | | $ | 60,794 | | | | | |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
| (3) | See Note 5The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2019 | | | | | Frontier | | | Frontier | | | | | | | Balanced Fund | | | Select Fund | | | | | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | $ | 22,437 | | | | 0.10 | % | | $ | - | | | | 0.00 | % | | | | | Various base metals futures contracts (U.S.) | | | (3,344 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | | Various energy futures contracts (U.S.) | | | (735 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | | | | | Various interest rates futures contracts (Europe) | | | (2,763 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | | Various precious metal futures contracts (U.S.) | | | 45,590 | | | | 0.20 | % | | | - | | | | 0.00 | % | | | | | Various soft futures contracts (Far East) | | | 709 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | | Various soft futures contracts (U.S.) | | | 1,740 | | | | 0.01 | % | | | - | | | | 0.00 | % | | | | | Various stock index futures contracts (Europe) | | | (2,506 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | | Various stock index futures contracts (Far East) | | | (7,157 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | | | Various stock index futures contracts (Oceanic) | | | (21,237 | ) | | | -0.09 | % | | | - | | | | 0.00 | % | | | | | Various stock index futures contracts (U.S.) | | | 21,385 | | | | 0.10 | % | | | - | | | | 0.00 | % | | | | | Total Long Futures Contracts | | $ | 54,119 | | | | 0.25 | % | | $ | - | | | | 0.00 | % | SHORT FUTURES CONTRACTS* | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | $ | (1,410 | ) | | | -0.01 | % | | $ | - | | | | 0.00 | % | | | | | Various base metals futures contracts (U.S.) | | | (6,369 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | | | Various energy futures contracts (U.S.) | | | 3,380 | | | | 0.02 | % | | | - | | | | 0.00 | % | | | | | Various interest rates futures contracts (Europe) | | | 9,573 | | | | 0.04 | % | | | - | | | | 0.00 | % | | | | | Various interest rates futures contracts (Far East) | | | 1,104 | | | | 0.00 | % | | | - | | | | 0.00 | % | | | | | Various soft futures contracts (U.S.) | | | (3,340 | ) | | | -0.01 | % | | | - | | | | 0.00 | % | | | | | Total Short Futures Contracts | | $ | 2,938 | | | | 0.00 | % | | $ | - | | | | 0.00 | % | CURRENCY FORWARDS* | | | | | | | | | | | | | | | | | | | | | Various currency forwards contracts (NA) | | $ | 59,127 | | | | 0.26 | % | | $ | - | | | | 0.00 | % | | | | | Total Currency Forwards | | $ | 59,127 | | | | 0.26 | % | | $ | - | | | | 0.00 | % | | | | | Total Open Trade Equity (Deficit) | | $ | 116,184 | | | | 0.52 | % | | $ | - | | | | 0.00 | % | SWAP (1) | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | 11,944,753 | | | | 53.10 | % | | $ | - | | | | - | | | | | | Total Swap | | $ | 11,944,753 | | | | 53.10 | % | | $ | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 668,428 | | | | 2.97 | % | | $ | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | 1,913,873 | | | | 8.51 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 2,589,148 | | | | 11.51 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 2,556,118 | | | | 11.36 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 533,194 | | | | 2.37 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 2,679,197 | | | | 11.91 | % | | | - | | | | 0.00 | % | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 2,583,294 | | | | 11.48 | % | | | 835,386 | | | | 29.66 | % | | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | - | | | | 0.00 | % | | | 1,348,854 | | | | 47.89 | % | | | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 286,640 | | | | 1.27 | % | | | - | | | | 0.00 | % | | | | | Total Private Investment Companies | | $ | 13,809,892 | | | | 61.39 | % | | $ | 2,184,240 | | | | 77.55 | % | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 50,867 | | | | 0.23 | % | | $ | 26,331 | | | | 0.93 | % | | | | | Frontier Trading Company XXXIX, LLC | | | - | | | | - | | | | 479,024 | | | | 17.01 | % | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 50,867 | | | | 0.23 | % | | $ | 505,355 | | | | 17.94 | % | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 209,799 | | | | 0.93 | % | | $ | 108,603 | | | | 3.86 | % | | | | | | | $ | 209,799 | | | | 0.93 | % | | $ | 108,603 | | | | 3.86 | % | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 164,427 | | | | | | | $ | 85,116 | | | | | | | | | | | | $ | 164,427 | | | | | | | $ | 85,116 | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 210,217 | | | | | | | $ | 108,820 | | | | | | | | | | | | $ | 210,217 | | | | | | | $ | 108,820 | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
| (1) | See Note 4 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018
| | | | Frontier | | | Frontier | | | | | | Winton Fund | | | Heritage Fund | | Description | | Fair Value | | | % of Total Capital (Net Asset Value) | | | Fair Value | | | % of Total Capital (Net Asset Value) | | SWAP (1) | | | | | | | | | | | | | | | Frontier Brevan Howard swap (U.S.) | | $ | - | | | | - | | | $ | 2,955,444 | | | | 66.19 | % | | | Total Swap | | $ | - | | | | - | | | $ | 2,955,444 | | | | 66.19 | % | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | $ | - | | | | - | | | $ | 2,167,879 | | | | 48.55 | % | | | Total Private Investment Companies | | $ | - | | | | - | | | $ | 2,167,879 | | | | 48.55 | % | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | Frontier Trading Company II, LLC | | $ | 3,857,075 | | | | 46.99 | % | | $ | 664,923 | | | | 14.89 | % | | | Frontier Trading Company XXXVIII, LLC | | | 435,000 | | | | 5.30 | % | | | 61,763 | | | | 1.38 | % | | | Total Investment in Unconsolidated Trading Companies | | $ | 4,292,075 | | | | 52.29 | % | | $ | 726,686 | | | | 16.27 | % | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | $ | 4,512,000 | | US Treasury Note 6.875% due 08/15/2025 (Cost $5,589,456) | | $ | 3,126,551 | | | | 38.09 | % | | $ | 443,921 | | | | 9.94 | % | | | | | $ | 3,126,551 | | | | 38.09 | % | | $ | 443,921 | | | | 9.94 | % | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 2,481,736 | | | | | | | $ | 352,367 | | | | | | | | | | $ | 2,481,736 | | | | | | | $ | 352,367 | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 3,074,369 | | | | | | | $ | 436,512 | | | | | | | | | | $ | 3,074,369 | | | | | | | $ | 436,512 | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. | (2) | See Note 2 to the Financial Statements. |
| (1) | See Note 4 | (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Condensed Schedule of Investments December 31, 2019 | | | | | Frontier Global Fund | | | Frontier | | | | | | | (Formerly Winton Fund) | | | Heritage Fund | | | | | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Fair Value | | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | SWAP (1) | | | | | | | | | | | | | | | | | Frontier Brevan Howard swap (U.S.) | | $ | - | | | | - | | | $ | 2,888,008 | | | | 18.14 | % | | | | | Total Swap | | $ | - | | | | - | | | $ | 2,888,008 | | | | 18.14 | % | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | $ | - | | | | - | | | $ | 786,246 | | | | 23.79 | % | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 5,022,967 | | | | 103.60 | % | | | 1,473,432 | | | | 44.58 | % | | | | | Total Private Investment Companies | | $ | 5,022,967 | | | | 103.60 | % | | $ | 2,259,678 | | | | 68.37 | % | | | | | | | | | | | | | | | | | | | | | | INVESTMENT IN UNCONSOLIDATED COMPANIES (3) | | | | | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | $ | 11,818 | | | | 0.24 | % | | $ | 18,891 | | | | 0.57 | % | | | | | Total Investment in Unconsolidated Trading Companies | | $ | 11,818 | | | | 0.24 | % | | $ | 18,891 | | | | 0.57 | % | | | | | | | | | | | | | | | | | | | | | | U.S. TREASURY SECURITIES (2) | | | | | | | | | | | | | FACE VALUE | | Fair Value | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | | | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 48,741 | | | | 1.01 | % | | $ | 77,916 | | | | 2.36 | % | | | | | | | $ | 48,741 | | | | 1.01 | % | | $ | 77,916 | | | | 2.36 | % | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Face Value | | | | | | Face Value | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 38,200 | | | | | | | $ | 61,065 | | | | | | | | | | | | $ | 38,200 | | | | | | | $ | 61,065 | | | | | | | | | | | | | | | | | | | | | | | | | | | Additional Disclosure on U.S. Treasury Securities | | Cost | | | | | | Cost | | | | | | | | | | | | | | | | | | | | | | | | | US Treasury Note 6.875% due 08/15/2025 (2) | | $ | 48,838 | | | | | | | $ | 78,071 | | | | | | | | | | | | $ | 48,838 | | | | | | | $ | 78,071 | | | | | |
| * | Except for those items disclosed, no individual futures, or forwards contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
| (1) | See Note 4 to the Financial Statements. |
| (2) | See Note 2 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
| (3) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Operations For the Years Ended December 31, 2020 , 2019, 2018 2017 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest - net | | $ | 19,354 | | | $ | 35,454 | | | $ | 97,701 | | | $ | 4,656 | | | $ | 23,657 | | | $ | 79,881 | | | $ | 2,018 | | | $ | 12,648 | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | 19,354 | | | | 35,454 | | | | 97,701 | | | | 4,656 | | | | 23,657 | | | | 79,881 | | | | 2,018 | | | | 12,648 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | (4,499 | ) | | | (50,661 | ) | | | - | | | | - | | | | - | | | | - | | | | (3,789 | ) | | | (57,082 | ) | Management Fees | | | 2,668 | | | | 44,289 | | | | 69,478 | | | | 7,665 | | | | 108,413 | | | | 184,365 | | | | - | | | | - | | | | - | | Service Fees | | | 44,726 | | | | 58,473 | | | | 132,465 | | | | 11,635 | | | | 49,049 | | | | 89,344 | | | | 562 | | | | 1,653 | | | | 13,672 | | Trading Fees | | | 493,585 | | | | 591,665 | | | | 1,347,386 | | | | 213,153 | | | | 420,391 | | | | 672,227 | | | | 54,334 | | | | 82,890 | | | | 234,923 | | Other Fees | | | - | | | | 16,404 | | | | - | | | | - | | | | 27,336 | | | | - | | | | - | | | | 1,594 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 540,979 | | | | 706,332 | | | | 1,498,668 | | | | 232,453 | | | | 605,189 | | | | 945,936 | | | | 54,896 | | | | 82,348 | | | | 191,513 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (521,625 | ) | | | (670,878 | ) | | | (1,400,967 | ) | | | (227,797 | ) | | | (581,532 | ) | | | (866,055 | ) | | | (52,878 | ) | | | (69,700 | ) | | | (191,513 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net unrealized gain/(loss) on private investment companies | | | 907,504 | | | | (2,307,071 | ) | | | 812,254 | | | | (162,637 | ) | | | (1,197,207 | ) | | | 794,590 | | | | 198,426 | | | | (403,889 | ) | | | (246,722 | ) | Net realized gain/(loss) on private investment companies | | | (730,551 | ) | | | 278,882 | | | | 1,870,541 | | | | (159,651 | ) | | | (75,683 | ) | | | 482,146 | | | | (428,509 | ) | | | (240,941 | ) | | | (106,289 | ) | Net change in open trade equity/(deficit) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net unrealized gain/(loss) on swap contracts | | | 464,169 | | | | 643,941 | | | | (47,375 | ) | | | - | | | | - | | | | - | | | | (116,581 | ) | | | 82,063 | | | | 26,621 | | Net realized gain/(loss) on U.S. Treasury securities | | | 14,359 | | | | (51,245 | ) | | | 65,391 | | | | 15,346 | | | | (45,198 | ) | | | 88,761 | | | | 977 | | | | (40,742 | ) | | | 21,587 | | Net unrealized gain/(loss) on U.S. Treasury securities | | | (19,045 | ) | | | 33,137 | | | | 152,150 | | | | (9,501 | ) | | | (15,571 | ) | | | (70,651 | ) | | | 2,447 | | | | 14,319 | | | | (10,631 | ) | Trading commissions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Change in fair value of investments in unconsolidated trading companies | | | (84,431 | ) | | | (126,992 | ) | | | 160,009 | | | | (67,029 | ) | | | (179,768 | ) | | | (217,851 | ) | | | 35 | | | | (18,068 | ) | | | 83,337 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 552,005 | | | | (1,529,348 | ) | | | 3,012,970 | | | | (383,472 | ) | | | (1,513,427 | ) | | | 1,076,995 | | | | (343,205 | ) | | | (607,258 | ) | | | (232,097 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | 30,380 | | | | (2,200,226 | ) | | | 1,612,003 | | | | (611,269 | ) | | | (2,094,959 | ) | | | 210,940 | | | | (396,083 | ) | | | (676,958 | ) | | | (423,610 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | 30,380 | | | $ | (2,200,226 | ) | | $ | 1,612,003 | | | $ | (611,269 | ) | | $ | (2,094,959 | ) | | $ | 210,940 | | | $ | (396,083 | ) | | $ | (676,958 | ) | | $ | (423,610 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (1.15 | ) | | $ | (14.16 | ) | | $ | (0.02 | ) | | $ | (18.82 | ) | | $ | (23.64 | ) | | $ | 1.94 | | | | N/A | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | (12.60 | ) | | $ | (24.55 | ) | | $ | (11.43 | ) | Class 2 | | $ | 0.74 | | | $ | (14.35 | ) | | $ | 2.25 | | | $ | (20.49 | ) | | $ | (25.59 | ) | | $ | 4.49 | | | $ | (17.22 | ) | | $ | (16.99 | ) | | $ | (13.75 | ) | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | (13.97 | ) | | $ | (27.07 | ) | | $ | (12.08 | ) | Class 3 | | $ | 0.98 | | | $ | (13.06 | ) | | $ | 2.41 | | | $ | (18.98 | ) | | $ | (23.63 | ) | | $ | 4.51 | | | $ | (18.02 | ) | | $ | (17.84 | ) | | $ | (9.30 | ) | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | (14.51 | ) | | $ | (28.16 | ) | | $ | (9.51 | ) |
The accompanying notes are an integral part of these financial statements.
The Series of the Frontier Funds
Statements of Operations
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | Interest - net | | $ | 46,019 | | | $ | 38,298 | | | $ | 22,063 | | | $ | (5 | ) | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income/(loss) | | | 46,019 | | | | 38,298 | | | | 22,063 | | | | (5 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | 145,134 | | | | 40,189 | | | | - | | | | - | | | | - | | Management Fees | | | 22,377 | | | | 77,495 | | | | 107,368 | | | | - | | | | - | | | | 84,734 | | Service Fees | | | 606,359 | | | | 920,570 | | | | 1,409,337 | | | | 102,692 | | | | 132,408 | | | | 220,938 | | Risk analysis Fees | | | 5,576 | | | | 8,738 | | | | 10,265 | | | | - | | | | - | | | | 9,681 | | Trading Fees | | | 972,678 | | | | 1,378,226 | | | | 2,058,870 | | | | 85,589 | | | | 117,056 | | | | 176,459 | | Other Fees | | | - | | | | 29,045 | | | | - | | | | - | | | | 5,384 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 1,606,990 | | | | 2,559,208 | | | | 3,626,029 | | | | 188,281 | | | | 254,848 | | | | 491,812 | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (1,560,971 | ) | | | (2,520,910 | ) | | | (3,603,966 | ) | | | (188,286 | ) | | | (254,848 | ) | | | (491,812 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | | 135,527 | | | | (376,937 | ) | | | (381,817 | ) | | | - | | | | - | | | | (148,184 | ) | Net unrealized gain/(loss) on private investment companies | | | 1,457,718 | | | | (4,729,444 | ) | | | 270,252 | | | | (149,095 | ) | | | (919,512 | ) | | | 456,301 | | Net realized gain/(loss) on private investment companies | | | (921,909 | ) | | | 774,004 | | | | 4,398,507 | | | | 170,272 | | | | (26,405 | ) | | | (41,515 | ) | Net change in open trade equity/(deficit) | | | (133,881 | ) | | | 14,335 | | | | (56,728 | ) | | | - | | | | - | | | | (642,494 | ) | Net unrealized gain/(loss) on swap contracts | | | 1,149,846 | | | | 1,453,948 | | | | (84,491 | ) | | | - | | | | - | | | | - | | Net realized gain/(loss) on U.S. Treasury securities | | | 12,809 | | | | (57,886 | ) | | | 76,560 | | | | (397 | ) | | | (13,509 | ) | | | 31,037 | | Net unrealized gain/(loss) on U.S. Treasury securities | | | 1,058 | | | | (13,623 | ) | | | 149,968 | | | | 3,636 | | | | (14,160 | ) | | | (6,069 | ) | Trading commissions | | | (33,456 | ) | | | (61,387 | ) | | | (68,711 | ) | | | - | | | | - | | | | (42,000 | ) | Change in fair value of investments in unconsolidated trading companies | | | (140,530 | ) | | | (286,285 | ) | | | 601,398 | | | | (31,555 | ) | | | (75,342 | ) | | | (294,076 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 1,527,182 | | | | (3,283,275 | ) | | | 4,904,938 | | | | (7,139 | ) | | | (1,048,928 | ) | | | (687,000 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | (33,789 | ) | | | (5,804,185 | ) | | | 1,300,972 | | | | (195,425 | ) | | | (1,303,776 | ) | | | (1,178,812 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | (469,078 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | (33,789 | ) | | $ | (5,804,185 | ) | | $ | 1,300,972 | | | $ | (195,425 | ) | | $ | (1,303,776 | ) | | $ | (709,734 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (0.40 | ) | | $ | (18.33 | ) | | $ | 1.17 | | | $ | (4.86 | ) | | $ | (18.86 | ) | | $ | (3.79 | ) | Class 1AP | | $ | 3.65 | | | $ | (16.40 | ) | | $ | 5.59 | | | $ | (3.97 | ) | | $ | (17.54 | ) | | $ | (1.14 | ) | Class 2 | | $ | 4.88 | | | $ | (21.96 | ) | | $ | 7.91 | | | $ | (4.24 | ) | | $ | (24.55 | ) | | $ | (1.52 | ) | Class 2a | | $ | 4.23 | | | $ | (18.96 | ) | | $ | 6.72 | | | | N/A | | | | N/A | | | | N/A | | Class 3a | | $ | 4.24 | | | $ | (18.92 | ) | | $ | 6.69 | | | | N/A | | | | N/A | | | | N/A | |
The accompanying notes are an integral part of these financial statements.
The Series of the Frontier Funds
Statements of Operations
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | Interest - net | | $ | (2 | ) | | $ | 316 | | | $ | 55,833 | | | $ | (6 | ) | | $ | - | | | $ | 1,430 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | (2 | ) | | | 316 | | | | 55,833 | | | | (6 | ) | | | - | | | | 1,430 | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | - | | | | (75,099 | ) | | | - | | | | 697 | | | | (4,603 | ) | Management Fees | | | 38,679 | | | | 487,698 | | | | 877,626 | | | | 7,289 | | | | 120,602 | | | | 193,000 | | Service Fees | | | 177,833 | | | | 318,897 | | | | 465,225 | | | | 84,518 | | | | 123,257 | | | | 182,048 | | Risk analysis Fees | | | - | | | | - | | | | 117,961 | | | | - | | | | - | | | | - | | Trading Fees | | | 278,497 | | | | 307,053 | | | | 565,481 | | | | 118,979 | | | | 142,735 | | | | 191,996 | | Other | | | - | | | | 29,844 | | | | - | | | | - | | | | 16,035 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 495,009 | | | | 1,143,492 | | | | 1,951,194 | | | | 210,786 | | | | 403,326 | | | | 562,441 | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (495,011 | ) | | | (1,143,176 | ) | | | (1,895,361 | ) | | | (210,792 | ) | | | (403,326 | ) | | | (562,441 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | | - | | | | - | | | | 4,430,276 | | | | - | | | | - | | | | - | | Net unrealized gain/(loss) on private investment companies | | | 1,144,682 | | | | - | | | | (922,290 | ) | | | 430,724 | | | | (306,862 | ) | | | - | | Net realized gain/(loss) on private investment companies | | | (168,651 | ) | | | - | | | | - | | | | (146,186 | ) | | | (125,458 | ) | | | 206,064 | | Net change in open trade equity/(deficit) | | | - | | | | - | | | | - | | | | - | | | | - | | | | 2,795 | | Net unrealized gain/(loss) on swap contracts | | | - | | | | - | | | | - | | | | (67,435 | ) | | | (138,924 | ) | | | (297,047 | ) | Net realized gain/(loss) on U.S. Treasury securities | | | 13,736 | | | | (301,015 | ) | | | 351,189 | | | | 3,162 | | | | (47,081 | ) | | | 52,025 | | Net unrealized gain/(loss) on U.S. Treasury securities | | | (19,535 | ) | | | 168,599 | | | | (410,408 | ) | | | 1,244 | | | | 18,865 | | | | 11,162 | | Trading commissions | | | - | | | | - | | | | (72,185 | ) | | | - | | | | - | | | | - | | Change in fair value of investments in unconsolidated trading companies | | | (353,149 | ) | | | (876,164 | ) | | | 350,346 | | | | (63,386 | ) | | | (101,748 | ) | | | 333,988 | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 617,083 | | | | (1,008,580 | ) | | | 3,726,928 | | | | 158,123 | | | | (701,208 | ) | | | 308,987 | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | 122,072 | | | | (2,151,756 | ) | | | 1,831,567 | | | | (52,669 | ) | | | (1,104,534 | ) | | | (253,454 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | 1,570,365 | | | | (32,695 | ) | | | (67,355 | ) | | | (144,019 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | 122,072 | | | $ | (2,151,756 | ) | | $ | 261,202 | | | $ | (19,974 | ) | | $ | (1,037,179 | ) | | $ | (109,435 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (0.05 | ) | | $ | (27.51 | ) | | $ | 4.56 | | | $ | (2.29 | ) | | $ | (21.36 | ) | | $ | 1.61 | | Class 1AP | | $ | 4.51 | | | $ | (26.52 | ) | | $ | 10.27 | | | $ | 2.37 | | | $ | (22.50 | ) | | $ | 5.68 | | Class 2 | | $ | 5.65 | | | $ | (29.33 | ) | | $ | 5.52 | | | $ | 1.06 | | | $ | (27.17 | ) | | $ | 7.60 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Diversified Fund | | | | Class 1 | | | Class 2 | | | Class 2 | | | Class 3 | | | Class 3 | | | | | | | | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | $ | 5,189,420 | | | $ | 460,196 | | | $ | 37,771,385 | | | $ | 33,899 | | | $ | 13,016,491 | | | | - | | | $ | 56,471,391 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | 3,063 | | | | - | | | | 599,571 | | | | 182,372 | | | | - | | | | - | | | | 785,006 | | Redemption of Units | | | (1,682,241 | ) | | | (464,612 | ) | | | (30,088,881 | ) | | | - | | | | (5,165,979 | ) | | | - | | | | (37,401,713 | ) | Transfer of Units In(Out) | | | (1,174,984 | ) | | | - | | | | - | | | | - | | | | 1,174,984 | | | | - | | | | - | | Net increase/(decrease) in Owners’Capital resulting from operations attributable to controlling interests | | | (3,036 | ) | | | 7,777 | | | | 1,347,310 | | | | (3,107 | ) | | | 263,059 | | | | - | | | | 1,612,003 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 2,332,222 | | | $ | 3,361 | | | $ | 9,629,385 | | | $ | 213,164 | | | $ | 9,288,555 | | | $ | - | | | $ | 21,466,687 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (354,496 | ) | | | - | | | | (988,936 | ) | | | (19,000 | ) | | | (1,747,519 | ) | | | - | | | | (3,109,951 | ) | Net increase/(decrease) in Owners’Capital resulting from operations attributable to controlling interests | | | (274,170 | ) | | | (356 | ) | | | (970,700 | ) | | | (21,738 | ) | | | (933,262 | ) | | | - | | | | (2,200,226 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 1,703,556 | | | $ | 3,005 | | | $ | 7,669,749 | | | $ | 172,426 | | | $ | 6,607,774 | | | $ | - | | | $ | 16,156,510 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | | | | | | | | | | | | | | | | | - | | | | | | | | - | | Redemption of Units | | | (269,710 | ) | | | - | | | | (2,063,288 | ) | | | (57,500 | ) | | | (1,796,772 | ) | | | | | | | (4,187,270 | ) | Net increase/(decrease) in Owners’Capital resulting from operations attributable to controlling interests | | | (130,651 | ) | | | 18 | | | | (8,633 | ) | | | 1,007 | | | | 168,639 | | | | - | | | | 30,380 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 1,303,195 | | | $ | 3,023 | | | $ | 5,597,828 | | | $ | 115,933 | | | $ | 4,979,641 | | | $ | - | | | $ | 11,999,620 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 44,569 | | | | 3,462 | | | | 284,124 | | | | 275 | | | | 105,594 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | 26 | | | | - | | | | 4,572 | | | | 1,421 | | | | 8,264 | | | | | | | | | | Redemption of Units (including transfers) | | | (24,561 | ) | | | (3,437 | ) | | | (217,468 | ) | | | - | | | | (39,953 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 20,035 | | | | 25 | | | | 71,229 | | | | 1,696 | | | | 73,905 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (3,374 | ) | | | - | | | | (7,760 | ) | | | (165 | ) | | | (15,234 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 16,661 | | | | 25 | | | | 63,469 | | | | 1,531 | | | | 58,671 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (3,771 | ) | | | - | | | | (17,427 | ) | | | (511 | ) | | | (14,839 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 12,890 | | | | 25 | | | | 46,042 | | | | 1,021 | | | | 43,832 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | 116.43 | | | | | | | | 132.94 | | | | | | | | 123.27 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | (0.02 | ) | | | | | | | 2.25 | | | | | | | | 2.41 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | 116.41 | | | | | | | | 135.19 | | | | | | | | 125.68 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (14.16 | ) | | | | | | | (14.35 | ) | | | | | | | (13.06 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 102.25 | | | | | | | $ | 120.84 | | | | | | | $ | 112.62 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (1.15 | ) | | | | | | | 0.74 | | | | | | | | 0.98 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 101.10 | | | | | | | $ | 121.58 | | | | | | | $ | 113.61 | | | | | | | | | |
(1) Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Masters Fund | | | | Class 1 | | | Class 2 | | | Class 2 | | | Class 3 | | | Class 3 | | | | | | | | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | $ | 5,361,626 | | | $ | 336,691 | | | $ | 5,320,871 | | | $ | 32,970 | | | $ | 6,117,149 | | | | - | | | $ | 17,169,307 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | 2,610 | | | | - | | | | 65,000 | | | | - | | | | - | | | | - | | | | 67,610 | | Redemption of Units | | | (858,657 | ) | | | (227,040 | ) | | | (2,033,381 | ) | | | - | | | | (2,371,639 | ) | | | - | | | | (5,490,717 | ) | Transfer of Units In(Out) | | | (1,571,804 | ) | | | - | | | | - | | | | - | | | | 1,571,804 | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (20,233 | ) | | | (22,307 | ) | | | 98,766 | | | | 1,239 | | | | 153,475 | | | | - | | | | 210,940 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 2,913,542 | | | $ | 87,344 | | | $ | 3,451,256 | | | $ | 34,209 | | | $ | 5,470,789 | | | | - | | | $ | 11,957,140 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (882,110 | ) | | | (20,000 | ) | | | (1,614,113 | ) | | | (8,000 | ) | | | (1,765,825 | ) | | | - | | | | (4,290,048 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (546,954 | ) | | | (15,979 | ) | | | (595,533 | ) | | | (6,190 | ) | | | (930,303 | ) | | | - | | | | (2,094,959 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 1,484,478 | | | $ | 51,365 | | | $ | 1,241,610 | | | $ | 20,019 | | | $ | 2,774,661 | | | $ | - | | | $ | 5,572,133 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (1,450,004 | ) | | | (33,750 | ) | | | (198,224 | ) | | | (8,000 | ) | | | (1,032,846 | ) | | | | | | | (2,722,825 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (21,680 | ) | | | (4,572 | ) | | | (205,621 | ) | | | (2,791 | ) | | | (376,606 | ) | | | - | | | | (611,269 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 12,794 | | | $ | 13,043 | | | $ | 837,765 | | | $ | 9,228 | | | $ | 1,365,209 | | | | | | | $ | 2,238,039 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 47,530 | | | | 2,615 | | | | 41,318 | | | | 275 | | | | 51,022 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | 23 | | | | - | | | | 505 | | | | - | | | | 13,399 | | | | | | | | | | Redemption of Units (including transfers) | | | (22,159 | ) | | | (1,960 | ) | | | (15,925 | ) | | | - | | | | (20,442 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 25,393 | | | | 655 | | | | 25,898 | | | | 275 | | | | 43,979 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (9,097 | ) | | | (178 | ) | | | (14,366 | ) | | | (76 | ) | | | (16,442 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 16,296 | | | | 477 | | | | 11,532 | | | | 199 | | | | 27,537 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (16,119 | ) | | | (327 | ) | | | (1,922 | ) | | | (86 | ) | | | (10,844 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 177 | | | | 149 | | | | 9,610 | | | | 113 | | | | 16,693 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | 112.80 | | | | | | | | 128.78 | | | | | | | | 119.89 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | 1.94 | | | | | | | | 4.49 | | | | | | | | 4.51 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | $ | 114.74 | | | | | | | $ | 133.27 | | | | | | | $ | 124.40 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (23.64 | ) | | | | | | | (25.59 | ) | | | | | | | (23.63 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 91.10 | | | | | | | $ | 107.68 | | | | | | | $ | 100.77 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (18.82 | ) | | | | | | | (20.50 | ) | | | | | | | (18.99 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 72.28 | | | | | | | $ | 87.18 | | | | | | | $ | 81.78 | | | | | | | | | |
(2) Values are for both the Managing Owner and Limited Owners. |
| | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest - net | | $ | 441 | | | $ | 19,354 | | | $ | 35,454 | | | $ | 2,476 | | | $ | 4,656 | | | $ | 23,657 | | | $ | 4,010 | | | $ | 2,018 | | | $ | 12,648 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | 441 | | | | 19,354 | | | | 35,454 | | | | 2,476 | | | | 4,656 | | | | 23,657 | | | | 4,010 | | | | 2,018 | | | | 12,648 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | - | | | | (4,499 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | (3,789 | ) | Management Fees | | | - | | | | 2,668 | | | | 44,289 | | | | - | | | | 7,665 | | | | 108,413 | | | | - | | | | - | | | | - | | Service Fees | | | 14,246 | | | | 44,726 | | | | 58,473 | | | | 1,786 | | | | 11,635 | | | | 49,049 | | | | 381 | | | | 562 | | | | 1,653 | | Due Diligence Fees | | | 8,636 | | | | - | | | | - | | | | 1,971 | | | | - | | | | - | | | | 363 | | | | - | | | | - | | Trading Fees | | | 251,203 | | | | 493,585 | | | | 591,665 | | | | 101,300 | | | | 213,153 | | | | 420,391 | | | | 32,628 | | | | 54,334 | | | | 82,890 | | Other Fees | | | - | | | | - | | | | 16,404 | | | | - | | | | - | | | | 27,336 | | | | - | | | | - | | | | 1,594 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 274,085 | | | | 540,979 | | | | 706,332 | | | | 105,057 | | | | 232,453 | | | | 605,189 | | | | 33,372 | | | | 54,896 | | | | 82,348 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (273,644 | ) | | | (521,625 | ) | | | (670,878 | ) | | | (102,581 | ) | | | (227,797 | ) | | | (581,532 | ) | | | (29,362 | ) | | | (52,878 | ) | | | (69,700 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gain/(loss) on private investment companies | | | 946,785 | | | | 907,504 | | | | (2,307,071 | ) | | | 393,123 | | | | (162,637 | ) | | | (1,197,207 | ) | | | 283,384 | | | | 198,426 | | | | (403,889 | ) | Net realized gain/(loss) on private investment companies | | | (1,549,052 | ) | | | (730,551 | ) | | | 278,882 | | | | (754,772 | ) | | | (159,651 | ) | | | (75,683 | ) | | | (405,836 | ) | | | (428,509 | ) | | | (240,941 | ) | Net realized gain/(loss) on swap contracts | | | (446,306 | ) | | | - | | | | | | | | - | | | | - | | | | - | | | | 188,100 | | | | - | | | | | | Net unrealized gain/(loss) on swap contracts | | | (1,537,399 | ) | | | 464,169 | | | | 643,941 | | | | - | | | | - | | | | - | | | | 44,277 | | | | (116,581 | ) | | | 82,063 | | Net realized gain/(loss) on U.S. Treasury securities | | | (14,579 | ) | | | 14,359 | | | | (51,245 | ) | | | 8,759 | | | | 15,346 | | | | (45,198 | ) | | | 737 | | | | 977 | | | | (40,742 | ) | Net unrealized gain/(loss) on U.S. Treasury securities | | | 23,758 | | | | (19,045 | ) | | | 33,137 | | | | (4,357 | ) | | | (9,501 | ) | | | (15,571 | ) | | | (1,009 | ) | | | 2,447 | | | | 14,319 | | Change in fair value of investments in unconsolidated trading companies | | | 11,127 | | | | (84,431 | ) | | | (126,992 | ) | | | (3,287 | ) | | | (67,029 | ) | | | (179,768 | ) | | | (11,314 | ) | | | 35 | | | | (18,068 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (2,565,666 | ) | | | 552,005 | | | | (1,529,348 | ) | | | (360,534 | ) | | | (383,472 | ) | | | (1,513,427 | ) | | | 98,339 | | | | (343,205 | ) | | | (607,258 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | (2,839,310 | ) | | | 30,380 | | | | (2,200,226 | ) | | | (463,115 | ) | | | (611,269 | ) | | | (2,094,959 | ) | | | 68,977 | | | | (396,083 | ) | | | (676,958 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | (2,839,310 | ) | | $ | 30,380 | | | $ | (2,200,226 | ) | | $ | (463,115 | ) | | $ | (611,269 | ) | | $ | (2,094,959 | ) | | $ | 68,977 | | | $ | (396,083 | ) | | $ | (676,958 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (28.42 | ) | | $ | (1.15 | ) | | $ | (14.16 | ) | | $ | (17.10 | ) | | $ | (18.82 | ) | | $ | (23.64 | ) | | | N/A | | | | N/A | | | | N/A | | Class 1a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | (44.20 | ) | | $ | (12.60 | ) | | $ | (24.55 | ) | Class 2 | | $ | (32.63 | ) | | $ | 0.74 | | | $ | (14.35 | ) | | $ | (19.64 | ) | | $ | (20.49 | ) | | $ | (25.59 | ) | | $ | 4.39 | | | $ | (17.22 | ) | | $ | (16.99 | ) | Class 2a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 2.74 | | | $ | (13.97 | ) | | $ | (27.07 | ) | Class 3 | | $ | (30.28 | ) | | $ | 0.98 | | | $ | (13.06 | ) | | $ | (18.26 | ) | | $ | (18.98 | ) | | $ | (23.63 | ) | | $ | 4.57 | | | $ | (18.02 | ) | | $ | (17.84 | ) | Class 3a | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | $ | 3.06 | | | $ | (14.51 | ) | | $ | (28.16 | ) |
The accompanying notes are an integral part of these financial statements.
The Series of the Frontier Funds Statements of Operations The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2020 , 2019, 2018 2017 | | Frontier Long/Short Commodity Fund | | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2a | | | Class 3a | | | Non- | | | | | | | Managing Owner | | | Limited Owners | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | $ | 299,889 | | | $ | 508,474 | | | $ | 4,405,863 | | | $ | 1,913,595 | | | $ | 234,742 | | | $ | 728,453 | | | $ | 11,715 | | | $ | 1,162,796 | | | | - | | | $ | 9,265,527 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (266,500 | ) | | | (254,592 | ) | | | (1,738,353 | ) | | | (751,844 | ) | | | (210,852 | ) | | | (255,931 | ) | | | (10,565 | ) | | | (1,099,228 | ) | | | - | | | | (4,587,865 | ) | Transfer of Units In(Out) | | | - | | | | - | | | | - | | | | (1,051,248 | ) | | | - | | | | - | | | | - | | | | 1,051,248 | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (21,390 | ) | | | (6,981 | ) | | | (194,516 | ) | | | (2,884 | ) | | | 10,222 | | | | (63,990 | ) | | | 609 | | | | (144,680 | ) | | | - | | | | (423,610 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 11,999 | | | $ | 246,901 | | | $ | 2,472,994 | | | $ | 107,619 | | | $ | 34,112 | | | $ | 408,532 | | | $ | 1,759 | | | $ | 970,136 | | | $ | - | | | $ | 4,254,052 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (4,500 | ) | | | (147,466 | ) | | | (344,963 | ) | | | (79,178 | ) | | | (4,501 | ) | | | (151,758 | ) | | | - | | | | (399,521 | ) | | | - | | | | (1,131,887 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (1,501 | ) | | | (21,337 | ) | | | (336,614 | ) | | | (8,390 | ) | | | (9,127 | ) | | | (90,789 | ) | | | (506 | ) | | | (208,694 | ) | | | - | | | | (676,958 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 5,998 | | | $ | 78,098 | | | $ | 1,791,417 | | | $ | 20,051 | | | $ | 20,484 | | | $ | 165,985 | | | $ | 1,253 | | | $ | 361,921 | | | $ | - | | | $ | 2,445,207 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (500 | ) | | | (32,587 | ) | | | (519,520 | ) | | | (4,858 | ) | | | (9,000 | ) | | | (62,516 | ) | | | | | | | (85,853 | ) | | | - | | | | (714,834 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (968 | ) | | | (8,996 | ) | | | (280,069 | ) | | | (3,746 | ) | | | (3,623 | ) | | | (29,504 | ) | | | (260 | ) | | | (68,917 | ) | | | - | | | | (396,083 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 4,530 | | | $ | 36,515 | | | $ | 991,828 | | | $ | 11,447 | | | $ | 7,861 | | | $ | 73,965 | | | $ | 993 | | | $ | 207,151 | | | $ | - | | | $ | 1,334,290 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 2,316 | | | | 3,924 | | | | 33,685 | | | | 20,628 | | | | 2,222 | | | | 6,893 | | | | 109 | | | | 10,816 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 8,513 | | | | | | | | | | Redemption of Units (including transfers) | | | (2,212 | ) | | | (1,793 | ) | | | (13,330 | ) | | | (19,305 | ) | | | (1,858 | ) | | | (2,527 | ) | | | (91 | ) | | | (9,429 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 104 | | | | 2,131 | | | | 20,355 | | | | 1,323 | | | | 364 | | | | 4,366 | | | | 18 | | | | 9,900 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (43 | ) | | | (1,341 | ) | | | (3,072 | ) | | | (971 | ) | | | (57 | ) | | | (1,871 | ) | | | - | | | | (4,720 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 61 | | | | 790 | | | | 17,283 | | | | 352 | | | | 307 | | | | 2,495 | | | | 18 | | | | 5,180 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (5 | ) | | | (343 | ) | | | (5,702 | ) | | | (93 | ) | | | (158 | ) | | | (1,086 | ) | | | - | | | | (1,435 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 56 | | | | 447 | | | | 11,581 | | | | 259 | | | | 149 | | | | 1,408 | | | | 18 | | | | 3,745 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2016 | | | | | | | (2.54 | ) | | | (1.34 | ) | | | (1.98 | ) | | | | | | | (0.52 | ) | | | | | | | 0.64 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | | | | | 129.56 | | | | 130.80 | | | | 92.78 | | | | | | | | 105.67 | | | | | | | | 107.50 | | | | | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | | | | | (13.75 | ) | | | (9.30 | ) | | | (11.43 | ) | | | | | | | (12.08 | ) | | | | | | | (9.51 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | | | | | 115.81 | | | | 121.50 | | | | 81.35 | | | | | | | | 93.59 | | | | | | | | 97.99 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | | | | | (16.99 | ) | | | (17.84 | ) | | | (24.55 | ) | | | | | | | (27.07 | ) | | | | | | | (28.16 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | | | | | $ | 98.82 | | | $ | 103.66 | | | $ | 56.80 | | | | | | | $ | 66.52 | | | | | | | $ | 69.83 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | | | | | (17.22 | ) | | | (18.02 | ) | | | (12.60 | ) | | | | | | | (13.97 | ) | | | | | | | (14.52 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | | | | | $ | 81.60 | | | $ | 85.64 | | | $ | 44.20 | | | | | | | $ | 52.55 | | | | | | | $ | 55.31 | | | | | | | | | |
| (1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Balanced Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Non- | | | | | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Limited Owners | | | Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | | 56,955,371 | | | | 677,181 | | | | 530,387 | | | | 21,871,170 | | | | 209,112 | | | | 307,144 | | | | 1,749,006 | | | | - | | | | 82,299,371 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | 34,027 | | | | - | | | | | | | | 4,937 | | | | 123,835 | | | | - | | | | - | | | | - | | | | 162,799 | | Redemption of Units | | | (18,642,950 | ) | | | (100,517 | ) | | | (401,984 | ) | | | (15,828,193 | ) | | | (4,000 | ) | | | (123,043 | ) | | | (430,276 | ) | | | - | | | | (35,530,963 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | 397,555 | | | | 24,583 | | | | 19,485 | | | | 781,225 | | | | 9,708 | | | | 7,175 | | | | 61,241 | | | | - | | | | 1,300,972 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 38,744,003 | | | $ | 601,247 | | | $ | 147,888 | | | $ | 6,829,139 | | | $ | 338,655 | | | $ | 191,276 | | | $ | 1,379,971 | | | $ | - | | | $ | 48,232,179 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (8,236,418 | ) | | | (178,400 | ) | | | (7,000 | ) | | | (1,737,916 | ) | | | (52,000 | ) | | | (90,924 | ) | | | (351,542 | ) | | | - | | | | (10,654,200 | ) | Payment made by the Managing Owner | | | 32,070 | | | | 32 | | | | - | | | | 13,964 | | | | - | | | | 100 | | | | 137 | | | | - | | | | 46,303 | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (4,835,733 | ) | | | (67,767 | ) | | | (15,867 | ) | | | (701,833 | ) | | | (35,558 | ) | | | (12,376 | ) | | | (135,051 | ) | | | - | | | | (5,804,185 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 25,703,922 | | | $ | 355,112 | | | $ | 125,021 | | | $ | 4,403,354 | | | $ | 251,097 | | | $ | 88,076 | | | $ | 893,515 | | | $ | - | | | $ | 31,820,097 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units (including transfers) | | | (7,737,266 | ) | | | (122,927 | ) | | | (53,000 | ) | | | (1,238,298 | ) | | | (78,594 | ) | | | (45,814 | ) | | | (16,647 | ) | | | | | | | (9,292,547 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (169,056 | ) | | | 6,359 | | | | 1,727 | | | | 123,049 | | | | (21,370 | ) | | | 1,786 | | | | 23,715 | | | | - | | | | (33,789 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 17,797,600 | | | $ | 238,544 | | | $ | 73,748 | | | $ | 3,288,105 | | | $ | 151,133 | | | $ | 44,048 | | | $ | 900,583 | | | $ | - | | | $ | 22,493,761 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 422,530 | | | | 4,671 | | | | 2,720 | | | | 112,166 | | | | 1,237 | | | | 1,817 | | | | 10,380 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | 255 | | | | - | | | | - | | | | 25 | | | | 712 | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (137,829 | ) | | | (678 | ) | | | (1,991 | ) | | | (78,534 | ) | | | (23 | ) | | | (728 | ) | | | (2,503 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 284,956 | | | | 3,993 | | | | 729 | | | | 33,657 | | | | 1,926 | | | | 1,089 | | | | 7,877 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (66,442 | ) | | | (1,346 | ) | | | (38 | ) | | | (9,321 | ) | | | (325 | ) | | | (527 | ) | | | (2,159 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 218,514 | | | | 2,643 | | | | 691 | | | | 24,294 | | | | 1,601 | | | | 562 | | | | 5,718 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (66,700 | ) | | | (912 | ) | | | (294 | ) | | | (6,599 | ) | | | (663 | ) | | | (288 | ) | | | (107 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 151,814 | | | | 1,731 | | | | 397 | | | | 17,695 | | | | 938 | | | | 274 | | | | 5,611 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | 134.80 | | | | 144.97 | | | | | | | | 194.99 | | | | | | | | 169.05 | | | | 168.49 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | 1.17 | | | | 5.59 | | | | | | | | 7.91 | | | | | | | | 6.72 | | | | 6.69 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | 135.96 | | | | 150.56 | | | | | | | | 202.90 | | | | | | | | 175.77 | | | | 175.18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (18.33 | ) | | | (16.40 | ) | | | | | | | (21.96 | ) | | | | | | | (18.96 | ) | | | (18.92 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | | | | | $ | 180.94 | | | | | | | $ | 156.81 | | | $ | 156.26 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (0.40 | ) | | | 3.65 | | | | | | | | 4.88 | | | | | | | | 4.23 | | | | 4.24 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 117.23 | | | $ | 137.81 | | | | | | | $ | 185.82 | | | | | | | $ | 161.04 | | | $ | 160.50 | | | | | | | | | |
| (1) | Values are for both the Managing Owner and Limited Owners. |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | Interest - net | | $ | 6,461 | | | $ | 46,019 | | | $ | 38,298 | | | $ | - | | | $ | (5 | ) | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income/(loss) | | | 6,461 | | | | 46,019 | | | | 38,298 | | | | - | | | | (5 | ) | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | - | | | | 145,134 | | | | - | | | | - | | | | - | | Management Fees | | | 19,600 | | | | 22,377 | | | | 77,495 | | | | - | | | | - | | | | - | | Service Fees | | | 351,503 | | | | 606,359 | | | | 920,570 | | | | 62,144 | | | | 102,692 | | | | 132,408 | | Risk analysis Fees | | | 5,880 | | | | 5,576 | | | | 8,738 | | | | - | | | | - | | | | - | | Trading Fees | | | 580,978 | | | | 972,678 | | | | 1,378,226 | | | | 53,759 | | | | 85,589 | | | | 117,056 | | Other Fees | | | - | | | | - | | | | 29,045 | | | | - | | | | - | | | | 5,384 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 957,961 | | | | 1,606,990 | | | | 2,559,208 | | | | 115,903 | | | | 188,281 | | | | 254,848 | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (951,500 | ) | | | (1,560,971 | ) | | | (2,520,910 | ) | | | (115,903 | ) | | | (188,286 | ) | | | (254,848 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | | 598,263 | | | | 135,527 | | | | (376,937 | ) | | | - | | | | - | | | | - | | Net unrealized gain/(loss) on private investment companies | | | 619,705 | | | | 1,457,718 | | | | (4,729,444 | ) | | | 66,982 | | | | (149,095 | ) | | | (919,512 | ) | Net realized gain/(loss) on private investment companies | | | (1,593,919 | ) | | | (921,909 | ) | | | 774,004 | | | | (240,757 | ) | | | 170,272 | | | | (26,405 | ) | Net change in open trade equity/(deficit) | | | 30,465 | | | | (133,881 | ) | | | 14,335 | | | | - | | | | - | | | | - | | Net realized gain/(loss) on swap contracts | | | (2,448,166 | ) | | | - | | | | - | | | | (91,989 | ) | | | - | | | | - | | Net unrealized gain/(loss) on swap contracts | | | (3,088,917 | ) | | | 1,149,846 | | | | 1,453,948 | | | | - | | | | - | | | | - | | Net realized gain/(loss) on U.S. Treasury securities | | | 25,729 | | | | 12,809 | | | | (57,886 | ) | | | 3,696 | | | | (397 | ) | | | (13,509 | ) | Net unrealized gain/(loss) on U.S. Treasury securities | | | (5,410 | ) | | | 1,058 | | | | (13,623 | ) | | | (2,628 | ) | | | 3,636 | | | | (14,160 | ) | Trading commissions | | | (21,148 | ) | | | (33,456 | ) | | | (61,387 | ) | | | - | | | | - | | | | - | | Change in fair value of investments in unconsolidated trading companies | | | (31,150 | ) | | | (140,530 | ) | | | (286,285 | ) | | | 82,965 | | | | (31,555 | ) | | | (75,342 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (5,914,548 | ) | | | 1,527,182 | | | | (3,283,275 | ) | | | (181,731 | ) | | | (7,139 | ) | | | (1,048,928 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | (6,866,048 | ) | | | (33,789 | ) | | | (5,804,185 | ) | | | (297,634 | ) | | | (195,425 | ) | | | (1,303,776 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | (6,866,048 | ) | | $ | (33,789 | ) | | $ | (5,804,185 | ) | | $ | (297,634 | ) | | $ | (195,425 | ) | | $ | (1,303,776 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (37.30 | ) | | $ | (0.40 | ) | | $ | (18.33 | ) | | $ | (8.01 | ) | | $ | (4.86 | ) | | $ | (18.86 | ) | Class 1AP | | $ | (41.00 | ) | | $ | 3.65 | | | $ | (16.40 | ) | | $ | (7.52 | ) | | $ | (3.97 | ) | | $ | (17.54 | ) | Class 2 | | $ | (55.28 | ) | | $ | 4.88 | | | $ | (21.96 | ) | | $ | (9.74 | ) | | $ | (4.24 | ) | | $ | (24.55 | ) | Class 2a | | $ | (47.84 | ) | | $ | 4.23 | | | $ | (18.96 | ) | | | N/A | | | | N/A | | | | N/A | | Class 3a | | $ | (47.69 | ) | | $ | 4.24 | | | $ | (18.92 | ) | | | N/A | | | | N/A | | | | N/A | |
The accompanying notes are an integral part of these financial statements.
The Series of the Frontier Funds Statements of Operations For the Years Ended December 31, 2020 , 2019, 2018 | | Frontier Global Fund | | | Frontier Heritage Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | | | | | Interest - net | | $ | - | | | $ | (2 | ) | | $ | 316 | | | $ | - | | | $ | (6 | ) | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | - | | | | (2 | ) | | | 316 | | | | - | | | | (6 | ) | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | - | | | | - | | | | - | | | | - | | | | 697 | | Management Fees | | | - | | | | 38,679 | | | | 487,698 | | | | - | | | | 7,289 | | | | 120,602 | | Service Fees | | | 100,858 | | | | 177,833 | | | | 318,897 | | | | 66,761 | | | | 84,518 | | | | 123,257 | | Risk analysis Fees | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Trading Fees | | | 186,591 | | | | 278,497 | | | | 307,053 | | | | 104,941 | | | | 118,979 | | | | 142,735 | | Other Fees | | | - | | | | - | | | | 29,844 | | | | - | | | | - | | | | 16,035 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Expenses | | | 287,449 | | | | 495,009 | | | | 1,143,492 | | | | 171,702 | | | | 210,786 | | | | 403,326 | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment (loss) - net | | | (287,449 | ) | | | (495,011 | ) | | | (1,143,176 | ) | | | (171,702 | ) | | | (210,792 | ) | | | (403,326 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net unrealized gain/(loss) on private investment companies | | | (751,136 | ) | | | 1,144,682 | | | | - | | | | 227,342 | | | | 430,724 | | | | (306,862 | ) | Net realized gain/(loss) on private investment companies | | | 455,079 | | | | (168,651 | ) | | | - | | | | (83,882 | ) | | | (146,186 | ) | | | (125,458 | ) | Net change in open trade equity/(deficit) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net realized gain/(loss) on swap contracts | | | - | | | | - | | | | - | | | | (97,745 | ) | | | - | | | | - | | Net unrealized gain/(loss) on swap contracts | | | - | | | | - | | | | - | | | | 197,829 | | | | (67,435 | ) | | | (138,924 | ) | Net realized gain/(loss) on U.S. Treasury securities | | | 11,678 | | | | 13,736 | | | | (301,015 | ) | | | 900 | | | | 3,162 | | | | (47,081 | ) | Net unrealized gain/(loss) on U.S. Treasury securities | | | (7,981 | ) | | | (19,535 | ) | | | 168,599 | | | | 1,057 | | | | 1,244 | | | | 18,865 | | Trading commissions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Change in fair value of investments in unconsolidated trading companies | | | (4,495 | ) | | | (353,149 | ) | | | (876,164 | ) | | | (16,350 | ) | | | (63,386 | ) | | | (101,748 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (296,855 | ) | | | 617,083 | | | | (1,008,580 | ) | | | 229,151 | | | | 158,123 | | | | (701,208 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | | | (584,304 | ) | | | 122,072 | | | | (2,151,756 | ) | | | 57,449 | | | | (52,669 | ) | | | (1,104,534 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Less: Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | 95,915 | | | | (32,695 | ) | | | (67,355 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | | $ | (584,304 | ) | | $ | 122,072 | | | $ | (2,151,756 | ) | | $ | (38,466 | ) | | $ | (19,974 | ) | | $ | (1,037,179 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | | | | | | | | | | | | | | | | | | | | | | | | | Class 1 | | $ | (20.62 | ) | | $ | (0.05 | ) | | $ | (27.51 | ) | | $ | (1.44 | ) | | $ | (2.29 | ) | | $ | (21.36 | ) | Class 1AP | | $ | (154.43 | ) | | $ | 4.51 | | | $ | (26.52 | ) | | $ | 2.35 | | | $ | 2.37 | | | $ | (22.50 | ) | Class 2 | | $ | (25.26 | ) | | $ | 5.65 | | | $ | (29.33 | ) | | $ | 2.32 | | | $ | 1.06 | | | $ | (27.17 | ) |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Changes in Owners’ Capital For the Years Ended December 31, 2020, 2019, 2018 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | | Class 1 | | | Class 2 | | | Class 2 | | | Class 3 | | | Class 3 | | | | | | | | | Class 1 | | | Class 2 | | | Class 2 | | | Class 3 | | | Class 3 | | | | | | | | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 2,332,222 | | | $ | 3,361 | | | $ | 9,629,385 | | | $ | 213,164 | | | $ | 9,288,555 | | | $ | - | | | $ | 21,466,687 | | | $ | 2,913,542 | | | $ | 87,344 | | | $ | 3,451,256 | | | $ | 34,209 | | | $ | 5,470,789 | | | | - | | | $ | 11,957,140 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (354,496 | ) | | | - | | | | (988,936 | ) | | | (19,000 | ) | | | (1,747,519 | ) | | | - | | | | (3,109,951 | ) | | | (882,110 | ) | | | (20,000 | ) | | | (1,614,113 | ) | | | (8,000 | ) | | | (1,765,825 | ) | | | - | | | | (4,290,048 | ) | Net increase/(decrease) in Owners’ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Capital resulting from operations attributable to controlling interests | | | (274,170 | ) | | | (356 | ) | | | (970,700 | ) | | | (21,738 | ) | | | (933,262 | ) | | | - | | | | (2,200,226 | ) | | | (546,954 | ) | | | (15,979 | ) | | | (595,533 | ) | | | (6,190 | ) | | | (930,303 | ) | | | - | | | | (2,094,959 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 1,703,556 | | | $ | 3,005 | | | $ | 7,669,749 | | | $ | 172,426 | | | $ | 6,607,774 | | | $ | - | | | $ | 16,156,510 | | | $ | 1,484,478 | | | $ | 51,365 | | | $ | 1,241,610 | | | $ | 20,019 | | | $ | 2,774,661 | | | $ | - | | | $ | 5,572,133 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (269,710 | ) | | | - | | | | (2,063,288 | ) | | | (57,500 | ) | | | (1,796,772 | ) | | | - | | | | (4,187,270 | ) | | | (1,450,004 | ) | | | (33,750 | ) | | | (198,224 | ) | | | (8,000 | ) | | | (1,032,846 | ) | | | - | | | | (2,722,824 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (130,651 | ) | | | 18 | | | | (8,633 | ) | | | 1,007 | | | | 168,639 | | | | - | | | | 30,380 | | | | (21,680 | ) | | | (4,572 | ) | | | (205,621 | ) | | | (2,791 | ) | | | (376,606 | ) | | | - | | | | (611,270 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 1,303,195 | | | $ | 3,023 | | | $ | 5,597,828 | | | $ | 115,933 | | | $ | 4,979,641 | | | | - | | | $ | 11,999,620 | | | $ | 12,794 | | | $ | 13,043 | | | $ | 837,765 | | | $ | 9,228 | | | $ | 1,365,209 | | | | - | | | $ | 2,238,039 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | - | | | | - | | | | (3,958,812 | ) | | | (30,900 | ) | | | (987,627 | ) | | | - | | | | (4,977,339 | ) | | | - | | | | (4,200 | ) | | | (379,078 | ) | | | - | | | | (398,119 | ) | | | - | | | | (781,397 | ) | Transfer of Units In(Out) | | | (987,405 | ) | | | - | | | | - | | | | - | | | | 987,405 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (161,530 | ) | | | (811 | ) | | | (1,175,004 | ) | | | (30,628 | ) | | | (1,471,337 | ) | | | - | | | | (2,839,310 | ) | | | (3,054 | ) | | | (2,578 | ) | | | (201,014 | ) | | | (2,061 | ) | | | (254,408 | ) | | | - | | | | (463,115 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2020 | | $ | 154,260 | | | $ | 2,212 | | | $ | 464,012 | | | $ | 54,405 | | | $ | 3,508,082 | | | | - | | | $ | 4,182,971 | | | $ | 9,740 | | | $ | 6,265 | | | $ | 257,673 | | | $ | 7,167 | | | $ | 712,682 | | | | - | | | $ | 993,527 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 20,035 | | | | 25 | | | | 71,229 | | | | 1,696 | | | | 73,905 | | | | | | | | | | | | 25,393 | | | | 655 | | | | 25,898 | | | | 275 | | | | 43,979 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (3,374 | ) | | | - | | | | (7,760 | ) | | | (165 | ) | | | (15,234 | ) | | | | | | | | | | | (9,097 | ) | | | (178 | ) | | | (14,366 | ) | | | (76 | ) | | | (16,442 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 16,661 | | | | 25 | | | | 63,469 | | | | 1,531 | | | | 58,671 | | | | | | | | | | | | 16,296 | | | | 477 | | | | 11,532 | | | | 199 | | | | 27,537 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (3,771 | ) | | | - | | | | (17,427 | ) | | | (511 | ) | | | (14,839 | ) | | | | | | | | | | | (16,119 | ) | | | (328 | ) | | | (1,922 | ) | | | (86 | ) | | | (10,844 | ) | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 12,890 | | | | 25 | | | | 46,042 | | | | 1,021 | | | | 43,832 | | | | | | | | | | | | 177 | | | | 149 | | | | 9,610 | | | | 113 | | | | 16,693 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (10,768 | ) | | | - | | | | (40,826 | ) | | | (368 | ) | | | (1,732 | ) | | | | | | | | | | | - | | | | (56 | ) | | | (5,794 | ) | | | - | | | | (5,473 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2020 | | | 2,122 | | | | 25 | | | | 5,217 | | | | 653 | | | | 42,100 | | | | | | | | | | | | 177 | | | | 93 | | | | 3,816 | | | | 113 | | | | 11,220 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | | 102.25 | | | | | | | | 120.84 | | | | | | | | 112.62 | | | | | | | | | | | $ | 91.10 | | | | | | | $ | 107.68 | | | | | | | $ | 100.77 | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (1.15 | ) | | | | | | | 0.74 | | | | | | | | 0.98 | | | | | | | | | | | | (18.82 | ) | | | | | | | (20.50 | ) | | | | | | | (18.99 | ) | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 101.10 | | | | | | | $ | 121.58 | | | | | | | $ | 113.61 | | | | | | | | | | | $ | 72.28 | | | | | | | $ | 87.18 | | | | | | | $ | 81.78 | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2020 | | $ | (28.42 | ) | | | | | | $ | (32.63 | ) | | | | | | $ | (30.28 | ) | | | | | | | | | | $ | (17.10 | ) | | | | | | $ | (19.64 | ) | | | | | | $ | (18.26 | ) | | | | | | | | | Net asset value per unit at December 31, 2020 | | $ | 72.68 | | | | | | | $ | 88.95 | | | | | | | $ | 83.33 | | | | | | | | | | | $ | 55.18 | | | | | | | $ | 67.54 | | | | | | | $ | 63.52 | | | | | | | | | |
The accompanying notes
| (1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Changes in Owners’ Capital For the Years Ended December 31, 2020, 2019, 2018 | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2a | | | Class 3a | | | | | | | | | | Managing Owner | | | Limited Owners | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 11,999 | | | $ | 246,901 | | | $ | 2,472,994 | | | $ | 107,619 | | | $ | 34,112 | | | $ | 408,532 | | | $ | 1,759 | | | $ | 970,136 | | | | - | | | $ | 4,254,052 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (4,500 | ) | | | (147,466 | ) | | | (344,963 | ) | | | (79,178 | ) | | | (4,501 | ) | | | (151,758 | ) | | | - | | | | (399,521 | ) | | | - | | | | (1,131,887 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (1,501 | ) | | | (21,337 | ) | | | (336,614 | ) | | | (8,390 | ) | | | (9,127 | ) | | | (90,789 | ) | | | (506 | ) | | | (208,694 | ) | | | - | | | | (676,958 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 5,998 | | | $ | 78,098 | | | $ | 1,791,417 | | | $ | 20,051 | | | $ | 20,484 | | | $ | 165,985 | | | $ | 1,253 | | | $ | 361,921 | | | $ | - | | | $ | 2,445,207 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (500 | ) | | | (32,587 | ) | | | (519,520 | ) | | | (4,858 | ) | | | (9,000 | ) | | | (62,516 | ) | | | - | | | | (85,853 | ) | | | - | | | | (714,834 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (968 | ) | | | (8,996 | ) | | | (280,069 | ) | | | (3,746 | ) | | | (3,623 | ) | | | (29,504 | ) | | | (260 | ) | | | (68,917 | ) | | | - | | | | (396,083 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 4,530 | | | $ | 36,515 | | | $ | 991,828 | | | $ | 11,447 | | | $ | 7,861 | | | $ | 73,965 | | | $ | 993 | | | $ | 207,151 | | | | - | | | $ | 1,334,290 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (800 | ) | | | (7,667 | ) | | | (66,892 | ) | | | - | | | | - | | | | (1,193 | ) | | | - | | | | (13,411 | ) | | | - | | | | (89,964 | ) | Transfer of Units In(Out) | | | - | | | | - | | | | - | | | | (11,267 | ) | | | - | | | | - | | | | - | | | | 11,267 | | | | - | | | | - | | Net increase/(decrease) in Owners’ | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Capital resulting from operations attributable to controlling interests | | | 209 | | | | 1,486 | | | | 51,835 | | | | (180 | ) | | | 413 | | | | 3,811 | | | | 55 | | | | 11,347 | | | | - | | | | 68,977 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2020 | | $ | 3,939 | | | $ | 30,334 | | | $ | 976,771 | | | $ | - | | | $ | 8,274 | | | $ | 76,583 | | | $ | 1,048 | | | $ | 216,354 | | | | - | | | $ | 1,313,303 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 104 | | | | 2,131 | | | | 20,355 | | | | 1,323 | | | | 364 | | | | 4,366 | | | | 18 | | | | 9,900 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (43 | ) | | | (1,341 | ) | | | (3,072 | ) | | | (971 | ) | | | (57 | ) | | | (1,871 | ) | | | - | | | | (4,720 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 61 | | | | 790 | | | | 17,283 | | | | 352 | | | | 307 | | | | 2,495 | | | | 18 | | | | 5,180 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (5 | ) | | | (343 | ) | | | (5,702 | ) | | | (93 | ) | | | (158 | ) | | | (1,086 | ) | | | - | | | | (1,435 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 56 | | | | 447 | | | | 11,581 | | | | 259 | | | | 149 | | | | 1,409 | | | | 18 | | | | 3,745 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (10 | ) | | | (94 | ) | | | (753 | ) | | | (259 | ) | | | - | | | | (23 | ) | | | - | | | | (38 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2020 | | $ | 46 | | | $ | 353 | | | $ | 10,828 | | | $ | (0 | ) | | $ | 149 | | | $ | 1,386 | | | $ | 18 | | | $ | 3,707 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | | | | | 115.81 | | | | 121.50 | | | | 81.35 | | | | | | | | 93.59 | | | | | | | | 97.99 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | | | | | (16.99 | ) | | | (17.84 | ) | | | (24.55 | ) | | | | | | | (27.07 | ) | | | | | | | (28.16 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | | | | | | 98.82 | | | | 103.66 | | | | 56.8 | | | | | | | | 66.52 | | | | | | | | 69.83 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | | | | | (17.22 | ) | | | (18.02 | ) | | | (12.60 | ) | | | | | | | (13.97 | ) | | | | | | | (14.52 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | | | | | $ | 81.60 | | | $ | 85.64 | | | $ | 44.20 | | | | | | | $ | 52.55 | | | | | | | $ | 55.31 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2020 | | | | | | | 4.39 | | | | 4.57 | | | | (44.20 | ) | | | | | | | 2.74 | | | | | | | | 3.06 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2020 | | | | | | $ | 85.99 | | | $ | 90.21 | | | $ | - | | | | | | | $ | 55.29 | | | | | | | $ | 58.37 | | | | | | | | | |
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For | (1) | Values are for both the Years Ended December 31, 2019, 2018, 2017Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Changes in Owners’ Capital For the Years Ended December 31, 2020, 2019, 2018 | | Frontier Balanced Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | | | | | | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 38,744,003 | | | $ | 601,247 | | | $ | 147,888 | | | $ | 6,829,139 | | | $ | 338,655 | | | $ | 191,276 | | | $ | 1,379,971 | | | | - | | | $ | 48,232,179 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (8,236,418 | ) | | | (178,400 | ) | | | (7,000 | ) | | | (1,737,916 | ) | | | (52,000 | ) | | | (90,924 | ) | | | (351,542 | ) | | | - | | | | (10,654,200 | ) | Payment made by the Managing Owner | | | 32,070 | | | | 32 | | | | - | | | | 13,964 | | | | - | | | | 100 | | | | 137 | | | | - | | | | 46,303 | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (4,835,733 | ) | | | (67,767 | ) | | | (15,867 | ) | | | (701,833 | ) | | | (35,558 | ) | | | (12,376 | ) | | | (135,051 | ) | | | - | | | | (5,804,185 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 25,703,922 | | | $ | 355,112 | | | $ | 125,021 | | | $ | 4,403,354 | | | $ | 251,097 | | | $ | 88,076 | | | $ | 893,515 | | | $ | - | | | $ | 31,820,097 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (7,737,266 | ) | | | (122,927 | ) | | | (53,000 | ) | | | (1,238,298 | ) | | | (78,594 | ) | | | (45,814 | ) | | | (16,647 | ) | | | - | | | | (9,292,546 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (169,056 | ) | | | 6,359 | | | | 1,727 | | | | 123,049 | | | | (21,370 | ) | | | 1,786 | | | | 23,714 | | | | - | | | | (33,790 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 17,797,600 | | | $ | 238,544 | | | $ | 73,748 | | | $ | 3,288,105 | | | $ | 151,133 | | | $ | 44,048 | | | $ | 900,583 | | | | - | | | $ | 22,493,761 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (2,911,348 | ) | | | (54,192 | ) | | | - | | | | (400,453 | ) | | | (29,800 | ) | | | - | | | | (121,641 | ) | | | - | | | | (3,517,434 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (5,455,720 | ) | | | (76,299 | ) | | | (21,938 | ) | | | (981,293 | ) | | | (45,917 | ) | | | (13,087 | ) | | | (271,794 | ) | | | - | | | | (6,866,048 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2020 | | $ | 9,430,532 | | | $ | 108,053 | | | $ | 51,810 | | | $ | 1,906,359 | | | $ | 75,416 | | | $ | 30,961 | | | $ | 507,148 | | | | - | | | $ | 12,110,279 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 284,956 | | | | 3,993 | | | | 729 | | | | 33,657 | | | | 1,926 | | | | 1,089 | | | | 7,877 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (66,442 | ) | | | (1,346 | ) | | | (38 | ) | | | (9,321 | ) | | | (325 | ) | | | (527 | ) | | | (2,159 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 218,514 | | | | 2,643 | | | | 691 | | | | 24,294 | | | | 1,601 | | | | 562 | | | | 5,718 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (66,700 | ) | | | (912 | ) | | | (294 | ) | | | (6,599 | ) | | | (663 | ) | | | (288 | ) | | | (107 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 151,814 | | | | 1,731 | | | | 397 | | | | 17,695 | | | | 938 | | | | 274 | | | | 5,611 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (33,823 | ) | | | (615 | ) | | | - | | | | (3,092 | ) | | | (272 | ) | | | - | | | | (1,116 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2020 | | | 117,991 | | | | 1,116 | | | | 397 | | | | 14,603 | | | | 666 | | | | 274 | | | | 4,495 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | $ | 135.96 | | | $ | 150.56 | | | $ | - | | | $ | 202.90 | | | $ | - | | | $ | 175.77 | | | $ | 175.18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the yesr ended December 31, 2018 | | $ | (18.33 | ) | | $ | (16.40 | ) | | | | | | $ | (21.96 | ) | | | | | | $ | (18.96 | ) | | $ | (18.92 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | | | | | $ | 180.94 | | | | | | | $ | 156.81 | | | $ | 156.26 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the yesr ended December 31, 2019 | | $ | (0.40 | ) | | $ | 3.65 | | | | | | | $ | 4.88 | | | | | | | $ | 4.23 | | | $ | 4.24 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 117.23 | | | $ | 137.81 | | | | | | | $ | 185.82 | | | | | | | $ | 161.04 | | | $ | 160.50 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2020 | | $ | (37.30 | ) | | $ | (41.00 | ) | | | | | | $ | (55.28 | ) | | | | | | $ | (47.84 | ) | | $ | (47.69 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2020 | | $ | 79.93 | | | $ | 96.81 | | | | | | | $ | 130.54 | | | | | | | $ | 113.20 | | | $ | 112.81 | | | | | | | | | |
| | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | $ | 10,540,702 | | | $ | 29,897 | | | $ | 9,397 | | | $ | 1,402,043 | | | $ | 4,107,816 | | | $ | 16,089,855 | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | 1,467 | | | | - | | | | 98,345 | | | | - | | | | - | | | | 99,812 | | Redemption of Units | | | (4,000,256 | ) | | | (6,074 | ) | | | (34,300 | ) | | | (529,559 | ) | | | - | | | | (4,570,189 | ) | Change in control of ownership - Trading Companies | | | - | | | | - | | | | - | | | | - | | | | (3,638,738 | ) | | | (3,638,738 | ) | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | (469,078 | ) | | | (469,078 | ) | Payment made by Related Party | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (628,933 | ) | | | (469 | ) | | | (3,147 | ) | | | (77,185 | ) | | | - | | | | (709,734 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 5,912,980 | | | $ | 23,354 | | | $ | 70,295 | | | $ | 795,299 | | | $ | - | | | $ | 6,801,928 | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | - | | | | - | | | | - | | | | - | | | | | | | | - | | Redemption of Units | | | (1,052,680 | ) | | | (18,274 | ) | | | (11,000 | ) | | | (559,336 | ) | | | - | | | | (1,641,290 | ) | Change in control of ownership - Trading Companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Transfer of Units In(Out) | | | (1,232 | ) | | | 1,232 | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (1,149,938 | ) | | | (4,415 | ) | | | (12,927 | ) | | | (136,496 | ) | | | - | | | | (1,303,776 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 3,709,130 | | | $ | 1,897 | | | $ | 46,368 | | | $ | 99,467 | | | $ | - | | | $ | 3,856,862 | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (795,619 | ) | | | - | | | | (15,000 | ) | | | (34,192 | ) | | | - | | | | (844,811 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (198,460 | ) | | | 8,937 | | | | (1,537 | ) | | | (4,365 | ) | | | - | | | | (195,425 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 2,715,051 | | | $ | 10,834 | | | $ | 29,831 | | | $ | 60,910 | | | $ | - | | | $ | 2,816,626 | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 112,059 | | | | 296 | | | | 70 | | | | 10,444 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | 16 | | | | - | | | | 753 | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (46,573 | ) | | | (62 | ) | | | (293 | ) | | | (4,452 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 65,502 | | | | 234 | | | | 530 | | | | 5,992 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (13,563 | ) | | | (211 | ) | | | (101 | ) | | | (5,073 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 51,939 | | | | 23 | | | | 429 | | | | 919 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (11,146 | ) | | | 115 | | | | (141 | ) | | | (333 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 40,793 | | | | 138 | | | | 288 | | | | 585 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | 94.06 | | | | 101.16 | | | | | | | | 134.25 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | (3.79 | ) | | | (1.14 | ) | | | | | | | (1.52 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | 90.27 | | | | 100.02 | | | | | | | | 132.73 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (18.86 | ) | | | (17.54 | ) | | | | | | | (24.54 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 71.41 | | | $ | 82.48 | | | | | | | $ | 108.18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (4.85 | ) | | | (3.97 | ) | | | | | | | (4.23 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 66.56 | | | $ | 78.51 | | | | | | | $ | 103.94 | | | | | | | | | |
| (1) | Values are for both the Managing Owner and Limited Owners. |
| (1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Changes in Owners’ Capital For the Years Ended December 31, 2020, 2019, 2018 The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | $ | 20,284,935 | | | $ | 35,478 | | | $ | 43,553 | | | $ | 11,402,560 | | | $ | 9,108,334 | | | $ | 40,874,860 | | | $ | 7,507,072 | | | $ | 5,826 | | | $ | 73,660 | | | $ | 2,670,715 | | | $ | 3,147,279 | | | $ | 13,404,552 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | 16,141 | | | | - | | | | 267,829 | | | | - | | | | - | | | | 283,970 | | | | 9,861 | | | | - | | | | 24,575 | | | | - | | | | - | | | | 34,436 | | Redemption of Units | | | (7,287,300 | ) | | | - | | | | (160,000 | ) | | | (10,072,894 | ) | | | - | | | | (17,520,194 | ) | | | (2,039,347 | ) | | | - | | | | (31,000 | ) | | | (1,909,301 | ) | | | - | | | | (3,979,648 | ) | Change in control of ownership - Trading Companies | | | - | | | | - | | | | - | | | | - | | | | (10,678,699 | ) | | | (10,678,699 | ) | | | - | | | | - | | | | - | | | | - | | | | (2,424,186 | ) | | | (2,424,186 | ) | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | 1,570,365 | | | | 1,570,365 | | | | - | | | | - | | | | - | | | | - | | | | (144,019 | ) | | | (144,019 | ) | Payment made by Related Party | | | 32,681 | | | | 81 | | | | - | | | | 25,384 | | | | - | | | | 58,146 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | 56,157 | | | | 2,202 | | | | 2,170 | | | | 200,673 | | | | - | | | | 261,202 | | | | (41,715 | ) | | | 257 | | | | (3,589 | ) | | | (64,388 | ) | | | - | | | | (109,435 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 13,102,614 | | | $ | 37,761 | | | | 153,552 | | | $ | 1,555,723 | | | $ | - | | | $ | 14,849,650 | | | $ | 5,435,871 | | | $ | 6,083 | | | $ | 63,646 | | | $ | 697,026 | | | $ | 579,074 | | | $ | 6,781,700 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | (20,121 | ) | | | - | | | | - | | | | 31,748 | | | | - | | | | 11,627 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (3,379,980 | ) | | | - | | | | (29,000 | ) | | | (1,092,250 | ) | | | - | | | | (4,501,230 | ) | | | (1,182,575 | ) | | | (4,081 | ) | | | (7,000 | ) | | | (18,107 | ) | | | - | | | | (1,211,763 | ) | Change in control of ownership - Trading Companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (67,355 | ) | | | (67,355 | ) | Transfer of Units In(Out) | | | 49,978 | | | | - | | | | - | | | | (49,978 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (1,997,047 | ) | | | (5,679 | ) | | | (16,954 | ) | | | (132,076 | ) | | | - | | | | (2,151,756 | ) | | | (921,571 | ) | | | (996 | ) | | | (9,685 | ) | | | (104,927 | ) | | | - | | | | (1,037,179 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 7,755,444 | | | $ | 32,082 | | | | 107,598 | | | $ | 313,167 | | | $ | - | | | $ | 8,208,291 | | | $ | 3,331,725 | | | $ | 1,006 | | | $ | 46,961 | | | $ | 573,992 | | | $ | 511,718 | | | $ | 4,465,402 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units | | | (3,388,723 | ) | | | | | | | (61,000 | ) | | | (32,395 | ) | | | - | | | | (3,482,119 | ) | | | (995,044 | ) | | | | | | | (18,500 | ) | | | (94,154 | ) | | | | | | $ | (1,107,697 | ) | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | 105,259 | | | | 965 | | | | 3,460 | | | | 12,387 | | | | - | | | | 122,072 | | | | (41,058 | ) | | | 7,327 | | | | 132 | | | | 13,626 | | | | - | | | | (19,974 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 4,471,980 | | | $ | 33,047 | | | | 50,058 | | | $ | 293,159 | | | $ | - | | | $ | 4,848,244 | | | $ | 2,295,623 | | | $ | 8,333 | | | $ | 28,593 | | | $ | 493,464 | | | $ | 479,024 | | | $ | 3,305,037 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2016 | | | 131,283 | | | | 214 | | | | 207 | | | | 54,044 | | | | | | | | | | | | 62,779 | | | | 45 | | | | 428 | | | | 15,518 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | 332 | | | | - | | | | 1,252 | | | | 127 | | | | | | | | | | | | 83 | | | | - | | | | 143 | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (49,248 | ) | | | - | | | | (750 | ) | | | (46,985 | ) | | | | | | | | | | | (18,007 | ) | | | - | | | | (194 | ) | | | (11,662 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 82,367 | | | | 214 | | | | 709 | | | | 7,186 | | | | | | | | | | | | 44,855 | | | | 45 | | | | 377 | | | | 3,856 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (23,421 | ) | | | - | | | | (134 | ) | | | (5,513 | ) | | | | | | | | | | | (11,481 | ) | | | (36 | ) | | | (69 | ) | | | (93 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 58,946 | | | | 214 | | | | 575 | | | | 1,673 | | | | | | | | | | | | 33,374 | | | | 9 | | | | 308 | | | | 3,763 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (24,943 | ) | | | | | | | (315 | ) | | | (153 | ) | | | | | | | | | | | (9,838 | ) | | | 64 | | | | (122 | ) | | | (550 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 34,003 | | | | 214 | | | | 260 | | | | 1,520 | | | | | | | | | | | | 23,536 | | | | 73 | | | | 186 | | | | 3,213 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2016 | | | 154.51 | | | | 166.17 | | | | | | | | 210.98 | | | | | | | | | | | | 119.58 | | | | 128.60 | | | | | | | | 172.10 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2017 | | | 4.56 | | | | 10.27 | | | | | | | | 5.52 | | | | | | | | | | | | 1.61 | | | | 5.68 | | | | | | | | 7.60 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | 159.08 | | | | 176.44 | | | | | | | | 216.50 | | | | | | | | | | | $ | 121.19 | | | $ | 134.28 | | | | | | | $ | 179.70 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (27.51 | ) | | | (26.52 | ) | | | | | | | (29.33 | ) | | | | | | | | | | | (21.37 | ) | | | (22.50 | ) | | | | | | | (27.17 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | $ | 131.57 | | | $ | 149.92 | | | | | | | $ | 187.17 | | | | | | | | | | | $ | 99.83 | | | $ | 111.78 | | | | | | | $ | 152.53 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (0.05 | ) | | | 4.51 | | | | | | | | 5.65 | | | | | | | | | | | | (2.29 | ) | | | 2.37 | | | | | | | | 1.06 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 131.52 | | | $ | 154.43 | | | | | | | $ | 192.82 | | | | | | | | | | | $ | 97.54 | | | $ | 114.15 | | | | | | | $ | 153.59 | | | | | | | | | |
| (1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Cash Flows
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Diversified Fund | | | Frontier Masters Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | 30,380 | | | $ | (2,200,226 | ) | | $ | 1,612,003 | | | $ | (611,269 | ) | | $ | (2,094,959 | ) | | $ | 210,940 | | 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 ownership allocation of U.S. Treasury securities | | | 1,891,523 | | | | (1,138,048 | ) | | | 127,984 | | | | 651,757 | | | | 1,757,672 | | | | (1,584,958 | ) | Net unrealized (gain)/loss on swap contracts | | | (464,169 | ) | | | (643,941 | ) | | | 47,375 | | | | - | | | | - | | | | - | | Net unrealized (gain)/loss on U.S. Treasury securities | | | 19,045 | | | | (33,137 | ) | | | (152,150 | ) | | | 9,501 | | | | 15,571 | | | | 70,651 | | Net realized (gain)/loss on U.S. Treasury securities | | | (14,359 | ) | | | 51,245 | | | | (65,391 | ) | | | (15,346 | ) | | | 45,198 | | | | (88,761 | ) | Net unrealized gain/(loss) on private investment companies | | | (907,504 | ) | | | 2,307,071 | | | | (812,254 | ) | | | 162,637 | | | | 1,197,208 | | | | (794,590 | ) | Net realized gain/(loss) on private investment companies | | | 730,551 | | | | (278,881 | ) | | | (1,870,541 | ) | | | (159,651 | ) | | | 75,682 | | | | (482,146 | ) | (Purchases) sales of: | | | | | | | | | | | | | | | | | | | | | | | | | Purchases of swap contracts | | | - | | | | | | | | - | | | | - | | | | - | | | | - | | Sales of U.S. Treasury securities | | | 1,747,952 | | | | 2,612,077 | | | | 6,494,979 | | | | 632,031 | | | | 1,784,721 | | | | 5,524,387 | | Purchase of U.S. Treasury securities | | | (2,190,500 | ) | | | (2,304,284 | ) | | | (680,345 | ) | | | (1,175,606 | ) | | | (2,106,696 | ) | | | (1,611,333 | ) | U.S. Treasury interest and premium paid/amortized | | | (5 | ) | | | 25,935 | | | | 33,155 | | | | 4,656 | | | | 14,162 | | | | 340,843 | | Purchase of Private Investment Companies | | | (4,995,273 | ) | | | (3,845,201 | ) | | | (13,430,089 | ) | | | (1,894,552 | ) | | | (3,476,046 | ) | | | (8,435,434 | ) | Reduction of collateral in Swap contracts | | | - | | | | 1,099,999 | | | | 2,214,000 | | | | - | | | | | | | | - | | Sale of Private Investment Companies | | | 6,950,956 | | | | 5,234,058 | | | | 40,457,348 | | | | 4,353,896 | | | | 5,948,998 | | | | 6,958,710 | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | | | | | | | Investments in unconsolidated trading companies, at fair value | | | 1,136,760 | | | | 1,064,300 | | | | 1,976,418 | | | | 764,083 | | | | 726,054 | | | | 5,176,964 | | Interest receivable | | | 29,990 | | | | (16,890 | ) | | | 106,665 | | | | 2,217 | | | | 29,657 | | | | 47,718 | | Receivable from related parties | | | (11,453 | ) | | | - | | | | 231,671 | | | | - | | | | - | | | | 153,157 | | Other assets | | | (177,606 | ) | | | - | | | | - | | | | - | | | | 2,974 | | | | (2,974 | ) | Incentive fees payable to Managing Owner | | | 6,380 | | | | (19,227 | ) | | | 12,847 | | | | - | | | | - | | | | - | | Management fees payable to Managing Owner | | | (3,875 | ) | | | (174 | ) | | | (19,447 | ) | | | (8,347 | ) | | | (602 | ) | | | (41,225 | ) | Interest payable to Managing Owner | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Trading fees payable to Managing Owner | | | (8,950 | ) | | | (16,361 | ) | | | (85,995 | ) | | | (16,311 | ) | | | (21,147 | ) | | | (8,759 | ) | Service fees payable to Managing Owner | | | (1,106 | ) | | | 884 | | | | (11,579 | ) | | | (1,546 | ) | | | (1,820 | ) | | | (5,467 | ) | Payables to related parties | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 2,101 | | | | 20,430 | | | | - | | | | 3,441 | | | | 28,100 | | | | - | | Other liabilities | | | - | | | | (26,873 | ) | | | 7,198 | | | | 499 | | | | - | | | | (7,590 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 3,770,838 | | | | 1,892,756 | | | | 36,193,852 | | | | 2,702,090 | | | | 3,924,727 | | | | 5,420,133 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | 785,006 | | | | - | | | | - | | | | 67,610 | | Payment for redemption of units | | | (4,187,270 | ) | | | (3,109,951 | ) | | | (37,401,713 | ) | | | (2,722,825 | ) | | | (4,290,048 | ) | | | (5,490,717 | ) | Payment made by the Managing Owner | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Pending owner additions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | - | | | | 1,500,000 | | | | - | | | | - | | | | - | | | | - | | Owner redemptions payable | | | - | | | | - | | | | (61,482 | ) | | | - | | | | - | | | | (131,840 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (4,187,270 | ) | | | (1,609,951 | ) | | | (36,678,189 | ) | | | (2,722,825 | ) | | | (4,290,048 | ) | | | (5,554,947 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | (416,432 | ) | | | 282,805 | | | | (484,337 | ) | | | (20,735 | ) | | | (365,321 | ) | | | (134,814 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 472,695 | | | | 189,890 | | | | 674,227 | | | | 46,374 | | | | 411,695 | | | | 546,509 | | Cash and cash equivalents, end of period | | $ | 56,263 | | | $ | 472,695 | | | $ | 189,890 | | | $ | 25,639 | | | $ | 46,374 | | | $ | 411,695 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Cash Flows
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Long/Short Commodity Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (396,083 | ) | | $ | (676,958 | ) | | $ | (423,610 | ) | 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 ownership allocation of U.S. Treasury securities | | | (392,620 | ) | | | (181,417 | ) | | | (1,561,530 | ) | Net unrealized (gain)/loss on swap contracts | | | 116,581 | | | | (82,062 | ) | | | (26,621 | ) | Net unrealized (gain)/loss on U.S. Treasury securities | | | (2,447 | ) | | | (14,319 | ) | | | 10,631 | | Net realized (gain)/loss on U.S. Treasury securities | | | (977 | ) | | | 40,742 | | | | (21,587 | ) | Net unrealized gain/(loss) on private investment companies | | | (198,426 | ) | | | 403,889 | | | | 246,722 | | Net realized gain/(loss) on private investment companies | | | 428,509 | | | | 240,941 | | | | 106,289 | | (Purchases) sales of: | | | | | | | | | | | | | Purchases of swap contracts | | | - | | | | - | | | | - | | Sales of U.S. Treasury securities | | | 1,130,160 | | | | 1,492,432 | | | | 1,253,375 | | Purchase of U.S. Treasury securities | | | (594,391 | ) | | | (938,178 | ) | | | (314,797 | ) | U.S. Treasury interest and premium paid/amortized | | | 2,018 | | | | 13,128 | | | | 19,105 | | Purchase of Private Investment Companies | | | (1,222,587 | ) | | | (1,544,848 | ) | | | (3,118,307 | ) | Reduction of collateral in Swap contracts | | | - | | | | - | | | | 3,850,050 | | Sale of Private Investment Companies | | | 1,734,988 | | | | 2,189,349 | | | | 6,461,867 | | Increase and/or decrease in: | | | | | | | | | | | | | Investments in unconsolidated trading companies, at fair value | | | 13,452 | | | | 93,346 | | | | (121,510 | ) | Interest receivable | | | 2,876 | | | | 7,953 | | | | (12,125 | ) | Receivable from related parties | | | - | | | | - | | | | 87,670 | | Other assets | | | - | | | | 5,122 | | | | (5,123 | ) | Incentive fees payable to Managing Owner | | | 60,871 | | | | (3,789 | ) | | | (57,082 | ) | Management fees payable to Managing Owner | | | - | | | | - | | | | - | | Interest payable to Managing Owner | | | - | | | | (103 | ) | | | 103 | | Trading fees payable to Managing Owner | | | (1,838 | ) | | | (3,819 | ) | | | (14,353 | ) | Service fees payable to Managing Owner | | | (51 | ) | | | (121 | ) | | | (3,370 | ) | Payables to related parties | | | - | | | | - | | | | (1,603,124 | ) | Subscriptions in advance for service fee rebates | | | - | | | | - | | | | - | | Other liabilities | | | 887 | | | | - | | | | (6,870 | ) | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 680,921 | | | | 1,041,287 | | | | 4,745,803 | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | - | | Payment for redemption of units | | | (714,834 | ) | | | (1,131,887 | ) | | | (4,587,865 | ) | Payment made by the Managing Owner | | | - | | | | - | | | | - | | Pending owner additions | | | - | | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | - | | | | - | | | | - | | Owner redemptions payable | | | 6,585 | | | | - | | | | (5,738 | ) | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (708,249 | ) | | | (1,131,887 | ) | | | (4,593,603 | ) | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | (27,328 | ) | | | (90,600 | ) | | | 152,200 | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 61,600 | | | | 152,200 | | | | - | | Cash and cash equivalents, end of period | | $ | 34,272 | | | $ | 61,600 | | | $ | 152,200 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Cash Flows
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (33,789 | ) | | $ | (5,804,185 | ) | | $ | 1,300,972 | | | $ | (195,425 | ) | | $ | (1,303,776 | ) | | $ | (1,178,812 | ) | 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 | | | 104,475 | | | | (42,107 | ) | | | 278,690 | | | | - | | | | - | | | | 243,762 | | Net change in ownership allocation of U.S. Treasury securities | | | 1,464,296 | | | | 851,183 | | | | 5,251,272 | | | | (1,015,753 | ) | | | 658,029 | | | | 129,027 | | Net unrealized (gain)/loss on swap contracts | | | (1,149,846 | ) | | | (1,453,948 | ) | | | 84,491 | | | | - | | | | - | | | | - | | Net unrealized (gain)/loss on U.S. Treasury securities | | | (1,058 | ) | | | 13,623 | | | | (149,968 | ) | | | (3,636 | ) | | | 14,160 | | | | 6,069 | | Net realized (gain)/loss on U.S. Treasury securities | | | (12,809 | ) | | | 57,886 | | | | (76,560 | ) | | | 397 | | | | 13,509 | | | | (31,037 | ) | Net unrealized gain/(loss) on private investment companies | | | (1,457,718 | ) | | | 4,729,444 | | | | (270,252 | ) | | | 149,095 | | | | 919,512 | | | | (456,301 | ) | Net realized gain/(loss) on private investment companies | | | 921,909 | | | | (774,004 | ) | | | (4,398,507 | ) | | | (170,272 | ) | | | 26,405 | | | | 41,515 | | Net realized gain/(loss) on futures, forwards and options | | | - | | | | - | | | | 381,817 | | | | - | | | | - | | | | 148,184 | | (Purchases) sales of: | | | | | | | | | | | | | | | | | | | | | | | | | Sales of U.S. Treasury securities | | | 1,030,440 | | | | 2,911,825 | | | | 5,221,235 | | | | 2,633,295 | | | | 631,678 | | | | 2,695,392 | | Purchases of U.S. Treasury securities | | | (2,613,278 | ) | | | (3,335,991 | ) | | | (1,219,257 | ) | | | (1,640,515 | ) | | | (944,467 | ) | | | (404,508 | ) | U.S. Treasury interest and premium paid/amortized | | | 46,019 | | | | 41,873 | | | | 79,587 | | | | (5 | ) | | | 9,132 | | | | 53,241 | | Purchase of Private Investment Companies | | | (8,169,632 | ) | | | (8,275,992 | ) | | | (17,346,028 | ) | | | (1,279,910 | ) | | | (2,612,993 | ) | | | (7,419,460 | ) | Sale of Private Investment Companies | | | 17,749,875 | | | | 11,968,285 | | | | 36,818,166 | | | | 2,368,922 | | | | 3,994,230 | | | | 2,255,017 | | Reduction of collateral in Swap contracts | | | - | | | | 1,999,999 | | | | 7,514,000 | | | | - | | | | - | | | | - | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | | | | | | | Receivable from futures commission merchants | | | 157,058 | | | | 4,774,797 | | | | (810,998 | ) | | | - | | | | - | | | | 8,208,218 | | Change in control of ownership - trading companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | (3,638,738 | ) | Change in control of ownership - private investment companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Investments in unconsolidated trading companies, at fair value | | | 1,694,132 | | | | 1,433,177 | | | | 2,185,757 | | | | 17,825 | | | | 147,683 | | | | 3,534,079 | | Interest receivable | | | (1,726 | ) | | | 10,548 | | | | 169,263 | | | | (570 | ) | | | 7,462 | | | | 45,203 | | Receivable from other series | | | - | | | | - | | | | (184,106 | ) | | | - | | | | - | | | | - | | Receivable from related parties | | | - | | | | - | | | | 346,875 | | | | - | | | | - | | | | 103,407 | | Other assets | | | (380,111 | ) | | | (40,189 | ) | | | - | | | | - | | | | - | | | | - | | Incentive fees payable to Managing Owner | | | - | | | | 2,452 | | | | 40,189 | | | | - | | | | - | | | | - | | Management fees payable to Managing Owner | | | (5,122 | ) | | | (1,038 | ) | | | (13,752 | ) | | | - | | | | - | | | | (21,219 | ) | Interest payable to Managing Owner | | | (1,385 | ) | | | (39,098 | ) | | | (19,078 | ) | | | - | | | | (1,358 | ) | | | (2,160 | ) | Trading fees payable to Managing Owner | | | (31,591 | ) | | | (31,358 | ) | | | (62,456 | ) | | | (1,812 | ) | | | (7,086 | ) | | | (3,231 | ) | Service fees payable to Managing Owner | | | (15,156 | ) | | | 241 | | | | (41,807 | ) | | | (1,669 | ) | | | (6,168 | ) | | | (11,223 | ) | Risk analysis fees payable | | | (662 | ) | | | - | | | | 7,731 | | | | - | | | | - | | | | (2,303 | ) | Due from Managing Owner | | | - | | | | 184,106 | | | | - | | | | - | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 61,504 | | | | 258,194 | | | | - | | | | 5,733 | | | | 11,162 | | | | - | | Other liabilities | | | 2,372 | | | | (155,425 | ) | | | 65,839 | | | | 8,509 | | | | (5,725 | ) | | | (6,214 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 9,358,197 | | | | 9,284,298 | | | | 35,153,115 | | | | 874,209 | | | | 1,551,389 | | | | 4,287,908 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | 162,799 | | | | - | | | | - | | | | 99,812 | | Payment for redemption of units | | | (9,292,547 | ) | | | (10,654,364 | ) | | | (35,530,963 | ) | | | (844,811 | ) | | | (1,641,290 | ) | | | (4,570,189 | ) | Payment made by the Managing Owner | | | - | | | | 46,303 | | | | - | | | | - | | | | - | | | | - | | Pending owner additions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | - | | | | 1,250,000 | | | | - | | | | - | | | | - | | | | - | | Owner redemptions payable | | | 15,300 | | | | (53,013 | ) | | | (704,198 | ) | | | 6,875 | | | | - | | | | (134,579 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (9,277,247 | ) | | | (9,411,074 | ) | | | (36,072,362 | ) | | | (837,936 | ) | | | (1,641,290 | ) | | | (4,604,956 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | 80,950 | | | | (126,776 | ) | | | (919,247 | ) | | | 36,273 | | | | (89,901 | ) | | | (317,048 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 37,556 | | | | 164,332 | | | | 1,083,579 | | | | 25,072 | | | | 114,973 | | | | 432,021 | | Cash and cash equivalents, end of period | | $ | 118,506 | | | $ | 37,556 | | | $ | 164,332 | | | $ | 61,345 | | | $ | 25,072 | | | $ | 114,973 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Statements of Cash Flows
For the Years Ended December 31, 2019, 2018, 2017
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | 122,072 | | | $ | (2,151,756 | ) | | $ | 1,831,567 | | | $ | (52,669 | ) | | $ | (1,104,534 | ) | | $ | (253,454 | ) | 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 | | | - | | | | - | | | | 922,290 | | | | - | | | | - | | | | - | | Net realized gain/(loss) on futures, forwards and options | | | - | | | | - | | | | 12,413,285 | | | | - | | | | - | | | | (1,282,594 | ) | Net change in ownership allocation of U.S. Treasury securities | | | (2,166,060 | ) | | | (1,958,364 | ) | | | - | | | | (438,164 | ) | | | 29,426 | | | | 297,047 | | Net unrealized (gain)/loss on swap contracts | | | - | | | | - | | | | (4,430,276 | ) | | | 67,436 | | | | 138,924 | | | | - | | Net unrealized (gain) loss on U.S. Treasury securities, at fair value | | | 19,535 | | | | (168,599 | ) | | | 147,980 | | | | (1,244 | ) | | | (18,865 | ) | | | 2,204 | | Net realized (gain) loss on U.S. Treasury securities, at fair value | | | (13,736 | ) | | | 301,015 | | | | (88,761 | ) | | | (3,162 | ) | | | 47,081 | | | | (65,391 | ) | Net unrealized gain/(loss) on private investment companies | | | (1,144,682 | ) | | | - | | | | - | | | | (430,724 | ) | | | 306,863 | | | | (206,064 | ) | Net realized gain/(loss) on private investment companies | | | 168,651 | | | | - | | | | - | | | | 146,186 | | | | 125,458 | | | | (2,795 | ) | (Purchases) sale of: | | | - | | | | | | | | | | | | - | | | | | | | | | | Sales of U.S. Treasury Securities | | | 8,701,245 | | | | 11,956,435 | | | | 5,762,412 | | | | 2,403,609 | | | | 1,878,837 | | | | 4,774,913 | | Purchases of U.S. Treasury Securities | | | (3,463,172 | ) | | | (7,726,537 | ) | | | (8,456,714 | ) | | | (1,595,028 | ) | | | (1,357,069 | ) | | | (846,887 | ) | U.S. Treasury interest and premium paid/amortized | | | (2 | ) | | | 137,325 | | | | 87,836 | | | | (6 | ) | | | 23,530 | | | | 72,784 | | Purchase of Private Investment Companies | | | (4,899,753 | ) | | | - | | | | - | | | | (1,165,676 | ) | | | (713,437 | ) | | | (2,620,781 | ) | Sale of Private Investment Companies | | | 852,817 | | | | - | | | | - | | | | 1,358,415 | | | | 886,228 | | | | 56,647 | | Reduction of collateral in Swap contracts | | | - | | | | - | | | | - | | | | - | | | | - | | | | 5,000,000 | | Increase and/or decrease in: | | | - | | | | | | | | | | | | - | | | | | | | | | | Receivable from futures commission merchants | | | - | | | | - | | | | 17,996,697 | | | | - | | | | - | | | | - | | Change in control of ownership of trading companies | | | - | | | | - | | | | (10,678,699 | ) | | | - | | | | - | | | | (2,424,186 | ) | Investments in unconsolidated trading companies, at fair value | | | 4,280,256 | | | | 3,695,499 | | | | 815,385 | | | | 707,795 | | | | 820,288 | | | | 1,197,666 | | Interest receivable | | | 63,454 | | | | 47,335 | | | | 178,152 | | | | 7,564 | | | | 11,497 | | | | 48,448 | | Receivable from related parties | | | - | | | | 58,146 | | | | 551,508 | | | | - | | | | - | | | | 131,430 | | Due from Managing Owner | | | - | | | | - | | | | (58,146 | ) | | | - | | | | | | | | - | | Other assets | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Management fees payable to Managing Owner | | | (42,705 | ) | | | (10,334 | ) | | | (203,785 | ) | | | (9,201 | ) | | | (4,270 | ) | | | (43,030 | ) | Interest payable to Managing Owner | | | (8,068 | ) | | | (12,868 | ) | | | (9,738 | ) | | | (1,072 | ) | | | (1,370 | ) | | | (4,811 | ) | Trading fees payable to Managing Owner | | | (1,813 | ) | | | (19,220 | ) | | | (11,569 | ) | | | 981 | | | | (5,514 | ) | | | (2,250 | ) | Service fees payable to Managing Owner | | | (6,540 | ) | | | (8,911 | ) | | | (12,656 | ) | | | (1,322 | ) | | | (4,799 | ) | | | (4,974 | ) | Risk analysis fees payable | | | - | | | | - | | | | (12,215 | ) | | | - | | | | - | | | | - | | Payables to related parties | | | - | | | | - | | | | - | | | | - | | | | (697 | ) | | | - | | Due to Managing Owner | | | - | | | | (152,219 | ) | | | 152,219 | | | | - | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 16,744 | | | | 133,281 | | | | - | | | | 10,973 | | | | 46,159 | | | | - | | Other liabilities | | | 8,543 | | | | (82,265 | ) | | | 79,384 | | | | 1,488 | | | | (16,037 | ) | | | (2,048 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 2,486,786 | | | | 4,037,963 | | | | 16,976,157 | | | | 1,006,876 | | | | 1,087,699 | | | | 3,821,874 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | 283,970 | | | | - | | | | - | | | | 34,436 | | Payment for redemption of units | | | (3,482,119 | ) | | | (4,501,230 | ) | | | (17,520,194 | ) | | | (1,107,696 | ) | | | (1,211,763 | ) | | | (3,979,648 | ) | Pending owner additions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | - | | | | | | | | - | | | | - | | | | | | | | - | | Payment made by Related Party | | | - | | | | 11,627 | | | | 58,146 | | | | - | | | | | | | | | | Change in owner redemptions payable | | | 71,379 | | | | - | | | | (23,162 | ) | | | 9,735 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (3,410,740 | ) | | | (4,489,603 | ) | | | (17,201,240 | ) | | | (1,097,961 | ) | | | (1,211,763 | ) | | | (3,945,212 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | (923,954 | ) | | | (451,640 | ) | | | (225,083 | ) | | | (91,085 | ) | | | (124,064 | ) | | | (123,338 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 951,485 | | | | 1,403,125 | | | | 1,628,208 | | | | 135,096 | | | | 259,161 | | | | 382,499 | | Cash and cash equivalents, end of period | | $ | 27,532 | | | $ | 951,485 | | | $ | 1,403,125 | | | $ | 44,011 | | | $ | 135,096 | | | $ | 259,161 | |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
1. | | Frontier Select Fund | | | Frontier Global Fund | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | Class 1 | | | Class 1AP | | | Class 2 | | | | | | | | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | Limited Owners | | | Limited Owners | | | Managing Owner | | | Limited Owners | | | Non-Controlling Interests | | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2017 | | $ | 5,912,980 | | | $ | 23,354 | | | $ | 70,295 | | | $ | 795,299 | | | $ | - | | | $ | 6,801,928 | | | $ | 13,102,614 | | | $ | 37,761 | | | $ | 153,552 | | | $ | 1,555,723 | | | $ | - | | | $ | 14,849,650 | | | $ | 5,435,871 | | | $ | 6,083 | | | $ | 63,646 | | | $ | 697,026 | | | $ | 579,074 | | | $ | 6,781,700 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (20,121 | ) | | | - | | | | - | | | | 31,748 | | | | - | | | | 11,627 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (1,052,680 | ) | | | (18,274 | ) | | | (11,000 | ) | | | (559,336 | ) | | | - | | | | (1,641,290 | ) | | | (3,379,980 | ) | | | - | | | | (29,000 | ) | | | (1,092,250 | ) | | | - | | | | (4,501,230 | ) | | | (1,182,575 | ) | | | (4,081 | ) | | | (7,000 | ) | | | (18,107 | ) | | | - | | | | (1,211,763 | ) | Change in control of ownership - Trading Companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (67,355 | ) | | | (67,355 | ) | Transfer of Units In(Out) | | | (1,232 | ) | | | 1,232 | | | | - | | | | - | | | | - | | | | - | | | | 49,978 | | | | - | | | | - | | | | (49,978 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (1,149,938 | ) | | | (4,415 | ) | | | (12,927 | ) | | | (136,496 | ) | | | - | | | | (1,303,776 | ) | | | (1,997,047 | ) | | | (5,679 | ) | | | (16,954 | ) | | | (132,076 | ) | | | - | | | | (2,151,756 | ) | | | (921,571 | ) | | | (996 | ) | | | (9,685 | ) | | | (104,927 | ) | | | - | | | | (1,037,179 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 3,709,130 | | | $ | 1,897 | | | $ | 46,368 | | | $ | 99,467 | | | $ | - | | | $ | 3,856,862 | | | $ | 7,755,444 | | | $ | 32,082 | | | $ | 107,598 | | | $ | 313,167 | | | $ | - | | | $ | 8,208,291 | | | $ | 3,331,725 | | | $ | 1,006 | | | $ | 46,961 | | | $ | 573,992 | | | $ | 511,718 | | | $ | 4,465,402 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Payment made by Related Party | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (795,619 | ) | | | - | | | | (15,000 | ) | | | (34,192 | ) | | | - | | | | (844,811 | ) | | | (3,388,723 | ) | | | - | | | | (61,000 | ) | | | (32,395 | ) | | | - | | | | (3,482,118 | ) | | | (995,044 | ) | | | - | | | | (18,500 | ) | | | (94,154 | ) | | | - | | | | (1,107,697 | ) | Operations attributable to non-controlling interests | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Transfer of Units In(Out) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (198,460 | ) | | | 8,937 | | | | (1,537 | ) | | | (4,365 | ) | | | - | | | | (195,425 | ) | | | 105,259 | | | | 965 | | | | 3,460 | | | | 12,387 | | | | - | | | | 122,071 | | | | (41,058 | ) | | | 7,327 | | | | 132 | | | | 13,626 | | | | - | | | | (19,974 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 2,715,051 | | | $ | 10,834 | | | $ | 29,831 | | | $ | 60,910 | | | | - | | | $ | 2,816,626 | | | $ | 4,471,980 | | | $ | 33,047 | | | $ | 50,058 | | | $ | 293,159 | | | $ | - | | | $ | 4,848,244 | | | $ | 2,295,623 | | | $ | 8,333 | | | $ | 28,593 | | | $ | 493,464 | | | $ | 479,024 | | | $ | 3,305,037 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units | | | (850,467 | ) | | | - | | | | (10,200 | ) | | | (5,197 | ) | | | - | | | | (865,864 | ) | | | (1,174,215 | ) | | | (25,277 | ) | | | (14,300 | ) | | | (119,499 | ) | | | - | | | | (1,333,291 | ) | | | (94,455 | ) | | | - | | | | (4,700 | ) | | | (303,112 | ) | | | - | | | | (402,266 | ) | Transfer of Units In(Out) | | | - | | | | - | | | | - | | | | | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | | | (289,256 | ) | | | (1,013 | ) | | | (2,421 | ) | | | (4,944 | ) | | | - | | | | (297,634 | ) | | | (555,793 | ) | | | (7,770 | ) | | | (4,392 | ) | | | (16,349 | ) | | | - | | | | (584,304 | ) | | | (32,016 | ) | | | 127 | | | | 212 | | | | (6,787 | ) | | | (479,024 | ) | | | (517,489 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2020 | | $ | 1,575,328 | | | $ | 9,821 | | | $ | 17,210 | | | $ | 50,769 | | | $ | - | | | $ | 1,653,128 | | | $ | 2,741,972 | | | $ | - | | | $ | 31,366 | | | $ | 157,311 | | | $ | - | | | $ | 2,930,649 | | | $ | 2,169,152 | | | $ | 8,460 | | | $ | 24,105 | | | $ | 183,565 | | | $ | - | | | $ | 2,385,282 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2017 | | | 65,502 | | | | 234 | | | | 530 | | | | 5,992 | | | | | | | | | | | | 82,367 | | | | 214 | | | | 709 | | | | 7,186 | | | | | | | | | | | | 44,855 | | | | 45 | | | | 377 | | | | 3,856 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (13,563 | ) | | | (211 | ) | | | (101 | ) | | | (5,073 | ) | | | | | | | | | | | (23,421 | ) | | | - | | | | (134 | ) | | | (5,513 | ) | | | | | | | | | | | (11,481 | ) | | | (36 | ) | | | (69 | ) | | | (93 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2018 | | | 51,939 | | | | 23 | | | | 429 | | | | 919 | | | | | | | | | | | | 58,946 | | | | 214 | | | | 575 | | | | 1,673 | | | | | | | | | | | | 33,374 | | | | 9 | | | | 308 | | | | 3,763 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemption of Units (including transfers) | | | (11,146 | ) | | | 115 | | | | (141 | ) | | | (333 | ) | | | | | | | | | | | (24,943 | ) | | | - | | | | (315 | ) | | | (153 | ) | | | | | | | | | | | (9,838 | ) | | | 64 | | | | (122 | ) | | | (550 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2019 | | | 40,793 | | | | 138 | | | | 288 | | | | 585 | | | | | | | | | | | | 34,003 | | | | 214 | | | | 260 | | | | 1,520 | | | | | | | | | | | | 23,536 | | | | 73 | | | | 186 | | | | 3,213 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | Redemption of Units (including transfers) | | | (13,887 | ) | | | - | | | | (105 | ) | | | (46 | ) | | | | | | | | | | | (9,279 | ) | | | (214 | ) | | | (73 | ) | | | (581 | ) | | | | | | | | | | | (964 | ) | | | 0 | | | | (31 | ) | | | (2,036 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital - Units, December 31, 2020 | | | 26,906 | | | | 138 | | | | 183 | | | | 539 | | | | | | | | | | | | 24,724 | | | | 0 | | | | 187 | | | | 939 | | | | | | | | | | | | 22,572 | | | | 73 | | | | 155 | | | | 1,177 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2017 | | | 90.27 | | | | 100.02 | | | | | | | | 132.73 | | | | | | | | | | | | 159.08 | | | | 176.44 | | | | | | | | 216.50 | | | | | | | | | | | | 121.19 | | | | 134.28 | | | | | | | | 179.70 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2018 | | | (18.86 | ) | | | (17.54 | ) | | | | | | | (24.54 | ) | | | | | | | | | | | (27.51 | ) | | | (26.52 | ) | | | | | | | (29.33 | ) | | | | | | | | | | | (21.37 | ) | | | (22.50 | ) | | | | | | | (27.17 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2018 | | | 71.41 | | | | 82.48 | | | | | | | | 108.18 | | | | | | | | | | | | 131.57 | | | | 149.92 | | | | | | | | 187.17 | | | | | | | | | | | | 99.83 | | | | 111.78 | | | | | | | | 152.53 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2019 | | | (4.85 | ) | | | (3.97 | ) | | | | | | | 4.23 | | | | | | | | | | | | (0.05 | ) | | | 4.51 | | | | | | | | 5.65 | | | | | | | | | | | | (2.29 | ) | | | 2.37 | | | | | | | | 1.06 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2019 | | $ | 66.56 | | | $ | 78.51 | | | | | | | $ | 103.94 | | | | | | | | | | | $ | 131.52 | | | $ | 154.43 | | | | | | | $ | 192.82 | | | | | | | | | | | $ | 97.54 | | | $ | 114.15 | | | | | | | $ | 153.59 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Change in net asset value per unit for the year ended December 31, 2020 | | | (8.01 | ) | | | (7.52 | ) | | | | | | | (9.74 | ) | | | | | | | | | | | (20.62 | ) | | | (154.43 | ) | | | | | | | (25.26 | ) | | | | | | | | | | | (1.44 | ) | | | 2.35 | | | | | | | | 2.32 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value per unit at December 31, 2020 | | $ | 58.55 | | | $ | 70.99 | | | | | | | $ | 94.20 | | | | | | | | | | | $ | 110.90 | | | $ | - | | | | | | | $ | 167.56 | | | | | | | | | | | $ | 96.10 | | | $ | 116.50 | | | | | | | $ | 155.92 | | | | | | | | | |
(1) Values are for both the Managing Owner and Limited Owners. The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Cash Flows For the Year Ended December 31, 2020, 2019, 2018 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (2,839,310 | ) | | $ | 30,380 | | | $ | (2,200,226 | ) | | $ | (463,115 | ) | | $ | (611,269 | ) | | $ | (2,094,959 | ) | | $ | 68,977 | | | $ | (396,083 | ) | | $ | (676,958 | ) | 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 ownership allocation of U.S. Treasury securities | | | 3,801,487 | | | | 1,891,523 | | | | (1,138,048 | ) | | | 346,666 | | | | 651,757 | | | | 1,757,672 | | | | (1,347,014 | ) | | | (392,620 | ) | | | (181,417 | ) | Net unrealized (gain)/loss on swap contracts | | | 1,537,399 | | | | (464,169 | ) | | | (643,941 | ) | | | - | | | | - | | | | - | | | | (44,277 | ) | | | 116,581 | | | | (82,062 | ) | Net unrealized (gain)/loss on U.S. Treasury securities | | | (23,758 | ) | | | 19,045 | | | | (33,137 | ) | | | 4,357 | | | | 9,501 | | | | 15,571 | | | | 1,009 | | | | (2,447 | ) | | | (14,319 | ) | Net realized (gain)/loss on U.S. Treasury securities | | | 14,579 | | | | (14,359 | ) | | | 51,245 | | | | (8,759 | ) | | | (15,346 | ) | | | 45,198 | | | | (737 | ) | | | (977 | ) | | | 40,742 | | Net unrealized (gain)/loss on private investment companies | | | (946,785 | ) | | | (907,504 | ) | | | 2,307,071 | | | | (393,123 | ) | | | 162,637 | | | | 1,197,208 | | | | (283,384 | ) | | | (198,426 | ) | | | 403,889 | | Net realized (gain)/loss on private investment companies | | | 1,549,052 | | | | 730,551 | | | | (278,881 | ) | | | 754,772 | | | | (159,651 | ) | | | 75,682 | | | | 405,836 | | | | 428,509 | | | | 240,941 | | (Purchases) sales of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Sales of swap contracts | | | 4,870,025 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 594,898 | | | | - | | | | - | | (Purchases) of swap contracts | | | (4,469,147 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | (115,000 | ) | | | - | | | | - | | Sales of U.S. Treasury securities | | | (1,888,716 | ) | | | 1,747,952 | | | | 2,612,077 | | | | 530,370 | | | | 632,031 | | | | 1,784,721 | | | | 2,003,499 | | | | 1,130,160 | | | | 1,492,432 | | (Purchases) of U.S. Treasury securities | | | (2,231,818 | ) | | | (2,190,500 | ) | | | (2,304,284 | ) | | | (852,963 | ) | | | (1,175,606 | ) | | | (2,106,696 | ) | | | (1,054,832 | ) | | | (594,391 | ) | | | (938,178 | ) | U.S. Treasury interest and premium paid/amortized | | | 441 | | | | (5 | ) | | | 25,935 | | | | 2,476 | | | | 4,656 | | | | 14,162 | | | | 4,010 | | | | 2,018 | | | | 13,128 | | (Purchases) of Private Investment Companies | | | (2,163,542 | ) | | | (4,995,273 | ) | | | (3,845,201 | ) | | | (1,178,274 | ) | | | (1,894,552 | ) | | | (3,476,046 | ) | | | (206,942 | ) | | | (1,222,587 | ) | | | (1,544,848 | ) | Reduction of collateral in Swap contracts | | | 4,446,306 | | | | - | | | | 1,099,999 | | | | - | | | | - | | | | - | | | | (73,100 | ) | | | - | | | | - | | Sale of Private Investment Companies | | | 7,222,405 | | | | 6,950,956 | | | | 5,234,058 | | | | 2,001,031 | | | | 4,353,896 | | | | 5,948,998 | | | | 333,194 | | | | 1,734,988 | | | | 2,189,349 | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments in unconsolidated trading companies, at fair value | | | 7,481 | | | | 1,136,760 | | | | 1,064,300 | | | | 10,098 | | | | 764,083 | | | | 726,054 | | | | (3,025 | ) | | | 13,452 | | | | 93,346 | | Interest receivable | | | (6,507 | ) | | | 29,990 | | | | (16,890 | ) | | | 460 | | | | 2,217 | | | | 29,657 | | | | (7,784 | ) | | | 2,876 | | | | 7,953 | | Receivable from related parties | | | 6,561 | | | | (11,453 | ) | | | - | | | | (266 | ) | | | - | | | | - | | | | (5,205 | ) | | | - | | | | - | | Other assets | | | 5,700 | | | | (177,606 | ) | | | - | | | | - | | | | - | | | | 2,974 | | | | - | | | | - | | | | 5,122 | | Due to broker | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | - | | Redemptions receivable from private investment companies | | | 140,020 | | | | 6,380 | | | | - | | | | (24,837 | ) | | | - | | | | - | | | | (1,251 | ) | | | - | | | | - | | Incentive fees payable to Managing Owner | | | - | | | | (3,875 | ) | | | (19,227 | ) | | | - | | | | - | | | | - | | | | - | | | | 60,871 | | | | (3,789 | ) | Management fees payable to Managing Owner | | | - | | | | - | | | | (174 | ) | | | - | | | | (8,347 | ) | | | (602 | ) | | | - | | | | - | | | | - | | Interest payable to Managing Owner | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 87 | | | | (1,838 | ) | | | (103 | ) | Trading fees payable to Managing Owner | | | (23,301 | ) | | | (8,950 | ) | | | (16,361 | ) | | | (6,213 | ) | | | (16,311 | ) | | | (21,147 | ) | | | (1,187 | ) | | | (51 | ) | | | (3,819 | ) | Service fees payable to Managing Owner | | | (3,007 | ) | | | (1,106 | ) | | | 884 | | | | (134 | ) | | | (1,546 | ) | | | (1,820 | ) | | | 18 | | | | - | | | | (121 | ) | Advance on unrealized Swap Appreciation | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (115,000 | ) | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 119 | | | | 2,101 | | | | 20,430 | | | | 184 | | | | 3,441 | | | | 28,100 | | | | 173 | | | | - | | | | - | | Other liabilities | | | 3,110 | | | | - | | | | (26,873 | ) | | | (328 | ) | | | 499 | | | | - | | | | 2,641 | | | | 887 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 9,008,794 | | | | 3,770,838 | | | | 1,892,756 | | | | 722,402 | | | | 2,702,090 | | | | 3,924,727 | | | | 155,604 | | | | 680,922 | | | | 1,041,288 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Payment for redemption of units | | | (4,977,342 | ) | | | (4,187,270 | ) | | | (3,109,951 | ) | | | (781,398 | ) | | | (2,722,825 | ) | | | (4,290,048 | ) | | | (89,964 | ) | | | (714,834 | ) | | | (1,131,887 | ) | Advance on unrealized Swap Appreciation | | | (4,000,000 | ) | | | - | | | | 1,500,000 | | | | - | | | | - | | | | | | | | - | | | | 6,585 | | | | - | | Change in owner redemptions payable | | | - | | | | - | | | | - | | | | 38,128 | | | | - | | | | - | | | | (6,585 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (8,977,342 | ) | | | (4,187,270 | ) | | | (1,609,951 | ) | | | (743,270 | ) | | | (2,722,825 | ) | | | (4,290,048 | ) | | | (96,549 | ) | | | (708,249 | ) | | | (1,131,887 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | 31,452 | | | | (416,432 | ) | | | 282,805 | | | | (20,868 | ) | | | (20,735 | ) | | | (365,321 | ) | | | 59,055 | | | | (27,328 | ) | | | (90,600 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 56,263 | | | | 472,695 | | | | 189,890 | | | | 25,639 | | | | 46,374 | | | | 411,695 | | | | 34,272 | | | | 61,600 | | | | 152,200 | | Cash and cash equivalents, end of period | | $ | 87,715 | | | $ | 56,263 | | | $ | 472,695 | | | $ | 4,771 | | | $ | 25,639 | | | $ | 46,374 | | | $ | 93,327 | | | $ | 34,272 | | | $ | 61,600 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Cash Flows For the Years Ended December 31, 2020, 2019, 2018 | | Frontier Balanced Fund | | | Frontier Select Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (6,866,048 | ) | | $ | (33,789 | ) | | $ | (5,804,185 | ) | | $ | (297,634 | ) | | $ | (195,425 | ) | | $ | (1,303,776 | ) | 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 | | | 15,744 | | | | 104,475 | | | | (42,107 | ) | | | - | | | | - | | | | - | | Net realized (gain)/loss on futures, forwards and options | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net change in options purchased, at fair value | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Due from Managing Owner | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net change in ownership allocation of U.S. Treasury securities | | | (220,865 | ) | | | 1,464,296 | | | | 851,183 | | | | (826,946 | ) | | | (1,015,753 | ) | | | 658,029 | | Net unrealized (gain)/loss on swap contracts | | | 3,088,917 | | | | (1,149,846 | ) | | | (1,453,948 | ) | | | - | | | | - | | | | - | | Net realized (gain)/loss on swap contracts | | | 2,448,166 | | | | 0 | | | | 0 | | | | - | | | | 0 | | | | 0 | | Net unrealized (gain)/loss on U.S. Treasury securities | | | 5,410 | | | | (1,058 | ) | | | 13,623 | | | | 2,628 | | | | (3,636 | ) | | | 14,160 | | Net realized (gain)/loss on U.S. Treasury securities | | | (25,729 | ) | | | (12,809 | ) | | | 57,886 | | | | (3,696 | ) | | | 397 | | | | 13,509 | | Net unrealized (gain)/loss on private investment companies | | | (619,705 | ) | | | (1,457,718 | ) | | | 4,729,444 | | | | (66,982 | ) | | | 149,095 | | | | 919,512 | | Net realized (gain)/loss on private investment companies | | | 1,593,919 | | | | 921,909 | | | | (774,004 | ) | | | 240,757 | | | | (170,272 | ) | | | 26,405 | | (Purchases) sales of: | | | | | | | | | | | | | | | | | | | | | | | | | Sales of swap contracts | | | 7,586,366 | | | | - | | | | - | | | | - | | | | - | | | | - | | (Purchases) of swap contracts | | | (7,355,251 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | Sales of U.S. Treasury securities | | | 3,915,124 | | | | 1,030,440 | | | | 2,911,825 | | | | 2,403,975 | | | | 2,633,295 | | | | 631,678 | | (Purchases) of U.S. Treasury securities | | | (4,746,241 | ) | | | (2,613,278 | ) | | | (3,335,991 | ) | | | (1,467,357 | ) | | | (1,640,515 | ) | | | (944,467 | ) | U.S. Treasury interest and premium paid/amortized | | | 6,461 | | | | 46,019 | | | | 41,873 | | | | - | | | | (5 | ) | | | 9,132 | | (Purchases) of Private Investment Companies | | | (4,848,308 | ) | | | (8,169,632 | ) | | | (8,275,992 | ) | | | (2,136,722 | ) | | | (1,279,910 | ) | | | (2,612,993 | ) | Sale of Private Investment Companies | | | 7,155,734 | | | | 17,749,875 | | | | 11,968,285 | | | | 2,508,522 | | | | 2,368,922 | | | | 3,994,230 | | Reduction of collateral in Swap contracts | | | 6,176,555 | | | | - | | | | 1,999,999 | | | | - | | | | - | | | | - | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | - | | | | | | Receivable from futures commission merchants | | | 2,292,269 | | | | 157,058 | | | | 4,774,797 | | | | - | | | | - | | | | - | | Control of ownership of trading companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Control of ownership of Private Investment Companies | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Investments in unconsolidated trading companies, at fair value | | | 1,112 | | | | 1,694,132 | | | | 1,433,177 | | | | 505,355 | | | | 17,825 | | | | 147,683 | | Prepaid service fees | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Interest receivable | | | (21,201 | ) | | | (1,726 | ) | | | 10,548 | | | | 2,268 | | | | (570 | ) | | | 7,462 | | Receivable from other series | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Receivable from related parties | | | (14,602 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | Other assets | | | - | | | | (380,111 | ) | | | (40,189 | ) | | | - | | | | - | | | | - | | Redemptions receivable from private investment companies | | | 324,638 | | | | - | | | | - | | | | (67,876 | ) | | | - | | | | - | | Incentive fees payable to Managing Owner | | | - | | | | 0 | | | | 2,452 | | | | - | | | | 0 | | | | 0 | | Management fees payable to Managing Owner | | | 59 | | | | (5,122 | ) | | | (1,038 | ) | | | - | | | | - | | | | - | | Interest payable to Managing Owner | | | 1,271 | | | | (1,385 | ) | | | (39,098 | ) | | | 179 | | | | - | | | | (1,358 | ) | Trading fees payable to Managing Owner | | | (32,285 | ) | | | (31,591 | ) | | | (31,358 | ) | | | (2,067 | ) | | | (1,812 | ) | | | (7,086 | ) | Service fees payable to Managing Owner | | | (20,254 | ) | | | (15,156 | ) | | | 241 | | | | (3,197 | ) | | | (1,669 | ) | | | (6,168 | ) | Risk analysis fees payable | | | 1,048 | | | | (662 | ) | | | - | | | | - | | | | - | | | | - | | Payables to related parties | | | - | | | | 0 | | | | 184,106 | | | | 26,129 | | | | 0 | | | | 0 | | Subscriptions in advance for service fee rebates | | | 27,157 | | | | 61,504 | | | | 258,194 | | | | 2,568 | | | | 5,733 | | | | 11,162 | | Other liabilities | | | 6,886 | | | | 2,372 | | | | (155,425 | ) | | | (8,509 | ) | | | 8,509 | | | | (5,725 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 9,876,346 | | | | 9,358,197 | | | | 9,284,298 | | | | 811,395 | | | | 874,209 | | | | 1,551,389 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of units | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Payment for redemption of units | | | (3,517,435 | ) | | | (9,292,547 | ) | | | (10,654,364 | ) | | | (865,865 | ) | | | (844,811 | ) | | | (1,641,290 | ) | Payment made by the Managing Owner | | | - | | | | - | | | | 46,303 | | | | - | | | | - | | | | - | | Pending owner additions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | (6,176,555 | ) | | | - | | | | 1,250,000 | | | | - | | | | - | | | | - | | Change in owner redemptions payable | | | (39,059 | ) | | | 15,300 | | | | (53,013 | ) | | | (6,875 | ) | | | 6,875 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (9,733,049 | ) | | | (9,277,247 | ) | | | (9,411,074 | ) | | | (872,740 | ) | | | (837,936 | ) | | | (1,641,290 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | 143,297 | | | | 80,950 | | | | (126,776 | ) | | | (61,345 | ) | | | 36,273 | | | | (89,901 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 118,506 | | | | 37,556 | | | | 164,332 | | | | 61,345 | | | | 25,072 | | | | 114,973 | | Cash and cash equivalents, end of period | | $ | 261,803 | | | $ | 118,506 | | | $ | 37,556 | | | $ | (0 | ) | | $ | 61,345 | | | $ | 25,072 | |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds Statements of Cash Flows For the Year Ended December 31, 2020, 2019, 2018 | | Frontier Global Fund | | | Frontier Heritage Fund | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (584,304 | ) | | $ | 122,072 | | | $ | (2,151,756 | ) | | $ | (38,465 | ) | | $ | (52,669 | ) | | $ | (1,104,534 | ) | 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 ownership allocation of U.S. Treasury securities | | | (223,579 | ) | | | (2,166,060 | ) | | | (1,958,364 | ) | | | (1,547,348 | ) | | | (438,164 | ) | | | 29,426 | | Net unrealized (gain)/loss on swap contracts | | | - | | | | - | | | | - | | | | (197,829 | ) | | | 67,436 | | | | 138,924 | | Net realized (gain)/loss on swap contracts | | | - | | | | - | | | | - | | | | 97,745 | | | | - | | | | - | | Net unrealized (gain)/loss on U.S. Treasury securities | | | 7,981 | | | | 19,535 | | | | (168,599 | ) | | | (1,057 | ) | | | (1,244 | ) | | | (18,865 | ) | Net realized (gain)/loss on U.S. Treasury securities | | | (11,678 | ) | | | (13,736 | ) | | | 301,015 | | | | (900 | ) | | | (3,162 | ) | | | 47,081 | | Net unrealized (gain)/loss on private investment companies | | | 751,136 | | | | (1,144,682 | ) | | | - | | | | (227,342 | ) | | | (430,724 | ) | | | 306,863 | | Net realized (gain)/loss on private investment companies | | | (455,079 | ) | | | 168,651 | | | | - | | | | 83,882 | | | | 146,186 | | | | 125,458 | | (Purchases) sale of: | | | | | | | | | | | | | | | | | | | | | | | | | Sales of U.S. Treasury Securities | | | 877,516 | | | | 8,701,245 | | | | 11,956,435 | | | | 2,493,564 | | | | 2,403,609 | | | | 1,878,837 | | (Purchases) of U.S. Treasury securities | | | (629,240 | ) | | | (3,463,172 | ) | | | (7,726,537 | ) | | | (940,190 | ) | | | (1,595,028 | ) | | | (1,357,069 | ) | U.S. Treasury interest and premium paid/amortized | | | - | | | | (2 | ) | | | 137,325 | | | | - | | | | (6 | ) | | | 23,530 | | Sales of swap contracts | | | - | | | | - | | | | - | | | | 1,491,966 | | | | - | | | | - | | (Purchases) of swap contracts | | | - | | | | - | | | | - | | | | (978,809 | ) | | | - | | | | - | | (Purchases) of Private Investment Companies | | | (556,666 | ) | | | (4,899,753 | ) | | | - | | | | (1,168,275 | ) | | | (1,165,676 | ) | | | (713,437 | ) | Sale of Private Investment Companies | | | 2,214,920 | | | | 852,817 | | | | - | | | | 1,203,951 | | | | 1,358,415 | | | | 886,228 | | Reduction of collateral in Swap contracts | | | - | | | | - | | | | - | | | | 2,474,936 | | | | - | | | | - | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | | | | | | | Investments in unconsolidated trading companies, at fair value | | | 10,735 | | | | 4,280,256 | | | | 3,695,499 | | | | 16,011 | | | | 707,795 | | | | 820,288 | | Interest receivable | | | 438 | | | | 63,454 | | | | 47,335 | | | | 111 | | | | 7,564 | | | | 11,497 | | Receivable from related parties | | | (319 | ) | | | - | | | | 58,146 | | | | (845 | ) | | | - | | | | - | | Advance on unrealized Swap Appreciation | | | - | | | | - | | | | - | | | | (1,900,000 | ) | | | - | | | | - | | Management fees payable to Managing Owner | | | - | | | | (42,705 | ) | | | (10,334 | ) | | | - | | | | (9,201 | ) | | | (4,270 | ) | Interest payable to Managing Owner | | | 270 | | | | (8,068 | ) | | | (12,868 | ) | | | (27 | ) | | | (1,072 | ) | | | (1,370 | ) | Trading fees payable to Managing Owner | | | (10,691 | ) | | | (1,813 | ) | | | (19,220 | ) | | | (3,465 | ) | | | 981 | | | | (5,514 | ) | Service fees payable to Managing Owner | | | (4,915 | ) | | | (6,540 | ) | | | (8,911 | ) | | | (568 | ) | | | (1,322 | ) | | | (4,799 | ) | Payables to related parties | | | - | | | | - | | | | - | | | | - | | | | - | | | | (697 | ) | Due to Managing Owner | | | - | | | | - | | | | (152,219 | ) | | | - | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 4,646 | | | | 16,744 | | | | 133,281 | | | | 6,073 | | | | 10,973 | | | | 46,159 | | Other liabilities | | | (8,338 | ) | | | 8,543 | | | | (82,265 | ) | | | (948 | ) | | | 1,488 | | | | (16,037 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | 1,382,833 | | | | 2,486,786 | | | | 4,037,963 | | | | 862,171 | | | | 1,006,179 | | | | 1,087,699 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | Payment for redemption of units | | | (1,333,292 | ) | | | (3,482,119 | ) | | | (4,501,230 | ) | | | (402,266 | ) | | | (1,107,696 | ) | | | (1,211,763 | ) | Payment made by Related Party | | | - | | | | - | | | | 11,627 | | | | - | | | | - | | | | - | | Change in non-controlling interest | | | - | | | | | | | | - | | | | (479,025 | ) | | | - | | | | - | | Change in owner redemptions payable | | | (71,379 | ) | | | 71,379 | | | | - | | | | (9,735 | ) | | | 9,735 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (1,404,671 | ) | | | (3,410,740 | ) | | | (4,489,603 | ) | | | (891,026 | ) | | | (1,097,961 | ) | | | (1,211,763 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | (21,838 | ) | | | (923,954 | ) | | | (451,640 | ) | | | (28,855 | ) | | | (91,782 | ) | | | (124,064 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 27,532 | | | | 951,485 | | | | 1,403,125 | | | | 44,011 | | | | 135,096 | | | | 259,161 | | Cash and cash equivalents, end of period | | $ | 5,694 | | | $ | 27,531 | | | $ | 951,485 | | | $ | 15,156 | | | $ | 44,011 | | | $ | 135,096 | |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements 1.Organization and Purpose Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this periodic report. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). It is managed by Frontier Fund Management LLC (the “Managing Owner”). 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 second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as may be amended from time to time (“Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. The Trust has been organized to pool 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. The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, (formerly Frontier Winton Fund), and Frontier Heritage Fund, (each a “Series” and collectively, the “Series”). The Trust, with respect to the Series, may issue additional Series of Units. The Trust, with respect to each Series: | ● | engages in the speculative trading of a diversified portfolio of futures, forwards (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” or “Trading Companies”) and Galaxy Plus entities (“Galaxy Plus”). Except as otherwise described in these notes, each Trading Company and Galaxy Plus entity 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 and Galaxy Plus assets and make the trading decisions for the assets of each Series vested in such Trading Company and Galaxy Plus entity. Each Trading Company and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy Plus entity; |
| ● | 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 managing risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments; |
| ● | maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 two percent (2.0%) 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 two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund (formerly Frontier Winton Fund) are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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. 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 Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund 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. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling agents; and |
| ● | all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund 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. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) business day to be received by the Managing Owner prior to 4:00 PM in New York. |
The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust, with respect to the Series, on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, are maintained in the books and records of each Series.
As of December 31, 2019, the Trust, with respect to the Frontier Diversified Fund, and Frontier Masters Fund separatesor Class 2a Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A,sold until such Class 2 or Class 3A and2a Units which are subject to the fee limitation are reclassified as Class 3. Between April 15, 2016 and May 10, 2017, a portion3 or Class 3a Units of the interests in Frontier Trading Company I, LLCapplicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. 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
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| ● | all payments made to selling agents who are members of the interestsFinancial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund andRule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 2a Units of the Frontier Long/Short Commodity Fund were exchanged for equivalent interestsor Frontier Balanced Fund 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. The service fee limit applicable to each unit sold is reached upon the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assetsearlier of Frontier Trading Company I, LLC, which included exposurewhen (i) the aggregate initial and ongoing service fees received by the selling agent with respect to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfoliossuch unit equals 9% of the Master Funds pursuant topurchase price of such unit or (ii) the advisors’ respective program. For those Series that investaggregate underwriting compensation (determined in Galaxy Plus, approximately 30-70%accordance with FINRA Rule 2310) paid in respect of those Series assets are used to support the margin requirementssuch unit totals 10% of the Master Funds. The remaining assetspurchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) business day to be received by the Managing Owner prior to 4:00 PM in New York. |
The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust, with respect to the Series, on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, are maintained in the books and records of each Series.
As of December 31, 2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A, Class 2, Class 3A and Class 3. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30,2020 and Frontier Global Class 1AP was closed as of November 18, 2020. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account. As of December 31, 2019 and 2018, Frontier Global Fund has invested a portion of its assets in a single Trading Company , and a single Trading Advisor manages 100% of the assets invested in such trading company. As of December 31, 2019, and 2018, Frontier Global Fund has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the remaining Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.
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, bad faith or willful misconduct. 2.
| ● | Significant Accounting Policies The following are the significant accounting policies of the Series of the Trust.
Basis of Presentation—The Series of the Trust follow U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946.
Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus, 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 and a risk analysis fee (for closed Series only), all of which is allocated to the Series if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies.
Galaxy Plus entities are co-mingled investment vehicles. In addition to the Series, there are other non-affiliated investors in Galaxy Plus. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Series ownership percentage in Galaxy Plus. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by week
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The following are the significant accounting policies of the Series of the Trust. Basis of Presentation—The Series of the Trust follow U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946.
Consolidation— The Series, through investing in the Trading Companies and Galaxy Plus, 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 and a risk analysis fee (for closed Series only), all of which is allocated to the Series if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies. Galaxy Plus entities are co-mingled investment vehicles. In addition to the Series, there are other non-affiliated investors in Galaxy Plus. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Series ownership percentage in Galaxy Plus. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week-by-week basis which could also result in frequent changes in the consolidating Series. Such fluctuations make consolidating the financial statements of the Galaxy Plus entities both impractical and misleading. Non-consolidation of these Galaxy Plus entities presents a more useful financial statement for the readers. As such, management has decided that presenting Galaxy Plus entities on a non-consolidated basis as investments in other investments companies (a “fund of funds” approach) is appropriate and preferable to the users of these financial statements. Refer to Note 5 for additional disclosures related to these private investment companies. As of December 31, 2020, and 2019, and 2018, the consolidated statements of financial condition of Frontier Balanced Fund included the assets and liabilities of its wholly owned interests in Frontier Trading Company I, LLC and Frontier Trading Company XXXIV, LLC. For the year ended December 31, 2020, 2019 and 2018 the consolidated statements of operations of Frontier Balanced Fund included the earnings of its wholly owned interest in Frontier Trading Company I, LLC and Frontier Trading Company XXXIV, LLC. As of December 31, 2019, and 2018, the consolidated statements of financial condition of Frontier Long/Short Commodity Fund included the assets and liabilities of its wholly owned Trading Company, Frontier Trading Company XXXVII, LLC.
For the years ended December 31, 2019 and 2018, the consolidated statements of operations of Frontier Long/Short Commodity Fund included the earnings of its wholly owned Trading Company listed above.
As of December 31, 2019, and 2018, the consolidated statements of financial condition of Frontier Diversified Fund included the assets and liabilities of its wholly owned Frontier Trading Company XXXV, LLC.
For the years ended December 31, 2019, 2018, and 2017 the consolidated statements of operations of Frontier Diversified Fund included the earnings of its wholly owned Trading Company listed above.
As of and for the years ended December 31, 2019, 2018, and 2017, the consolidated statements of financial condition and statement of operations of Frontier Heritage Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC.
For the year ended December 31, 2019 and 2018, the consolidated statements of operations of Frontier Select Fund included the earnings of its majority owned Trading Company, Frontier Trading Company XV, LLC through the period that Trading Company XV, LLC ceased operation on May 9, 2017. For the year ended December 31, 2016, the consolidated statement of operations of Frontier Select Fund included the earnings of its majority owned Trading Company listed above.
For the year ended December 31, 2019 and 2018, the consolidated statements of operations of Frontier Global Fund include the earnings of its majority owned Trading Company, Frontier Trading Company II, LLC from January 1, 2017 through December 14, 2017.
As of and for the years ended December 31, 2019, 2018 and 2017, Frontier Master Fund did not have a majority interest in any Trading Company.
Each of the Series has invested in Frontier Trading Company XXXVIII, LLC on the same basis as its ownership in the cash pool. Frontier Trading Company XXXVIII, LLC’s assets, liabilities and earnings are allocated to all of the Series of the Trust based on their proportionate share of the cash pool. Each Series investment in the Frontier Trading Company XXXVIII, LLC is listed under Investments in unconsolidated trading companies, at fair value on the Statements of Financial Condition.
As of December 31, 2020, and 2019, the consolidated statements of financial condition of Frontier Long/Short Commodity Fund included the assets and liabilities of its wholly owned Trading Company, Frontier Trading Company XXXVII, LLC. For the years ended December 31, 2020, 2019 and 2018, the consolidated statements of operations of Frontier Long/Short Commodity Fund included the earnings of its wholly owned Trading Company listed above. As of December 31, 2020, and 2019, the consolidated statements of financial condition of Frontier Diversified Fund included the assets and liabilities of its wholly owned Frontier Trading Company XXXV, LLC. For the years ended December 31, 2020, 2019, and 2018 the consolidated statements of operations of Frontier Diversified Fund included the earnings of its wholly owned Trading Company listed above. As of and for the years ended December 31, 2020, 2019, and 2018, the consolidated statements of financial condition and statement of operations of Frontier Heritage Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC. For the year ended December 31, 2020, 2019 and 2018, the consolidated statements of operations of Frontier Select Fund included the earnings of its majority owned Trading Company. For the year ended December 31, 2019 and 2018, the consolidated statements of operations of Frontier Global Fund include the earnings of its majority owned Trading Company, Frontier Trading Company II, LLC from January 1, 2017 through December 14, 2017. As of and for the years ended December 31, 2019, 2018 and 2017, Frontier Master Fund did not have a majority interest in any Trading Company. Each of the Series has invested in Frontier Trading Company XXXVIII, LLC on the same basis as its ownership in the cash pool. Frontier Trading Company XXXVIII, LLC’s assets, liabilities and earnings are allocated to all of the Series of the Trust based on their proportionate share of the cash pool. Each Series investment in the Frontier Trading Company XXXVIII, LLC is listed under Investments in unconsolidated trading companies, at fair value on the Statements of Financial Condition. Change in Consolidation Method—In February 2017, the Trust elected to change its method by which it consolidates its investments in the Galaxy Plus entities and applied to its December 31, 2016 financial statements. Prior to the change, any Series that had a controlling interest in a Galaxy Plus entity would consolidate the assets and liabilities of that entity into its Statement of Financial Condition and the profit and loss into the Statement of Operations. The Managing Owner believes that this treatment does not provide meaningful data to the end user of the financial statements. As such, all investments in Galaxy Plus entities are accounted for using the net asset value as the practical expedient. In accordance with ASC 250 (Accounting Changes and Error Corrections), the comparative financial statements as of and for the three and nine months ended September 30, 2016 have been adjusted to apply the new method retrospectively. This impacted management fees, incentive fees (rebate), net realized gain/(loss) on futures, forwards and options, net change in open trade equity/(deficit), net unrealized gain/(loss) on private investment companies, net realized gain/(loss) on private investment companies, and operations attributable to non-controlling interests on the Statement of Operations. We also note that there was no impact to total capital or net increase/(decrease) in capital resulting from operations attributable to controlling interests.
Use of Estimates—The preparation of financial statements in conformity with GAAP may require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates, and such differences could be material. Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted. Interest Income—U.S. Treasury Securities 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. Aggregate interest income from all sources, including U.S. Treasuries and assets held at a futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series and shown net on the statement of operations. The amount reflected in the financial statements of the Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those Series may be zero. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. U.S. Treasury Securities—U.S. Treasury Securities are allocated to all Series of the Trust based on each Series’ percentage ownership in the pooled cash management assets as of the reporting date. They are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures (“ASC 820”). The Series of the Trust valued U.S. Treasury Securities at fair value and recorded the daily change in value in the statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the statements of financial condition as interest receivable. Receivable Fromfrom Futures Commission Merchants—The Series of the Trust deposit assets with ana FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20192020 and 20182019 included restricted cash for margin requirements of $2,890,330$321,638 and $1,717,065$2,890,330 respectively, for the Frontier Balanced Fund. 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 open trade equity (deficit) for futures and forwards as there exists a right of offset of unrealized gains or losses in accordance with ASC 210,Balance Sheet (“ASC 210”) and Accounting Standards Update (ASU) 2013-01,Balance Sheet (Topic 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. Transaction costs are recognized as incurred and reflected separately in the statements of operations.
Purchase and Sales of Private Investment Companies– The Series are able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the private investment companies is determined by the Sponsor and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceeds and the fair value calculated by the Sponsor and is recorded as net unrealized gain/(loss) on private investment companies on the statements of operations. Foreign Currency Transactions—The Series’ functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.
Allocation of Earnings—Each Series of the Trust may maintain three to seven subclasses of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a, Class 3a, and Class 1AP. 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, Class 3a and Class 1AP Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series. Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific Series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. 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 Companies or Galaxy Plus entities. Investments and Swaps—The Trust, with respect to the Series, records investment transactions on a trade date basis and at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews and approves current day pricing of the commodity trading advisor (“CTA”) positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts.
Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust, with respect to the Series’, financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series.Series, for the year ended December 31, 2020. The 20162017 through 20192020 tax years generally remain subject to examination by U.S. federal and most state tax authorities. In the opinion of the Managing Owner, (i) the Trust, with respect to the Series, is treated as a partnership for federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. 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, risk analysis fees (for closed Series only) and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations. Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period for a particular series, then the Managing Owner is obligated to return any amount in excess to the Series. The returned amounts are recorded as Incentive Fee (Rebate) on the Statements of Operations.
Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 two percent (2.0%) 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 and 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 two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 and 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 purchase price 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 Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. 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. Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2017, 2018, 2019 and 2019,2020, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 20202021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,531, $220, $31,541, $319,698, $16,895, $150,025$22,650, $393, $31,725, $346,855, $19,463, $154,671 and $57,132$63,205 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of December 31, 2019.2020. These service fees are part of the offering costs of the Trust, with respect to the Series, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and 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. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.
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. Owner redemptions payable—Funds payable for existing owner redemption requests are recorded as capital subtractions at the NAV per unit on the second business day following receipt or request. Recently Adopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluatinghas evaluated the impacts of ASU 2018-13 will have onand ensured that the financial statements.statements are compliant. Subsequent Events—The Series, follows the provisions of ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 11. 3. Fair Value Measurements
In connection with the valuation of investments the Series apply ASC 820. 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 assets 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 assets or inputs that are derived principally from or corroborated by market data by correlation or other means. Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trust, with respect to the Series, uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.
Swap Contracts.Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. 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 parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. Swap contracts are reported at fair value using Level 3 inputs. 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. A Series may redeem its investment in any of the Trading Companies on a daily basis at the Trading Company’s stated net asset value. Each of the Series, all of which are under the same management as the Trading Companies, has access to the underlying positions of the Trading Companies, and as such, the level determination is reflected on that look-through basis. Any redemption of an investment in a Trading Company classified as Level 3 will reflect that classification of the underlying investment owned by the Trading Company. 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. Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. Investments in Private Investment Companies are excluded from the leveling table below.
The following table summarizes investment in each Series measured at fair value on a recurring basis as of December 31, 20192020 and December 31, 20182019 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value. December 31, 2019 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | | December 31, 2020 | | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | | Total Fair Value | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | $ | 24,150 | | | $ | - | | | $ | - | | | $ | 24,150 | | | $ | 16,669 | | | $ | - | | | $ | - | | | $ | 16,669 | | Swap Contracts | | | - | | | | - | | | | 6,384,583 | | | | 6,384,583 | | | U.S. Treasury Securities | | | 99,605 | | | | - | | | | - | | | | 99,605 | | | | 427,393 | | | | - | | | | - | | | | 427,393 | | Frontier Masters Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 11,005 | | | | - | | | | - | | | | 11,005 | | | | 907 | | | | - | | | | - | | | | 907 | | U.S. Treasury Securities | | | 45,391 | | | | - | | | | - | | | | 45,391 | | | | 23,245 | | | | - | | | | - | | | | 23,245 | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 14,711 | | | | - | | | | - | | | | 14,711 | | | | 17,736 | | | | - | | | | - | | | | 17,736 | | Swap Contracts | | | - | | | | - | | | | 362,521 | | | | 362,521 | | | U.S. Treasury Securities | | | 60,673 | | | | - | | | | - | | | | 60,673 | | | | 454,738 | | | | - | | | | - | | | | 454,738 | | Frontier Balanced Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 50,867 | | | | - | | | | - | | | | 50,867 | | | | 49,755 | | | | - | | | | - | | | | 49,755 | | Open Trade Equity (Deficit) | | | 57,057 | | | | 59,127 | | | | - | | | | 116,184 | | | | 100,440 | | | | - | | | | - | | | | 100,440 | | Swap Contracts | | | - | | | | - | | | | 11,944,753 | | | | 11,944,753 | | | U.S. Treasury Securities | | | 209,799 | | | | - | | | | - | | | | 209,799 | | | | 1,275,641 | | | | - | | | | - | | | | 1,275,641 | | Frontier Select Fund | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 26,331 | | | | - | | | | 479,024 | | | | 505,355 | | | U.S. Treasury Securities | | | 108,603 | | | | - | | | | - | | | | 108,603 | | | Frontier Winton Fund | | | | | | | | | | | | | | | | | | Frontier Global Fund | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 11,818 | | | | - | | | | - | | | | 11,818 | | | | 1,083 | | | | - | | | | - | | | | 1,083 | | U.S. Treasury Securities | | | 48,741 | | | | - | | | | - | | | | 48,741 | | | | 27,742 | | | | - | | | | - | | | | 27,742 | | Frontier Heritage Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 18,891 | | | | - | | | | - | | | | 18,891 | | | | 2,880 | | | | - | | | | - | | | | 2,880 | | Swap Contracts | | | - | | | | - | | | | 2,888,008 | | | | 2,888,008 | | | U.S. Treasury Securities | | | 77,916 | | | | - | | | | - | | | | 77,916 | | | | 73,847 | | | | - | | | | - | | | | 73,847 | |
F-31 December 31, 2018 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | $ | 1,157,971 | | | $ | 2,939 | | | $ | - | | | $ | 1,160,910 | | Swap Contracts | | | - | | | | - | | | | 5,920,414 | | | | 5,920,414 | | U.S. Treasury Securities | | | 1,553,261 | | | | - | | | | - | | | | 1,553,261 | | Frontier Masters Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 772,732 | | | | 2,356 | | | | - | | | | 775,088 | | U.S. Treasury Securities | | | 152,384 | | | | - | | | | - | | | | 152,384 | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 28,163 | | | | - | | | | - | | | | 28,163 | | Swap Contracts | | | - | | | | - | | | | 479,102 | | | | 479,102 | | U.S. Treasury Securities | | | 202,415 | | | | - | | | | - | | | | 202,415 | | Frontier Balanced Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 1,739,609 | | | | 5,390 | | | | - | | | | 1,744,999 | | Open Trade Equity (Deficit) | | | 242,860 | | | | (22,201 | ) | | | - | | | | 220,659 | | Swap Contracts | | | - | | | | - | | | | 10,794,908 | | | | 10,794,908 | | U.S. Treasury Securities | | | 123,409 | | | | - | | | | - | | | | 123,409 | | Frontier Select Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 11,462 | | | | - | | | | 511,718 | | | | 523,180 | | U.S. Treasury Securities | | | 82,386 | | | | - | | | | - | | | | 82,386 | | Frontier Winton Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 4,280,023 | | | | 12,052 | | | | - | | | | 4,292,075 | | U.S. Treasury Securities | | | 3,126,551 | | | | - | | | | - | | | | 3,126,551 | | Frontier Heritage Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 724,614 | | | | 2,072 | | | | - | | | | 726,686 | | Swap Contracts | | | - | | | | - | | | | 2,955,444 | | | | 2,955,444 | | U.S. Treasury Securities | | | 443,921 | | | | - | | | | - | | | | 443,921 | |
December 31, 2019 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 24,150 | | | | - | | | | - | | | | 24,150 | | Swap Contracts | | | - | | | | - | | | | 6,384,583 | | | | 6,384,583 | | U.S. Treasury Securities | | | 99,605 | | | | - | | | | - | | | | 99,605 | | Frontier Masters Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 11,005 | | | | - | | | | - | | | | 11,005 | | U.S. Treasury Securities | | | 45,391 | | | | - | | | | - | | | | 45,391 | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 14,711 | | | | - | | | | - | | | | 14,711 | | Swap Contracts | | | - | | | | - | | | | 362,521 | | | | 362,521 | | U.S. Treasury Securities | | | 60,673 | | | | - | | | | - | | | | 60,673 | | Frontier Balanced Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 50,867 | | | | - | | | | - | | | | 50,867 | | Open Trade Equity (Deficit) | | | 57,057 | | | | 59,127 | | | | - | | | | 116,184 | | Swap Contracts | | | - | | | | - | | | | 11,944,753 | | | | 11,944,753 | | U.S. Treasury Securities | | | 209,799 | | | | - | | | | - | | | | 209,799 | | Frontier Select Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 26,331 | | | | - | | | | 479,024 | | | | 505,355 | | U.S. Treasury Securities | | | 108,603 | | | | - | | | | - | | | | 108,603 | | Frontier Global Fund (Formerly Winton Fund) | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 11,818 | | | | - | | | | - | | | | 11,818 | | U.S. Treasury Securities | | | 48,741 | | | | - | | | | - | | | | 48,741 | | Frontier Heritage Fund | | | | | | | | | | | | | | | | | Investment in Unconsolidated Trading Companies | | | 18,891 | | | | - | | | | - | | | | 18,891 | | Swap Contracts | | | - | | | | - | | | | 2,888,008 | | | | 2,888,008 | | U.S. Treasury Securities | | | 77,916 | | | | - | | | | - | | | | 77,916 | |
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 included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the year ended December 31, 20192020 and 2018,2019, all identified Level 3 assets were components of the Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, and Frontier Heritage Fund. During the year ended December 31, 2020, the entire investments in the swaps were sold. 2019
For the Year Ended December 31, 2019 Swaps
For the Year Ended December 31, 2020 | | | | | | | Swaps | | | | | | | | | | | | | | | | Frontier Balanced Fund | | | Frontier Long/Short Commodity Fund | | Balance of recurring Level 3 assets as of January 1, 2020 | | $ | 11,944,753 | | | $ | 362,521 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | (2,448,166 | ) | | | 188,100 | | Included in earnings-unrealized | | | (3,088,917 | ) | | | 44,277 | | Proceeds from collateral reduction | | | (6,176,555 | ) | | | (115,000 | ) | Sale of investments | | | (7,586,366 | ) | | | (594,898 | ) | Purchase of investments | | | 7,355,251 | | | | 115,000 | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2020 | | $ | - | | | $ | - | |
| | Frontier Balanced Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Diversified Fund | | Frontier Heritage Fund | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 10,794,908 | | | $ | 479,102 | | | Balance of recurring Level 3 assets as of January 1, 2020 | | | $ | 6,384,583 | | | $ | 2,888,009 | | Total gains or losses (realized/unrealized): | | | | | | | | | | | | | | | | | Included in earnings-realized | | | - | | | | - | | | | (446,306 | ) | | | (97,745 | ) | Included in earnings-unrealized | | | 1,149,845 | | | | (116,581 | ) | | | (1,537,399 | ) | | | 197,829 | | Proceeds from collateral reduction | | | - | | | | - | | | | (4,000,000 | ) | | | (2,474,937 | ) | Sale of investments | | | | (4,870,025 | ) | | | (1,491,965 | ) | Purchase of investments | | | | 4,469,147 | | | | 978,809 | | Change in ownership allocation | | | - | | | | - | | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 11,944,753 | | | $ | 362,521 | | | Balance of recurring Level 3 assets as of December 31, 2020 | | | $ | - | | | $ | - | |
| | Frontier Diversified Fund | | | Frontier Heritage Fund | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 5,920,414 | | | $ | 2,955,444 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 464,169 | | | | (67,435 | ) | Proceeds from collateral reduction | | | - | | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 6,384,583 | | | $ | 2,888,009 | |
For the Twelve Months Ended December 31, 2019
Investments in Unconsolidated Trading Companies:
| | Frontier Select Fund | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 511,718 | | Change in fair value of investments in unconsolidated trading companies | | | (32,694 | ) | Purchases of investments of unconsolidated trading companies | | | - | | Change in ownership allocation | | | - | | Transfers in and/or out of Level 3 | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 479,024 | |
2018
For the Year Ended December 31, 2018 Swaps
| | Frontier Balanced Fund | | | Frontier Long/Short Commodity Fund | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 11,340,959 | | | $ | 397,039 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | | | | | - | | Included in earnings-unrealized | | | 1,453,948 | | | | 82,063 | | Proceeds from collateral reduction | | | (1,999,999 | ) | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 10,794,908 | | | $ | 479,102 | |
| | Frontier Diversified Fund | | | Frontier Heritage Fund | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 6,376,472 | | | $ | 3,094,367 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 643,941 | | | | (138,923 | ) | Proceeds from collateral reduction | | | (1,099,999 | ) | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 5,920,414 | | | $ | 2,955,444 | |
For the Twelve Months Ended December 31, 2018
Investments in Unconsolidated Trading Companies:
Investments in Unconsolidated Trading Companies: | | | | | | | Frontier Select Fund | | | Frontier Select Fund | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 579,073 | | | | | | | | Balance of recurring Level 3 assets as of January 1, 2020 | | | $ | 479,024 | | Change in fair value of investments in unconsolidated trading companies | | | (67,355 | ) | | | 95,915 | | Proceeds from sales of investments of unconsolidated trading companies | | | | (574,939 | ) | Purchases of investments of unconsolidated trading companies | | | - | | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 511,718 | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2020 | | | $ | - | |
2019 | | | | | | | For the Year Ended December 31, 2019 Swaps | | | | | | | | | | | | | | | | Frontier Balanced Fund | | | Frontier Long/Short Commodity Fund | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 10,794,908 | | | $ | 479,102 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 1,149,845 | | | | (116,581 | ) | Proceeds from collateral reduction | | | - | | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 11,944,753 | | | $ | 362,521 | |
| | Frontier Diversified Fund | | | Frontier Heritage Fund | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 5,920,414 | | | $ | 2,955,444 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 464,169 | | | | (67,435 | ) | Proceeds from collateral reduction | | | - | | | | - | | Change in ownership allocation | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 6,384,583 | | | $ | 2,888,009 | |
For the Twelve Months Ended December 31, 2019 | | | | Investments in Unconsolidated Trading Companies: | | | | | | Frontier Select Fund | | | | | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 511,718 | | Change in fair value of investments in unconsolidated trading companies | | | (32,694 | ) | Proceeds from sales of investments of unconsolidated trading companies | | | - | | Purchases of investments of unconsolidated trading companies | | | - | | Change in ownership allocation | | | - | | Transfers in and/or out of Level 3 | | | - | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 479,024 | |
The Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the years ended December 31, 20192020 and 2018,2019, the Trust did not transfer any assets between Levels 1, 2 or 3. The amounts reflected in the change in ownership allocation result from changes in ownership in the underlying Trading Companies at the Series level, which have resulted in changes in consolidation or de-consolidation by the Series. The ownership in the Trading Companies is accounted for under the equity method, which approximates fair value. The Frontier Heritage Fund and the Frontier Select Fund jointly ownowned the Frontier Brevan Howard swap. The Frontier Heritage Fund ownsowned the majority interest in the Frontier Brevan Howard swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020. | | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Balanced Fund | | | Frontier Heritage Fund | | Swap Contracts | | $ | (1,537,399 | ) | | $ | 44,277 | | | $ | (3,088,917 | ) | | $ | 197,829 | |
| | Frontier Select Fund | | Investments in Unconsolidated Trading Companies | | $ | (91,989 | ) |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2019. | | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Balanced Fund | | | Frontier Heritage Fund | | Swap Contracts | | $ | 464,169 | | | $ | (116,581 | ) | | $ | 1,149,845 | | | $ | (67,436 | ) |
| | Frontier Select Fund | | Investments in Unconsolidated Trading Companies | | $ | (32,694 | ) |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2018. | | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Balanced Fund | | | Frontier Heritage Fund | | Swap Contracts | | $ | 643,941 | | | $ | 82,063 | | | $ | 1,453,948 | | | $ | (138,923 | ) |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2017.
| | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Balanced Fund | | | Frontier Heritage Fund | | Swap Contracts | | $ | (47,375 | ) | | $ | 26,621 | | | $ | (84,491 | ) | | $ | (297,047 | ) |
4. Swap Contracts
In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures, option on 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’ investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 2019,2020, and December 31, 2018,2019, approximately 2.4%0.0% and 1.6%2.4% respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the Statements of Financial Condition. The cash held with the counterparty is not restricted. The Series may strategically invest assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any swap entered into by these Series. In addition, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such swap is a Trading Advisor to these Series. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of December 31, 2019, theThe Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, the Frontier Diversified Fund, the Frontier Long/Short Commodity Fund, and Frontier HeritageDiversified Fund had $6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shownTRS swap investments were liquidated on December 21, 2020.
The Series have invested in the Series’ Statementsfollowing swaps as of Financial Conditions under advance on unrealized swap appreciation, which relates toand for the Trading Companies’ total return swaps with Deutsche Bank AG.year ended December 31, 2020: | | Frontier Balanced Fund | | | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Heritage Fund | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | Realized Gain/(Loss) | | $ | (2,448,166 | ) | | $ | (446,306 | ) | | $ | 188,100 | | | $ | (97,745 | ) | Change in Unrealized Gain/(Loss) | | $ | (3,088,917 | ) | | $ | (1,537,399 | ) | | $ | 44,277 | | | $ | 197,829 | | Fair Value as of December 31, 2020 | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Advance on swap appreciation | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
The Series have invested in the following swaps as of and for the year ended December 31, 2019: | | Frontier Balanced Fund | | Frontier Diversified Fund | | Frontier Long/Short Commodity Fund | | Frontier Heritage Fund | | | Frontier Balanced Fund | | Frontier Diversified Fund | | Frontier Long/Short Commodity Fund | | Frontier Heritage Fund | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Total Return Swap | | Total Return Swap | | Total Return Swap | | Counterparty | | DeutscheBank AG | | DeutscheBank AG | | DeutscheBank AG | | DeutscheBank AG | | | Deutsche Bank AG | | Deutsche Bank AG | | Deutsche Bank AG | | Deutsche Bank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | Swap Value | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | Investee Returns | | Total Returns | | | Total Returns | | | Total Returns | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | Fair Value as of December 31, 2019 | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
The Series have invested in the following swaps as of and for the year ended December 31, 2018:
| | Frontier Balanced Fund | | | Frontier Diversified Fund | | | Frontier Long/Short Commodity Fund | | | Frontier Heritage Fund | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 978,950 | | Swap Value | | $ | 10,708,908 | | | $ | 5,834,414 | | | $ | 449,152 | | | $ | 1,976,494 | | Investee Returns | | Total Returns | | | Total Returns | | | Total Returns | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,453,948 | | | $ | 643,941 | | | $ | 82,063 | | | $ | (138,924 | ) | Fair Value as of December 31, 2018 | | $ | 10,794,908 | | | $ | 5,920,414 | | | $ | 479,102 | | | $ | 2,955,444 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
5. Investments in Unconsolidated Trading Companies and Private Investment Companies
| ● | Investments in Unconsolidated Trading Companies and Private Investment Companies |
Investments in unconsolidated Trading Companies and private investment companies represent cash and open trade equity invested in the Trading and private investment companies and cumulative trading profits or losses allocated to each Series by the Trading Companies and private investment companies. Trading Companies and private investment 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 and private investment companies. The Trading Companies are valued using the equity method of accounting, which approximates fair value. Investments in private investment companies are valued using the NAV provided by the underlying private investment.
The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of December 31, 20192020 and 2018:2019: | | As of December 31, 2019 | | | As of December 31, 2018 | | | | Percentage of Series Net Assets Invested in Unconsolidated Trading Companies | | | Fair Value | | | Percentage of Series Net Assets Invested in Unconsolidated Trading Companies | | | Fair Value | | | | | | | | | | | | | | | Series | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Series — | | | | | | | | | | | | | | | | | Frontier Trading Companies II and XXXVIII | | | 0.20 | % | | $ | 24,150 | | | | 7.19 | % | | $ | 1,160,910 | | Frontier Masters Series — | | | | | | | | | | | | | | | | | Frontier Trading Companies II and XXXVIII | | | 0.49 | % | | $ | 11,005 | | | | 13.91 | % | | $ | 775,088 | | Frontier Long/Short Commodity Series — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII | | | 1.10 | % | | $ | 14,711 | | | | 1.15 | % | | $ | 28,163 | | Frontier Balanced Series — | | | | | | | | | | | | | | | | | Frontier Trading Companies II and XXXVIII | | | 0.23 | % | | $ | 50,867 | | | | 5.48 | % | | $ | 1,744,999 | | Frontier Select Series — | | | | | | | | | | | | | | | | | Frontier Trading Companies XXXVIII and XXXIX | | | 17.94 | % | | $ | 505,355 | | | | 13.56 | % | | $ | 523,180 | | Frontier Winton Fund | | | | | | | | | | | | | | | | | Frontier Trading Companies II and XXXVIII | | | 0.25 | % | | $ | 11,818 | | | | 52.30 | % | | $ | 4,292,075 | | Frontier Heritage Series — | | | | | | | | | | | | | | | | | Frontier Trading Companies II and XXXVIII | | | 0.57 | % | | $ | 18,891 | | | | 16.27 | % | | $ | 726,686 | |
| | As of December 31, 2020 | | | As of December 31, 2019 | | | | Percentage of | | | | | | Percentage of | | | | | | | Series Total | | | | | | Series Total | | | | | | | Capital Invested in | | | | | | Capital Invested in | | | | | Series | | Unconsolidated Trading Companies | | | Fair Value | | | Unconsolidated Trading Companies | | | Fair Value | | | | | | | | | | | | | | | Frontier Diversified Series — | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 0.40 | % | | $ | 16,669 | | | | 0.20 | % | | $ | 24,150 | | Frontier Masters Fund — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 0.09 | % | | $ | 907 | | | | 0.49 | % | | $ | 11,005 | | Frontier Long/Short Commodity Fund — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 1.35 | % | | $ | 17,736 | | | | 1.10 | % | | $ | 14,711 | | Frontier Balanced Fund — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 0.41 | % | | $ | 49,755 | | | | 0.23 | % | | $ | 50,867 | | Frontier Select Fund — | | | | | | | | | | | | | | | | | Frontier Trading Companies XXXVIII, LLC and XXXIX, LLC* | | | 0.00 | % | | $ | - | | | | 17.94 | % | | $ | 505,355 | | Frontier Global Fund — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 0.04 | % | | $ | 1,083 | | | | 0.25 | % | | $ | 11,818 | | Frontier Heritage Fund — | | | | | | | | | | | | | | | | | Frontier Trading Company XXXVIII, LLC | | | 0.12 | % | | $ | 2,880 | | | | 0.57 | % | | $ | 18,891 | |
| * | The investment in Frontier Trading Company XXXIX, LLC was sold as of June 30, 2020. |
The Galaxy Plus entities are made up a feeder funds in which the Series invest and master trading entities into which the feeder funds invest. No investment held by the Galaxy Plus master trading entity is greater than 5% of the Series’ total capital.
The Series investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table: | | | Redemptions | | Redemptions | | Redemptions | | | | Liquidity | | | | | Notice Period | | | | Permitted | | | | Restrictions | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | Multi-Strategy | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - JL Cyril Systematic Feeder Fund (547) LLC) | | | 24 hours | | | | Daily | | | | None | | Trend Following | | | | | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 24 hours | | | | Daily | | | | None | | Option Trading | | | | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | 24 hours | | Daily | | None | | | | | | | | Frontier Masters Fund | | | | | | | | | | | | | Trend Following | | | | | | | | | | | | | Galaxy Plus Fund - TTAspect Feeder Fund (531)(532) LLC | | | 24 hours | | | | Weekly | | | | None | | Multi-Strategy | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) | | | 24 hours | | | | Daily | | | | None | | | | | | | | | | | | | | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | Multi-Strategy | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | | | Daily | | | | None | | | | | | | | | | | | | | | Frontier Balanced Fund | | | | | | | | | | | | | Multi-Strategy | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP– JL Cyril Systematic Feeder Fund (516) LLC(547) LLC) | | | 24 hours | | | | Daily | | None | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | 24 hours None | | Daily | | None | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | | | Daily | | | | None | | Trend Following | | | | | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | 24 hours | | | | Daily | | | | None | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | 24 hours | | | | Daily | | | | None | | Option Trading | | | | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | 24 hours | | Daily | | None | | | | | | | | Frontier Select Fund | | | | | | | Trend Following | | | | | | | Galaxy Plus Fund - TT Feeder Fund (531) LLCMulti-Strategy | | 24 hours | | Weekly | | None | Multi-Strategy | | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | Weekly | | Daily | | | | None | | Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) | | | 24 hours | | | | Daily | | | | None | | | | | | | | | | | | | | | Frontier Global Fund | | | | | | | | | | | | | Trend Following | | | | | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 24 hours | | | | Daily | | | | None | | | | | | | | | | | | | | | Frontier Heritage Fund | | | | | | | | | | | | | Multi-Strategy | | | | | | | | | | | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | 24 hours | | Weekly | | Daily | | | | None | | Trend Following | | | | | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | 24 hours | | | | Daily | | | | None | |
6. Transactions with AffiliatesEffective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisors to the Trust.
Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust. Effective May 30, 2020, BH-DG Systematic Trading LLP ceased to act as a commodity trading advisor to the Trust. Effective July 20, 2020, Doherty Advisors, LLC accessed through Galaxy Plus Fund – Doherty Feeder Fund (528) LLC ceased to act as a commodity trading advisor to the Trust. Effective August 1, 2020, John Locke Investments SA accessed through Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC became a new commodity trading advisor for Frontier Diversified Fund, Frontier Balanced Fund, Frontier Select Fund and Frontier Masters Fund. Effective December 21, 2020, JE Moody & Company H2O AM LLP and Crabel Capital Management, LLC ceased to act as a commodity trading advisor to the Trust.
| ● | Transactions with Affiliates |
The Managing Owner contributes funds to the Trust, with respect to the Series, in order to have a 1% interest (“Minimum Purchase Commitment”) 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 management fees or management fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. 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 Frontier Balanced Fund Class 1AP and 2a Units, aggregated, and each of the Frontier Long/Short Commodity Fund, Frontier Diversified Fund and Frontier Masters Fund. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the general units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase limited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. Expenses Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management fee equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 0.5% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a, and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner.Owner As of the date of this report, for a Series that has invested in a swap, a Trading Advisor does not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of December 31, 20192020 and 2018,2019, the management fee embedded in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, (iv) swaps owned by Frontier Select Fund was 1.00% per annum, and (v) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee was accrued on the relevant notional amount of the swap. The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.
Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pays to the Managing Owner an FCM Fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM Fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, 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 in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of December 31, 20192020 and 2018,2019, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap. Service Fees—Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 two percent (2.0%) 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 and 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 two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 and 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 purchase price 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 Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. 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.agents The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2020.2021. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,531, $220, $31,541, $319,698, $16,895, $150,025$22,650, $393, $31,725, $346,855, $19,463, $154,671 and $57,132$63,205 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively.respectively, as of December 31, 2020.
The following table summarizes fees earned by the Managing Owner and the Former Managing Owner for the years ended December 31, 2020, 2019 2018 and 2017.2018. For the Year Ended December 31, 2019 | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | For the Year Ended December 31, 2020 | | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | $ | - | | | $ | 2,668 | | | $ | 44,726 | | | $ | 493,585 | | | | - | | | | - | | | | 14,246 | | | | 251,203 | | Frontier Masters Fund | | | - | | | | 7,665 | | | | 11,635 | | | | 213,153 | | | | - | | | | - | | | | 1,786 | | | | 101,300 | | Frontier Long/Short Commodity Fund | | | - | | | | - | | | | 562 | | | | 54,334 | | | | - | | | | - | | | | 381 | | | | 32,628 | | Frontier Balanced Fund | | | - | | | | 22,377 | | | | 606,359 | | | | 972,678 | | | | - | | | | 19,600 | | | | 351,503 | | | | 580,978 | | Frontier Select Fund | | | - | | | | - | | | | 102,692 | | | | 85,589 | | | | - | | | | - | | | | 62,144 | | | | 53,759 | | Frontier Global Fund (Formerly Frontier Winton Fund) | | | - | | | | 38,679 | | | | 177,833 | | | | 278,497 | | | Frontier Global Fund | | | | - | | | | - | | | | 100,858 | | | | 186,591 | | Frontier Heritage Fund | | | - | | | | 7,289 | | | | 84,518 | | | | 118,979 | | | | - | | | | - | | | | 66,761 | | | | 104,941 | |
For the Year Ended December 31, 2018 | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | For the Year Ended December 31, 2019 | | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | $ | (4,499 | ) | | $ | 44,289 | | | $ | 58,473 | | | $ | 591,665 | | | | - | | | $ | 2,668 | | | $ | 44,726 | | | $ | 493,585 | | Frontier Masters Fund | | | - | | | | 108,413 | | | | 49,049 | | | | 420,391 | | | | - | | | | 7,665 | | | | 11,635 | | | | 213,153 | | Frontier Long/Short Commodity Fund | | | (3,789 | ) | | | - | | | | 1,653 | | | | 82,890 | | | | - | | | | - | | | | 562 | | | | 54,334 | | Frontier Balanced Fund | | | 145,134 | | | | 77,495 | | | | 920,570 | | | | 1,378,226 | | | | - | | | | 22,377 | | | | 606,359 | | | | 972,678 | | Frontier Select Fund | | | - | | | | - | | | | 132,408 | | | | 117,056 | | | | - | | | | - | | | | 102,692 | | | | 85,589 | | Frontier Winton Fund | | | - | | | | 487,698 | | | | 318,897 | | | | 307,053 | | | Frontier Global Fund | | | | - | | | | 38,679 | | | | 177,833 | | | | 278,497 | | Frontier Heritage Fund | | | 697 | | | | 120,602 | | | | 123,257 | | | | 142,735 | | | | - | | | | 7,289 | | | | 84,518 | | | | 118,979 | | | | | | | | | | | | | | | | | | | |
For the Year Ended December 31, 2017 | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | For the Year Ended December 31, 2018 | | | Incentive (Rebate) Fees | | | Management Fee | | | Service Fee | | | Trading Fee | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | $ | (50,661 | ) | | $ | 69,478 | | | $ | 132,465 | | | $ | 1,347,386 | | | | (4,499 | ) | | $ | 44,289 | | | $ | 58,473 | | | $ | 591,665 | | Frontier Masters Fund | | | - | | | | 184,365 | | | | 89,344 | | | | 672,227 | | | | - | | | | 108,413 | | | | 49,049 | | | | 420,391 | | Frontier Long/Short Commodity Fund | | | (144,752 | ) | | | - | | | | 13,672 | | | | 234,923 | | | | (3,789 | ) | | | - | | | | 1,653 | | | | 82,890 | | Frontier Balanced Fund | | | 40,189 | | | | 107,368 | | | | 1,409,337 | | | | 2,058,870 | | | | 145,134 | | | | 77,495 | | | | 920,570 | | | | 1,378,226 | | Frontier Select Fund | | | - | | | | 84,734 | | | | 220,938 | | | | 176,459 | | | | - | | | | - | | | | 132,408 | | | | 117,056 | | Frontier Winton Fund | | | (75,099 | ) | | | 877,626 | | | | 465,225 | | | | 565,481 | | | Frontier Global Fund | | | | - | | | | 487,698 | | | | 318,897 | | | | 307,053 | | Frontier Heritage Fund | | | (4,603 | ) | | | 193,000 | | | | 182,048 | | | | 191,996 | | | | 697 | | | | 120,602 | | | | 123,257 | | | | 142,735 | |
The following table summarizes fees payable to the Managing Owner and Former Managing Owner as of December 31, 20192020 and 2018.2019. As of December 31, 2019 | | Incentive Fees | | | Management Fees | | | Interest Fees | | | Service Fees | | | Trading Fees | | | As of December 31, 2020 | | | Incentive Fees | | | Management Fees | | | Interest Fees | | | Service Fees | | | Trading Fees | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | $ | - | | | $ | - | | | $ | - | | | $ | 3,391 | | | $ | 35,877 | | | $ | - | | | $ | - | | | $ | - | | | $ | 385 | | | $ | 12,576 | | Frontier Masters Fund | | | - | | | | - | | | | - | | | | 204 | | | | 11,673 | | | | - | | | | - | | | | - | | | | 70 | | | | 5,460 | | Frontier Long/Short Commodity Fund | | | - | | | | - | | | | - | | | | - | | | | 3,468 | | | | - | | | | - | | | | 87 | | | | 18 | | | | 2,281 | | Frontier Balanced Fund | | | - | | | | 8,795 | | | | 105 | | | | 41,635 | | | | 70,179 | | | | - | | | | 8,854 | | | | 1,376 | | | | 21,381 | | | | 37,894 | | Frontier Select Fund | | | - | | | | - | | | | - | | | | 6,906 | | | | 6,000 | | | | - | | | | - | | | | 179 | | | | 3,709 | | | | 3,933 | | Frontier Global Fund (Formerly Frontier Winton Fund) | | | - | | | | - | | | | 56 | | | | 11,263 | | | | 22,540 | | | Frontier Global Fund | | | | - | | | | - | | | | 326 | | | | 6,348 | | | | 11,849 | | Frontier Heritage Fund | | | - | | | | - | | | | 166 | | | | 5,362 | | | | 11,170 | | | | - | | | | - | | | | 139 | | | | 4,794 | | | | 7,705 | |
As of December 31, 2018 | | Incentive Fees | | | Management Fees | | | Interest Fees | | | Service Fees | | | Trading Fees | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | | 10,897 | | | | 3,875 | | | | - | | | | 4,498 | | | | 44,827 | | Frontier Masters Fund | | | - | | | | 8,347 | | | | - | | | | 1,750 | | | | 27,984 | | Frontier Long/Short Commodity Fund | | | - | | | | - | | | | - | | | | 51 | | | | 5,306 | | Frontier Balanced Fund | | | - | | | | 13,917 | | | | 1,490 | | | | 56,791 | | | | 101,770 | | Frontier Select Fund | | | - | | | | - | | | | - | | | | 8,575 | | | | 7,812 | | Frontier Winton Fund | | | - | | | | 42,705 | | | | 8,124 | | | | 17,803 | | | | 24,353 | | Frontier Heritage Fund | | | - | | | | 9,201 | | | | 1,238 | | | | 6,684 | | | | 10,189 | |
As of December 31, 2019 | | Incentive Fees | | | Management Fees | | | Interest Fees | | | Service Fees | | | Trading Fees | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | $ | - | | | $ | - | | | $ | - | | | $ | 3,391 | | | $ | 35,877 | | Frontier Masters Fund | | | - | | | | - | | | | - | | | | 204 | | | | 11,673 | | Frontier Long/Short Commodity Fund | | | - | | | | - | | | | - | | | | - | | | | 3,468 | | Frontier Balanced Fund | | | - | | | | 8,795 | | | | 105 | | | | 41,635 | | | | 70,179 | | Frontier Select Fund | | | - | | | | - | | | | - | | | | 6,906 | | | | 6,000 | | Frontier Global Fund | | | - | | | | - | | | | 56 | | | | 11,263 | | | | 22,540 | | Frontier Heritage Fund | | | - | | | | - | | | | 166 | | | | 5,362 | | | | 11,170 | |
With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) of average net assets less any fair market value related to swaps is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. All swaps were sold as of December 31, 2020.
The following table outlines the interest paid by each Series to the Managing Owner and Former Managing Owner and its ratio to average net assets for the years ended December 31, 2020, 2019 2018 and 2017:2018: | | 2020 | | | 2019 | | | 2018 | | | 2020 | | | 2019 | | | 2018 | | | | Gross Amount Paid to the Managing Owner | | | Gross Amount Paid to the Managing Owner | | | Gross Amount Paid to the Managing Owner | | | Ratio to Average Net Assets | | | Ratio to Average Net Assets | | | Ratio to Average Net Assets | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund Class 1 | | | 128,397 | | | $ | - | | | $ | - | | | | 33.62 | % | | | 0.00 | % | | | 0.00 | % | Frontier Diversified Fund Class 2 | | | 791,849 | | | | - | | | | - | | | | 29.93 | % | | | 0.00 | % | | | 0.00 | % | Frontier Diversified Fund Class 3 | | | 617,154 | | | | - | | | | - | | | | 14.78 | % | | | 0.00 | % | | | 0.00 | % | Frontier Masters Fund Class 1 | | | 219 | | | | - | | | | - | | | | 2.00 | % | | | 0.00 | % | | | 0.00 | % | Frontier Masters Fund Class 2 | | | 1,567 | | | | - | | | | - | | | | 0.25 | % | | | 0.00 | % | | | 0.00 | % | Frontier Masters Fund Class 3 | | | - | | | | - | | | | - | | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | Frontier Long/Short Commodity Fund Class 2 | | | 27 | | | | 14 | | | | 141 | | | | 0.07 | % | | | 0.02 | % | | | 0.00 | % | Frontier Long/Short Commodity Fund Class 3 | | | 703 | | | | 337 | | | | 1,902 | | | | 0.07 | % | | | 0.02 | % | | | 0.39 | % | Frontier Balanced Fund Class 1 | | | 7,387 | | | | 3,925 | | | | 47,797 | | | | 0.06 | % | | | 0.02 | % | | | 0.16 | % | Frontier Balanced Fund Class 1AP | | | 103 | | | | 64 | | | | (1,082 | ) | | | 0.06 | % | | | 0.02 | % | | | -0.21 | % | Frontier Balanced Fund Class 2 | | | 1,484 | | | | 764 | | | | 8,556 | | | | 0.06 | % | | | 0.02 | % | | | 0.16 | % | Frontier Balanced Fund Class 2a | | | 17 | | | | 10 | | | | (237 | ) | | | 0.01 | % | | | 0.00 | % | | | -0.06 | % | Frontier Balanced Fund Class 3a | | | 80 | | | | 32 | | | | (520 | ) | | | 0.01 | % | | | 0.00 | % | | | -0.05 | % | Frontier Select Fund Class 1 | | | 4,514 | | | | 5,563 | | | | 8,986 | | | | 0.22 | % | | | 0.16 | % | | | 0.10 | % | Frontier Select Fund Class 1AP | | | 24 | | | | 15 | | | | 39 | | | | 0.24 | % | | | 0.19 | % | | | 0.13 | % | Frontier Select Fund Class 2 | | | 173 | | | | 174 | | | | 919 | | | | 0.23 | % | | | 0.16 | % | | | 0.11 | % | Frontier Global Fund Class 1 | | | 3,110 | | | | 23,787 | | | | 122,387 | | | | 0.09 | % | | | 0.40 | % | | | 3.30 | % | Frontier Global Fund Class 1AP | | | 28 | | | | 114 | | | | 623 | | | | 0.10 | % | | | 0.33 | % | | | 0.01 | % | Frontier Global Fund Class 2 | | | 238 | | | | 1,386 | | | | 10,552 | | | | 0.09 | % | | | 0.35 | % | | | 0.17 | % | Frontier Heritage Fund Class 1 | | | 5,141 | | | | 5,323 | | | | 18,510 | | | | 0.23 | % | | | 0.19 | % | | | 0.70 | % | Frontier Heritage Fund Class 1AP | | | 20 | | | | 9 | | | | 13 | | | | 0.24 | % | | | 0.15 | % | | | 0.00 | % | Frontier Heritage Fund Class 2 | | | 847 | | | | 1,088 | | | | 2,948 | | | | 0.20 | % | | | 0.18 | % | | | 0.10 | % | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | $ | 1,563,082 | | | $ | 42,605 | | | $ | 221,534 | | | | | | | | | | | | | |
| | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | | | Gross Amount Paid to the Managing Owner | | | Gross Amount Paid to the Managing Owner | | | Gross Amount Paid to the Managing Owner | | | Ratio to Average Net Assets | | | Ratio to Average Net Assets | | | Ratio to Average Net Assets | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund Class 1 | | $ | - | | | $ | - | | | $ | (3,860 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.12 | % | Frontier Diversified Fund Class 2 | | | - | | | | - | | | | (19,555 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.18 | % | Frontier Diversified Fund Class 3 | | | - | | | | - | | | | (7,071 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.07 | % | Frontier Masters Fund Class 1 | | | - | | | | - | | | | (4,988 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.16 | % | Frontier Masters Fund Class 2 | | | - | | | | - | | | | (5,113 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.14 | % | Frontier Masters Fund Class 3 | | | - | | | | - | | | | (5,881 | ) | | | 0.00 | % | | | 0.00 | % | | | -0.10 | % | Frontier Long/Short Commodity Fund Class 2 | | | 14 | | | | 141 | | | | 211 | | | | 0.02 | % | | | 0.00 | % | | | 0.07 | % | Frontier Long/Short Commodity Fund Class 3 | | | 337 | | | | 1,902 | | | | 1,942 | | | | 0.02 | % | | | 0.39 | % | | | 0.07 | % | Frontier Long/Short Commodity Fund Class 1a | | | - | | | | - | | | | 533 | | | | 0.00 | % | | | 0.00 | % | | | 0.24 | % | Frontier Long/Short Commodity Fund Class 2a | | | - | | | | - | | | | 233 | | | | 0.00 | % | | | 0.00 | % | | | 0.05 | % | Frontier Long/Short Commodity Fund Class 3a | | | - | | | | - | | | | 189 | | | | 0.00 | % | | | 0.00 | % | | | 0.02 | % | Frontier Balanced Fund Class 1 | | | 3,925 | | | | 47,797 | | | | 204,989 | | | | 0.02 | % | | | 0.16 | % | | | 0.49 | % | Frontier Balanced Fund Class 1AP | | | 64 | | | | (1,082 | ) | | | 2,627 | | | | 0.02 | % | | | -0.21 | % | | | 0.45 | % | Frontier Balanced Fund Class 2 | | | 764 | | | | 8,556 | | | | 55,580 | | | | 0.02 | % | | | 0.16 | % | | | 0.69 | % | Frontier Balanced Fund Class 2a | | | 10 | | | | (237 | ) | | | 516 | | | | 0.00 | % | | | -0.06 | % | | | 0.10 | % | Frontier Balanced Fund Class 3a | | | 32 | | | | (520 | ) | | | 1,314 | | | | 0.00 | % | | | -0.05 | % | | | 0.09 | % | Frontier Select Fund Class 1 | | | 5,563 | | | | 8,986 | | | | 31,053 | | | | 0.16 | % | | | 0.10 | % | | | 0.58 | % | Frontier Select Fund Class 1AP | | | 15 | | | | 39 | | | | 94 | | | | 0.19 | % | | | 0.13 | % | | | 1.68 | % | Frontier Select Fund Class 2 | | | 174 | | | | 919 | | | | 4,681 | | | | 0.16 | % | | | 0.11 | % | | | 0.55 | % | Frontier Winton Fund Class 1 | | | 23,787 | | | | 122,387 | | | | 76,277 | | | | 0.40 | % | | | 3.30 | % | | | 0.59 | % | Frontier Winton Fund Class 1AP | | | 114 | | | | 623 | | | | 149 | | | | 0.33 | % | | | 0.01 | % | | | 0.43 | % | Frontier Winton Fund Class 2 | | | 1,386 | | | | 10,552 | | | | 41,050 | | | | 0.35 | % | | | 0.17 | % | | | 0.42 | % | Frontier Heritage Fund Class 1 | | | 5,323 | | | | 18,510 | | | | 40,215 | | | | 0.19 | % | | | 0.70 | % | | | 0.67 | % | Frontier Heritage Fund Class 1AP | | | 9 | | | | 13 | | | | 36 | | | | 0.15 | % | | | 0.00 | % | | | 0.16 | % | Frontier Heritage Fund Class 2 | | | 1,088 | | | | 2,948 | | | | 10,965 | | | | 0.18 | % | | | 0.10 | % | | | 1.28 | % | | | | | | | | | | | | | | | | | | | | | | | | | | Total | | $ | 42,605 | | | $ | 221,534 | | | $ | 426,185 | | | | | | | | | | | | | |
Related Parties—
During 2017, Frontier Diversified Fund and Frontier Masters Fund borrowed from the pooled cash management account to fund a portion of its investments in Galaxy Plus entities. As of December 31, 2018, and 2019, there were no borrowings. Frontier Diversified Fund and Frontier Masters Fund were charged an annual interest rate of 0.25% on this borrowing in 2017.
The Series’ administrator is Gemini Hedge Fund Services, LLC. Gemini Hedge Fund Services, LLC is an affiliate of the Sponsor.
The Series’ transfer agency provider is Gemini Fund Services, LLC. Gemini Fund Services, LLC is an affiliate of the Sponsor.
7. Financial Highlights
The following information presents the financial highlights of the Series for the years ended December 31, 2020, 2019 2018 and 2017.2018. This data has been derived from the information presented in the financial statements. For the year ended December 31, 20192020 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 102.25 | | | $ | 120.84 | | | $ | 112.62 | | | $ | 91.10 | | | $ | 107.68 | | | $ | 100.77 | | | $ | 56.80 | | | $ | 98.82 | | | $ | 66.52 | | | $ | 103.66 | | | $ | 69.83 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.15 | | | | 0.17 | | | | 0.16 | | | | 0.11 | | | | 0.13 | | | | 0.12 | | | | 0.05 | | | | 0.10 | | | | 0.06 | | | | 0.10 | | | | 0.06 | | Expenses | | | (6.83 | ) | | | (4.47 | ) | | | (4.17 | ) | | | (7.39 | ) | | | (6.11 | ) | | | (5.75 | ) | | | (3.24 | ) | | | (2.57 | ) | | | (1.62 | ) | | | (2.70 | ) | | | (1.70 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 5.54 | | | | 5.03 | | | | 4.99 | | | | (11.54 | ) | | | (14.52 | ) | | | (13.36 | ) | | | (9.41 | ) | | | (14.74 | ) | | | (12.41 | ) | | | (15.41 | ) | | | (12.88 | ) | Net income/(loss) | | | (1.15 | ) | | | 0.74 | | | | 0.98 | | | | (18.82 | ) | | | (20.49 | ) | | | (18.98 | ) | | | (12.60 | ) | | | (17.22 | ) | | | (13.97 | ) | | | (18.02 | ) | | | (14.51 | ) | Net asset value, December 31, 2019 | | $ | 101.10 | | | $ | 121.58 | | | $ | 113.61 | | | $ | 72.28 | | | $ | 87.18 | | | $ | 81.78 | | | $ | 44.20 | | | $ | 81.60 | | | $ | 52.55 | | | $ | 85.64 | | | $ | 55.31 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -6.58 | % | | | -3.55 | % | | | -3.55 | % | | | -8.52 | % | | | -5.91 | % | | | -5.91 | % | | | -6.45 | % | | | -2.67 | % | | | -2.67 | % | | | -2.67 | % | | | -2.67 | % | Expenses before incentive fees (3)(4) | | | 6.73 | % | | | 3.70 | % | | | 3.70 | % | | | 8.65 | % | | | 6.04 | % | | | 6.04 | % | | | 6.55 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | Expenses after incentive fees (3)(4) | | | 6.73 | % | | | 3.70 | % | | | 3.70 | % | | | 8.65 | % | | | 6.04 | % | | | 6.04 | % | | | 6.55 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | Total return before incentive fees (2) | | | -1.12 | % | | | 0.61 | % | | | 0.87 | % | | | -20.66 | % | | | -19.03 | % | | | -18.84 | % | | | -22.19 | % | | | -17.43 | % | | | -21.00 | % | | | -17.38 | % | | | -20.79 | % | Total return after incentive fees (2) | | | -1.12 | % | | | 0.61 | % | | | 0.87 | % | | | -20.66 | % | | | -19.03 | % | | | -18.84 | % | | | -22.19 | % | | | -17.43 | % | | | -21.00 | % | | | -17.38 | % | | | -20.79 | % |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | $ | 180.94 | | | $ | 156.81 | | | $ | 156.26 | | | $ | 71.41 | | | $ | 82.48 | | | $ | 108.18 | | | Net asset value, December 31, 2019 | | | $ | 101.10 | | | $ | 121.58 | | | $ | 113.61 | | | $ | 72.28 | | | $ | 87.18 | | | $ | 81.78 | | | $ | 44.20 | | | $ | 81.60 | | | $ | 52.55 | | | $ | 85.64 | | | $ | 55.31 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.21 | | | | 0.24 | | | | 0.33 | | | | 0.28 | | | | 0.28 | | | | (0.00 | ) | | | 0.00 | | | | (0.00 | ) | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | 0.09 | | | | 0.12 | | | | 0.11 | | | | 0.14 | | | | 0.25 | | | | 0.16 | | | | 0.27 | | | | 0.17 | | Expenses | | | (8.01 | ) | | | (5.25 | ) | | | (7.08 | ) | | | (6.12 | ) | | | (6.12 | ) | | | (3.93 | ) | | | (2.09 | ) | | | (2.69 | ) | | | (6.39 | ) | | | (3.65 | ) | | | (3.23 | ) | | | (14.02 | ) | | | (4.83 | ) | | | (4.51 | ) | | | (3.09 | ) | | | (2.09 | ) | | | (1.34 | ) | | | (2.19 | ) | | | (1.41 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 7.40 | | | | 8.66 | | | | 11.63 | | | | 10.08 | | | | 10.08 | | | | (0.93 | ) | | | (1.88 | ) | | | (1.55 | ) | | | (22.03 | ) | | | (28.98 | ) | | | (27.06 | ) | | | (3.17 | ) | | | (14.93 | ) | | | (13.86 | ) | | | (41.24 | )* | | | 6.22 | | | | 3.91 | | | | 6.49 | | | | 4.30 | | Net income/(loss) | | | (0.40 | ) | | | 3.65 | | | | 4.88 | | | | 4.23 | | | | 4.24 | | | | (4.86 | ) | | | (3.97 | ) | | | (4.24 | ) | | | (28.42 | ) | | | (32.63 | ) | | | (30.28 | ) | | | (17.10 | ) | | | (19.64 | ) | | | (18.27 | ) | | | (44.20 | )* | | | 4.39 | | | | 2.74 | | | | 4.56 | | | | 3.05 | | Net asset value, December 31, 2019 | | $ | 117.23 | | | $ | 137.81 | | | $ | 185.82 | | | $ | 161.04 | | | $ | 160.50 | | | $ | 66.56 | | | $ | 78.51 | | | $ | 103.94 | | | Net asset value, December 31, 2020 | | | $ | 72.68 | | | $ | 88.95 | | | $ | 83.33 | | | $ | 55.18 | | | $ | 67.54 | | | $ | 63.52 | | | $ | - | * | | $ | 85.99 | | | $ | 55.29 | | | $ | 90.21 | | | $ | 58.37 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -6.73 | % | | | -3.73 | % | | | -3.73 | % | | | -3.73 | % | | | -3.73 | % | | | -5.42 | % | | | -2.42 | % | | | -2.42 | % | | | -7.33 | % | | | -3.60 | % | | | -3.60 | % | | | -22.42 | % | | | -6.13 | % | | | -6.13 | % | | | -6.61 | % | | | -2.21 | % | | | -2.21 | % | | | -2.21 | % | | | -2.21 | % | Expenses before incentive fees (3)(4) | | | 6.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 5.42 | % | | | 2.42 | % | | | 2.42 | % | | | 7.34 | % | | | 3.61 | % | | | 3.61 | % | | | 22.57 | % | | | 6.28 | % | | | 6.28 | % | | | 6.91 | % | | | 2.51 | % | | | 2.51 | % | | | 2.51 | % | | | 2.51 | % | Expenses after incentive fees (3)(4) | | | 6.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 5.42 | % | | | 2.42 | % | | | 2.42 | % | | | 7.34 | % | | | 3.61 | % | | | 3.61 | % | | | 22.57 | % | | | 6.28 | % | | | 6.28 | % | | | 6.91 | % | | | 2.51 | % | | | 2.51 | % | | | 2.51 | % | | | 2.51 | % | Total return before incentive fees (2) | | | -0.34 | % | | | 2.72 | % | | | 2.70 | % | | | 2.70 | % | | | 2.71 | % | | | -6.80 | % | | | -4.81 | % | | | -3.92 | % | | | -28.11 | % | | | -26.84 | % | | | -26.65 | % | | | -23.66 | % | | | -22.53 | % | | | -22.33 | % | | | -1.63 | %* | | | 5.38 | % | | | 5.20 | % | | | 5.33 | % | | | 5.52 | % | Total return after incentive fees (2) | | | -0.34 | % | | | 2.72 | % | | | 2.70 | % | | | 2.70 | % | | | 2.71 | % | | | -6.80 | % | | | -4.81 | % | | | -3.92 | % | | | -28.11 | % | | | -26.84 | % | | | -26.65 | % | | | -23.66 | % | | | -22.53 | % | | | -22.33 | % | | | -1.63 | %* | | | 5.38 | % | | | 5.20 | % | | | 5.33 | % | | | 5.52 | % |
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | Frontier Balanced Fund | | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 131.57 | | | $ | 149.92 | | | $ | 187.17 | | | $ | 99.83 | | | $ | 111.78 | | | $ | 152.53 | | | Net asset value, December 31, 2019 | | | $ | 117.23 | | | $ | 137.81 | | | $ | 185.82 | | | $ | 161.04 | | | $ | 160.50 | | | $ | 66.56 | | | $ | 78.51 | | | $ | 103.94 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | (0.00 | ) | | | (0.00 | ) | | | (0.00 | ) | | | (0.00 | ) | | | 0.00 | | | | (0.00 | ) | | | 0.04 | | | | 0.04 | | | | 0.06 | | | | 0.05 | | | | 0.05 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (11.16 | ) | | | (8.15 | ) | | | (10.11 | ) | | | (6.90 | ) | | | (4.6 | 2) | | | (5.93 | ) | | | (6.16 | ) | | | (4.17 | ) | | | (5.64 | ) | | | (4.92 | ) | | | (4.87 | ) | | | (3.40 | ) | | | (1.82 | ) | | | (2.42 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 11.11 | | | | 12.66 | | | | 15.76 | | | | 4.61 | | | | 7.00 | | | | 7.00 | | | | (31.19 | ) | | | (36.87 | ) | | | (49.70 | ) | | | (42.97 | ) | | | (42.87 | ) | | | (4.60 | ) | | | (5.70 | ) | | | (7.32 | ) | Net income/(loss) | | | (0.05 | ) | | | 4.51 | | | | 5.65 | | | | (2.29 | ) | | | 2.37 | | | | 1.06 | | | | (37.31 | ) | | | (41.00 | ) | | | (55.28 | ) | | | (47.84 | ) | | | (47.69 | ) | | | (8.01 | ) | | | (7.52 | ) | | | (9.74 | ) | Net asset value, December 31, 2019 | | $ | 131.52 | | | $ | 154.43 | | | $ | 192.82 | | | $ | 97.54 | | | $ | 114.15 | | | $ | 153.59 | | | Net asset value, December 31, 2020 | | | $ | 79.93 | | | $ | 96.81 | | | $ | 130.54 | | | $ | 113.20 | | | $ | 112.81 | | | $ | 58.55 | | | $ | 70.99 | | | $ | 94.20 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -7.99 | % | | | -4.99 | % | | | -4.99 | % | | | -6.71 | % | | | -3.70 | % | | | -3.70 | % | | | -6.98 | % | | | -3.99 | % | | | -3.99 | % | | | -3.99 | % | | | -3.99 | % | | | -5.49 | % | | | -2.49 | % | | | -2.49 | % | Expenses before incentive fees (3)(4) | | | 7.99 | % | | | 4.99 | % | | | 4.99 | % | | | 6.71 | % | | | 3.70 | % | | | 3.70 | % | | | 7.03 | % | | | 4.03 | % | | | 4.03 | % | | | 4.03 | % | | | 4.03 | % | | | 5.49 | % | | | 2.49 | % | | | 2.49 | % | Expenses after incentive fees (3)(4) | | | 7.99 | % | | | 4.99 | % | | | 4.99 | % | | | 6.71 | % | | | 3.70 | % | | | 3.70 | % | | | 7.03 | % | | | 4.03 | % | | | 4.03 | % | | | 4.03 | % | | | 4.03 | % | | | 5.49 | % | | | 2.49 | % | | | 2.49 | % | Total return before incentive fees (2) | | | -0.04 | % | | | 3.01 | % | | | 3.02 | % | | | -2.30 | % | | | 2.12 | % | | | 0.70 | % | | | -31.82 | % | | | -29.75 | % | | | -29.75 | % | | | -29.71 | % | | | -29.71 | % | | | -12.03 | % | | | -9.58 | % | | | -9.37 | % | Total return after incentive fees (2) | | | -0.04 | % | | | 3.01 | % | | | 3.02 | % | | | -2.30 | % | | | 2.12 | % | | | 0.70 | % | | | -31.82 | % | | | -29.75 | % | | | -29.75 | % | | | -29.71 | % | | | -29.71 | % | | | -12.03 | % | | | -9.58 | % | | | -9.37 | % |
| | Frontier Global Fund | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2019 | | $ | 131.52 | | | $ | 154.43 | | | $ | 192.82 | | | $ | 97.54 | | | $ | 114.15 | | | $ | 153.59 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (9.95 | ) | | | (7.59 | ) | | | (9.47 | ) | | | (6.76 | ) | | | (4.58 | ) | | | (6.26 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (10.67 | ) | | | (146.84 | )* | | | (15.79 | ) | | | 5.33 | | | | 6.93 | | | | 8.58 | | Net income/(loss) | | | (20.62 | ) | | | (154.43 | )* | | | (25.26 | ) | | | (1.44 | ) | | | 2.35 | | | | 2.32 | | Net asset value, December 31, 2020 | | $ | 110.90 | | | $ | - | * | | $ | 167.56 | | | $ | 96.10 | | | $ | 116.50 | | | $ | 155.92 | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -8.11 | % | | | -5.12 | % | | | -5.12 | % | | | -6.93 | % | | | -3.93 | % | | | -3.93 | % | Expenses before incentive fees (3)(4) | | | 8.11 | % | | | 5.12 | % | | | 5.12 | % | | | 6.93 | % | | | 3.93 | % | | | 3.93 | % | Expenses after incentive fees (3)(4) | | | 8.11 | % | | | 5.12 | % | | | 5.12 | % | | | 6.93 | % | | | 3.93 | % | | | 3.93 | % | Total return before incentive fees (2) | | | -15.68 | % | | | -23.34 | %* | | | -13.10 | % | | | -1.47 | % | | | 2.06 | % | | | 1.51 | % | Total return after incentive fees (2) | | | -15.68 | % | | | -23.34 | %* | | | -13.10 | % | | | -1.47 | % | | | 2.06 | % | | | 1.51 | % |
| (1) | Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
| (2) | Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. |
| (3) | Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6. |
| (4) | Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return. |
| * | Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. |
For the year ended December 31, 2019 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 102.25 | | | $ | 120.84 | | | $ | 112.62 | | | $ | 91.10 | | | $ | 107.68 | | | $ | 100.77 | | | $ | 56.80 | | | $ | 98.82 | | | $ | 66.52 | | | $ | 103.66 | | | $ | 69.83 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.15 | | | | 0.17 | | | | 0.16 | | | | 0.11 | | | | 0.13 | | | | 0.12 | | | | 0.05 | | | | 0.10 | | | | 0.06 | | | | 0.10 | | | | 0.06 | | Expenses | | | (6.83 | ) | | | (4.47 | ) | | | (4.17 | ) | | | (7.39 | ) | | | (6.11 | ) | | | (5.75 | ) | | | (3.24 | ) | | | (2.57 | ) | | | (1.62 | ) | | | (2.70 | ) | | | (1.70 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 5.54 | | | | 5.03 | | | | 4.99 | | | | (11.54 | ) | | | (14.52 | ) | | | (13.36 | ) | | | (9.41 | ) | | | (14.74 | ) | | | (12.41 | ) | | | (15.41 | ) | | | (12.88 | ) | Net income/(loss) | | | (1.15 | ) | | | 0.74 | | | | 0.98 | | | | (18.82 | ) | | | (20.49 | ) | | | (18.98 | ) | | | (12.60 | ) | | | (17.22 | ) | | | (13.97 | ) | | | (18.02 | ) | | | (14.51 | ) | Net asset value, December 31, 2019 | | $ | 101.10 | | | $ | 121.58 | | | $ | 113.61 | | | $ | 72.28 | | | $ | 87.18 | | | $ | 81.78 | | | $ | 44.20 | | | $ | 81.60 | | | $ | 52.55 | | | $ | 85.64 | | | $ | 55.31 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -6.58 | % | | | -3.55 | % | | | -3.55 | % | | | -8.52 | % | | | -5.91 | % | | | -5.91 | % | | | -6.45 | % | | | -2.67 | % | | | -2.67 | % | | | -2.67 | % | | | -2.67 | % | Expenses before incentive fees (3)(4) | | | 6.73 | % | | | 3.70 | % | | | 3.70 | % | | | 8.65 | % | | | 6.04 | % | | | 6.04 | % | | | 6.55 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | Expenses after incentive fees (3)(4) | | | 6.73 | % | | | 3.70 | % | | | 3.70 | % | | | 8.65 | % | | | 6.04 | % | | | 6.04 | % | | | 6.55 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | | | 2.77 | % | Total return before incentive fees (2) | | | -1.12 | % | | | 0.61 | % | | | 0.87 | % | | | -20.66 | % | | | -19.03 | % | | | -18.84 | % | | | -22.19 | % | | | -17.43 | % | | | -21.00 | % | | | -17.38 | % | | | -20.79 | % | Total return after incentive fees (2) | | | -1.12 | % | | | 0.61 | % | | | 0.87 | % | | | -20.66 | % | | | -19.03 | % | | | -18.84 | % | | | -22.19 | % | | | -17.43 | % | | | -21.00 | % | | | -17.38 | % | | | -20.79 | % |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | $ | 180.94 | | | $ | 156.81 | | | $ | 156.26 | | | $ | 71.41 | | | $ | 82.48 | | | $ | 108.18 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.21 | | | | 0.24 | | | | 0.33 | | | | 0.28 | | | | 0.28 | | | | (0.00 | ) | | | 0.00 | | | | (0.00 | ) | Expenses | | | (8.01 | ) | | | (5.25 | ) | | | (7.08 | ) | | | (6.12 | ) | | | (6.12 | ) | | | (3.93 | ) | | | (2.09 | ) | | | (2.69 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 7.40 | | | | 8.66 | | | | 11.63 | | | | 10.08 | | | | 10.08 | | | | (0.93 | ) | | | (1.88 | ) | | | (1.55 | ) | Net income/(loss) | | | (0.40 | ) | | | 3.65 | | | | 4.88 | | | | 4.23 | | | | 4.24 | | | | (4.86 | ) | | | (3.97 | ) | | | (4.24 | ) | Net asset value, December 31, 2019 | | $ | 117.23 | | | $ | 137.81 | | | $ | 185.82 | | | $ | 161.04 | | | $ | 160.50 | | | $ | 66.56 | | | $ | 78.51 | | | $ | 103.94 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -6.73 | % | | | -3.73 | % | | | -3.73 | % | | | -3.73 | % | | | -3.73 | % | | | -5.42 | % | | | -2.42 | % | | | -2.42 | % | Expenses before incentive fees (3)(4) | | | 6.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 5.42 | % | | | 2.42 | % | | | 2.42 | % | Expenses after incentive fees (3)(4) | | | 6.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 3.91 | % | | | 5.42 | % | | | 2.42 | % | | | 2.42 | % | Total return before incentive fees (2) | | | -0.34 | % | | | 2.72 | % | | | 2.70 | % | | | 2.70 | % | | | 2.71 | % | | | -6.80 | % | | | -4.81 | % | | | -3.92 | % | Total return after incentive fees (2) | | | -0.34 | % | | | 2.72 | % | | | 2.70 | % | | | 2.70 | % | | | 2.71 | % | | | -6.80 | % | | | -4.81 | % | | | -3.92 | % |
| | Frontier Global Fund (Formerly Frontier Winton Fund) | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2018 | | $ | 131.57 | | | $ | 149.92 | | | $ | 187.17 | | | $ | 99.83 | | | $ | 111.78 | | | $ | 152.53 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | (0.00 | ) | | | (0.00 | ) | | | (0.00 | ) | | | (0.00 | ) | | | 0.00 | | | | (0.00 | ) | Expenses | | | (11.16 | ) | | | (8.15 | ) | | | (10.11 | ) | | | (6.90 | ) | | | (4.62 | ) | | | (5.93 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 11.11 | | | | 12.66 | | | | 15.76 | | | | 4.61 | | | | 7.00 | | | | 7.00 | | Net income/(loss) | | | (0.05 | ) | | | 4.51 | | | | 5.65 | | | | (2.29 | ) | | | 2.37 | | | | 1.06 | | Net asset value, December 31, 2019 | | $ | 131.52 | | | $ | 154.43 | | | $ | 192.82 | | | $ | 97.54 | | | $ | 114.15 | | | $ | 153.59 | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -7.99 | % | | | -4.99 | % | | | -4.99 | % | | | -6.71 | % | | | -3.70 | % | | | -3.70 | % | Expenses before incentive fees (3)(4) | | | 7.99 | % | | | 4.99 | % | | | 4.99 | % | | | 6.71 | % | | | 3.70 | % | | | 3.70 | % | Expenses after incentive fees (3)(4) | | | 7.99 | % | | | 4.99 | % | | | 4.99 | % | | | 6.71 | % | | | 3.70 | % | | | 3.70 | % | Total return before incentive fees (2) | | | -0.04 | % | | | 3.01 | % | | | 3.02 | % | | | -2.30 | % | | | 2.12 | % | | | 0.70 | % | Total return after incentive fees (2) | | | -0.04 | % | | | 3.01 | % | | | 3.02 | % | | | -2.30 | % | | | 2.12 | % | | | 0.70 | % |
| (1) | Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
| (2) | Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. |
| (3) | Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6. |
| (4) | Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return. |
For the year ended December 31, 2018 | | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2017 | | $ | 116.41 | | | $ | 135.19 | | | $ | 125.68 | | | $ | 114.74 | | | $ | 133.27 | | | $ | 124.40 | | | $ | 81.35 | | | $ | 115.81 | | | $ | 93.59 | | | $ | 121.50 | | | $ | 97.99 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.21 | | | | 0.24 | | | | 0.23 | | | | 0.30 | | | | 0.35 | | | | 0.33 | | | | 0.28 | | | | 0.41 | | | | 0.31 | | | | 0.42 | | | | 0.33 | | Expenses | | | (7.04 | ) | | | (4.43 | ) | | | (4.13 | ) | | | (9.05 | ) | | | (8.14 | ) | | | (7.55 | ) | | | (4.71 | ) | | | (2.61 | ) | | | (2.01 | ) | | | (2.71 | ) | | | (2.12 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (7.33 | ) | | | (10.16 | ) | | | (9.16 | ) | | | (14.88 | ) | | | (17.80 | ) | | | (16.41 | ) | | | (20.12 | ) | | | (14.79 | ) | | | (25.38 | ) | | | (15.56 | ) | | | (26.37 | ) | Net income/(loss) | | | (14.16 | ) | | | (14.35 | ) | | | (13.06 | ) | | | (23.64 | ) | | | (25.59 | ) | | | (23.63 | ) | | | (24.55 | ) | | | (16.99 | ) | | | (27.07 | ) | | | (17.84 | ) | | | (28.16 | ) | Net asset value, December 31, 2018 | | $ | 102.25 | | | $ | 120.84 | | | $ | 112.62 | | | $ | 91.10 | | | $ | 107.68 | | | $ | 100.77 | | | $ | 56.80 | | | $ | 98.82 | | | $ | 66.52 | | | $ | 103.66 | | | $ | 69.83 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -8.66 | % | | | -4.56 | % | | | -4.56 | % | | | -12.07 | % | | | -9.10 | % | | | -9.10 | % | | | -7.95 | % | | | -2.73 | % | | | -2.73 | % | | | -2.73 | % | | | -2.74 | % | Expenses before incentive fees (3)(4) | | | 8.95 | % | | | 4.85 | % | | | 4.85 | % | | | 12.47 | % | | | 9.51 | % | | | 9.51 | % | | | 8.56 | % | | | 3.34 | % | | | 3.34 | % | | | 3.34 | % | | | 3.38 | % | Expenses after incentive fees (3)(4) | | | 8.92 | % | | | 4.82 | % | | | 4.82 | % | | | 12.47 | % | | | 9.51 | % | | | 9.51 | % | | | 8.45 | % | | | 3.23 | % | | | 3.23 | % | | | 3.23 | % | | | 3.24 | % | Total return before incentive fees (2) | | | -12.19 | % | | | -10.64 | % | | | -10.42 | % | | | -20.60 | % | | | -19.20 | % | | | -19.00 | % | | | -30.29 | % | | | -14.78 | % | | | -29.04 | % | | | -14.80 | % | | | -28.88 | % | Total return after incentive fees (2) | | | -12.16 | % | | | -10.61 | % | | | -10.39 | % | | | -20.60 | % | | | -19.20 | % | | | -19.00 | % | | | 30.18 | % | | | -14.67 | % | | | -28.92 | % | | | -14.68 | % | | | -28.74 | % |
| | Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2017 | | $ | 116.41 | | | $ | 135.19 | | | $ | 125.68 | | | $ | 114.74 | | | $ | 133.27 | | | $ | 124.40 | | | $ | 81.35 | | | $ | 115.81 | | | $ | 93.59 | | | $ | 121.50 | | | $ | 97.99 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.21 | | | | 0.24 | | | | 0.23 | | | | 0.30 | | | | 0.35 | | | | 0.33 | | | | 0.28 | | | | 0.41 | | | | 0.31 | | | | 0.42 | | | | 0.33 | | Expenses | | | (7.04 | ) | | | (4.43 | ) | | | (4.13 | ) | | | (9.05 | ) | | | (8.14 | ) | | | (7.55 | ) | | | (4.71 | ) | | | (2.61 | ) | | | (2.01 | ) | | | (2.71 | ) | | | (2.12 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (7.33 | ) | | | (10.16 | ) | | | (9.16 | ) | | | (14.88 | ) | | | (17.80 | ) | | | (16.41 | ) | | | (20.12 | ) | | | (14.79 | ) | | | (25.38 | ) | | | (15.56 | ) | | | (26.37 | ) | Net income/(loss) | | | (14.16 | ) | | | (14.35 | ) | | | (13.06 | ) | | | (23.64 | ) | | | (25.59 | ) | | | (23.63 | ) | | | (24.55 | ) | | | (16.99 | ) | | | (27.07 | ) | | | (17.84 | ) | | | (28.16 | ) | Net asset value, December 31, 2018 | | $ | 102.25 | | | $ | 120.84 | | | $ | 112.62 | | | $ | 91.10 | | | $ | 107.68 | | | $ | 100.77 | | | $ | 56.80 | | | $ | 98.82 | | | $ | 66.52 | | | $ | 103.66 | | | $ | 69.83 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -8.66 | % | | | -4.56 | % | | | -4.56 | % | | | -12.07 | % | | | -9.10 | % | | | -9.10 | % | | | -7.95 | % | | | -2.73 | % | | | -2.73 | % | | | -2.73 | % | | | -2.74 | % | Expenses before incentive fees (3)(4) | | | 8.95 | % | | | 4.85 | % | | | 4.85 | % | | | 12.47 | % | | | 9.51 | % | | | 9.51 | % | | | 8.56 | % | | | 3.34 | % | | | 3.34 | % | | | 3.34 | % | | | 3.38 | % | Expenses after incentive fees (3)(4) | | | 8.92 | % | | | 4.82 | % | | | 4.82 | % | | | 12.47 | % | | | 9.51 | % | | | 9.51 | % | | | 8.45 | % | | | 3.23 | % | | | 3.23 | % | | | 3.23 | % | | | 3.24 | % | Total return before incentive fees (2) | | | -12.19 | % | | | -10.64 | % | | | -10.42 | % | | | -20.60 | % | | | -19.20 | % | | | -19.00 | % | | | -30.29 | % | | | -14.78 | % | | | -29.04 | % | | | -14.80 | % | | | -28.88 | % | Total return after incentive fees (2) | | | -12.16 | % | | | -10.61 | % | | | -10.39 | % | | | -20.60 | % | | | -19.20 | % | | | -19.00 | % | | | -30.18 | % | | | -14.67 | % | | | -28.92 | % | | | -14.68 | % | | | -28.74 | % |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2017 | | $ | 135.96 | | | $ | 150.56 | | | $ | 202.90 | | | $ | 175.77 | | | $ | 175.18 | | | $ | 90.27 | | | $ | 100.02 | | | $ | 132.73 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.12 | | | | 0.14 | | | | 0.19 | | | | 0.16 | | | | 0.16 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (8.93 | ) | | | (5.90 | ) | | | (7.95 | ) | | | (6.89 | ) | | | (6.87 | ) | | | (4.19 | ) | | | (2.15 | ) | | | (2.94 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (9.52 | ) | | | (10.64 | ) | | | (14.20 | ) | | | (12.23 | ) | | | (12.21 | ) | | | (14.67 | ) | | | (15.39 | ) | | | (21.61 | ) | Net income/(loss) | | | (18.33 | ) | | | (16.40 | ) | | | (21.96 | ) | | | (18.96 | ) | | | (18.92 | ) | | | (18.86 | ) | | | (17.54 | ) | | | (24.55 | ) | Net asset value, December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | $ | 180.94 | | | $ | 156.81 | | | $ | 156.26 | | | $ | 71.41 | | | $ | 82.48 | | | $ | 108.18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -9.49 | % | | | -5.48 | % | | | -5.48 | % | | | -5.48 | % | | | -5.48 | % | | | -7.38 | % | | | -3.37 | % | | | -3.37 | % | Expenses before incentive fees (3)(4) | | | 9.24 | % | | | 5.23 | % | | | 5.23 | % | | | 5.23 | % | | | 5.23 | % | | | 7.38 | % | | | 3.37 | % | | | 3.37 | % | Expenses after incentive fees (3)(4) | | | 9.62 | % | | | 5.62 | % | | | 5.62 | % | | | 5.62 | % | | | 5.62 | % | | | 7.38 | % | | | 3.37 | % | | | 3.37 | % | Total return before incentive fees (2) | | | -13.10 | % | | | -10.51 | % | | | -10.44 | % | | | -10.41 | % | | | -10.42 | % | | | -20.89 | % | | | -17.54 | % | | | -18.50 | % | Total return after incentive fees (2) | | | -13.48 | % | | | -10.89 | % | | | -10.82 | % | | | -10.79 | % | | | -10.80 | % | | | -20.89 | % | | | -17.54 | % | | | -18.50 | % |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2017 | | $ | 135.96 | | | $ | 150.56 | | | $ | 202.90 | | | $ | 175.77 | | | $ | 175.18 | | | $ | 90.27 | | | $ | 100.02 | | | $ | 132.73 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.12 | | | | 0.14 | | | | 0.19 | | | | 0.16 | | | | 0.16 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (8.93 | ) | | | (5.90 | ) | | | (7.95 | ) | | | (6.89 | ) | | | (6.87 | ) | | | (4.19 | ) | | | (2.15 | ) | | | (2.94 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (9.52 | ) | | | (10.64 | ) | | | (14.20 | ) | | | (12.23 | ) | | | (12.21 | ) | | | (14.67 | ) | | | (15.39 | ) | | | (21.61 | ) | Net income/(loss) | | | (18.33 | ) | | | (16.40 | ) | | | (21.96 | ) | | | (18.96 | ) | | | (18.92 | ) | | | (18.86 | ) | | | (17.54 | ) | | | (24.55 | ) | Net asset value, December 31, 2018 | | $ | 117.63 | | | $ | 134.16 | | | $ | 180.94 | | | $ | 156.81 | | | $ | 156.26 | | | $ | 71.41 | | | $ | 82.48 | | | $ | 108.18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -9.49 | % | | | -5.48 | % | | | -5.48 | % | | | -5.48 | % | | | -5.48 | % | | | -7.38 | % | | | -3.37 | % | | | -3.37 | % | Expenses before incentive fees (3)(4) | | | 9.24 | % | | | 5.23 | % | | | 5.23 | % | | | 5.23 | % | | | 5.23 | % | | | 7.38 | % | | | 3.37 | % | | | 3.37 | % | Expenses after incentive fees (3)(4) | | | 9.62 | % | | | 5.62 | % | | | 5.62 | % | | | 5.62 | % | | | 5.62 | % | | | 7.38 | % | | | 3.37 | % | | | 3.37 | % | Total return before incentive fees (2) | | | -13.10 | % | | | -10.51 | % | | | -10.44 | % | | | -10.41 | % | | | -10.42 | % | | | -20.89 | % | | | -17.54 | % | | | -18.50 | % | Total return after incentive fees (2) | | | -13.48 | % | | | -10.89 | % | | | -10.82 | % | | | -10.79 | % | | | -10.80 | % | | | -20.89 | % | | | -17.54 | % | | | -18.50 | % |
| | Frontier Winton Fund | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2017 | | $ | 159.08 | | | $ | 176.44 | | | $ | 216.50 | | | $ | 121.19 | | | $ | 134.28 | | | $ | 179.70 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.00 | | | | 0.00 | | | | 0.01 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (14.29 | ) | | | (11.05 | ) | | | (14.12 | ) | | | (10.86 | ) | | | (8.95 | ) | | | (11.58 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | (13.22 | ) | | | (15.47 | ) | | | (15.21 | ) | | | (10.50 | ) | | | (13.55 | ) | | | (15.59 | ) | Net income/(loss) | | | (27.51 | ) | | | (26.52 | ) | | | (29.33 | ) | | | (21.36 | ) | | | (22.50 | ) | | | (27.17 | ) | Net asset value, December 31, 2018 | | $ | 131.57 | | | $ | 149.92 | | | $ | 187.17 | | | $ | 99.83 | | | $ | 111.78 | | | $ | 152.53 | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -13.50 | % | | | -9.49 | % | | | -9.49 | % | | | -11.85 | % | | | -7.84 | % | | | -7.84 | % | Expenses before incentive fees (3)(4) | | | 13.50 | % | | | 9.49 | % | | | 9.49 | % | | | 11.84 | % | | | 7.83 | % | | | 7.83 | % | Expenses after incentive fees (3)(4) | | | 13.50 | % | | | 9.49 | % | | | 9.49 | % | | | 11.85 | % | | | 7.84 | % | | | 7.84 | % | Total return before incentive fees (2) | | | -17.29 | % | | | -15.03 | % | | | -13.55 | % | | | -17.61 | % | | | -16.74 | % | | | -15.11 | % | Total return after incentive fees (2) | | | -17.29 | % | | | -15.03 | % | | | -13.55 | % | | | -17.63 | % | | | -16.76 | % | | | -15.12 | % |
| (5) | 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. |
| (6) | Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. |
| (7) | Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6. |
| (8) | Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return. |
For the year ended December 31, 2017
| Frontier Diversified Fund | | | Frontier Masters Fund | | | Frontier Long/Short Commodity Fund | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1 | | | Class 2 | | | Class 3 | | | Class 1a | | | Class 2 | | | Class 2a | | | Class 3 | | | Class 3a | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2016 | $ | 116.43 | | | $ | 132.94 | | | $ | 123.27 | | | $ | 112.80 | | | $ | 128.78 | | | $ | 119.89 | | | $ | 92.78 | | | $ | 129.56 | | | $ | 105.67 | | | $ | 130.80 | | | $ | 107.50 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | 0.29 | | | | 0.34 | | | | 0.31 | | | | 0.61 | | | | 0.70 | | | | 0.65 | | | | 0.01 | | | | 0.00 | | | | (0.01 | ) | | | 0.00 | | | | 0.00 | | Expenses | | (8.27 | ) | | | (4.76 | ) | | | (4.39 | ) | | | (9.05 | ) | | | (7.54 | ) | | | (6.99 | ) | | | (4.71 | ) | | | (3.55 | ) | | | (2.89 | ) | | | (3.61 | ) | | | (2.94 | ) | Net gain/(loss) on investments, net of non-controlling interests | | 7.96 | | | | 6.67 | | | | 6.49 | | | | 10.38 | | | | 11.33 | | | | 10.85 | | | | (6.73 | ) | | | (10.20 | ) | | | (9.18 | ) | | | (5.69 | ) | | | (6.57 | ) | Net income/(loss) | | (0.02 | ) | | | 2.25 | | | | 2.41 | | | | 1.94 | | | | 4.49 | | | | 4.51 | | | | (11.43 | ) | | | (13.75 | ) | | | (12.08 | ) | | | (9.30 | ) | | | (9.51 | ) | Net asset value, December 31, 2017 | $ | 116.41 | | | $ | 135.19 | | | $ | 125.68 | | | $ | 114.74 | | | $ | 133.27 | | | $ | 124.40 | | | $ | 81.35 | | | $ | 115.81 | | | $ | 93.59 | | | $ | 121.50 | | | $ | 97.99 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | -9.18 | % | | | -4.41 | % | | | -4.41 | % | | | -10.21 | % | | | -7.19 | % | | | -7.19 | % | | | -7.09 | % | | | -4.08 | % | | | -4.08 | % | | | -4.08 | % | | | -4.16 | % | Expenses before incentive fees (3)(4) | | 9.65 | % | | | 4.88 | % | | | 4.88 | % | | | 10.95 | % | | | 7.93 | % | | | 7.93 | % | | | 7.99 | % | | | 4.98 | % | | | 4.98 | % | | | 4.98 | % | | | 5.31 | % | Expenses after incentive fees (3)(4) | | 9.52 | % | | | 4.75 | % | | | 4.75 | % | | | 10.95 | % | | | 7.93 | % | | | 7.93 | % | | | 7.09 | % | | | 4.08 | % | | | 4.08 | % | | | 4.08 | % | | | 4.16 | % | Total return before incentive fees (2) | | -0.15 | % | | | 1.56 | % | | | 1.82 | % | | | 1.72 | % | | | 3.49 | % | | | 3.76 | % | | | -13.23 | % | | | -11.52 | % | | | -12.34 | % | | | -8.02 | % | | | -10.00 | % | Total return after incentive fees (2) | | -0.02 | % | | | 1.69 | % | | | 1.96 | % | | | 1.72 | % | | | 3.49 | % | | | 3.76 | % | | | -12.32 | % | | | -10.61 | % | | | -11.43 | % | | | -7.11 | % | | | -8.85 | % |
| | Frontier Balanced Fund | | | Frontier Select Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 2a | | | Class 3a | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2016 | | $ | 134.80 | | | $ | 144.97 | | | $ | 194.99 | | | $ | 169.05 | | | $ | 168.49 | | | $ | 94.06 | | | $ | 101.16 | | | $ | 134.25 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.05 | | | | 0.05 | | | | 0.07 | | | | 0.06 | | | | 0.06 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | Expenses | | | (8.66 | ) | | | (5.04 | ) | | | (6.80 | ) | | | (5.90 | ) | | | (5.87 | ) | | | (5.33 | ) | | | (2.99 | ) | | | (3.98 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 9.77 | | | | 10.58 | | | | 14.64 | | | | 12.56 | | | | 12.50 | | | | 1.54 | | | | 1.85 | | | | 2.46 | | Net income/(loss) | | | 1.16 | | | | 5.59 | | | | 7.91 | | | | 6.72 | | | | 6.69 | | | | (3.79 | ) | | | (1.14 | ) | | | (1.52 | ) | Net asset value, December 31, 2017 | | $ | 135.96 | | | $ | 150.56 | | | $ | 202.90 | | | $ | 175.77 | | | $ | 175.18 | | | $ | 90.27 | | | $ | 100.02 | | | $ | 132.73 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -8.50 | % | | | -4.51 | % | | | -4.51 | % | | | -4.51 | % | | | -4.51 | % | | | -8.23 | % | | | -4.24 | % | | | -4.24 | % | Expenses before incentive fees (3)(4) | | | 8.48 | % | | | 4.49 | % | | | 4.49 | % | | | 4.49 | % | | | 4.49 | % | | | 8.23 | % | | | 4.24 | % | | | 4.24 | % | Expenses after incentive fees (3)(4) | | | 8.54 | % | | | 4.56 | % | | | 4.56 | % | | | 4.56 | % | | | 4.56 | % | | | 8.23 | % | | | 4.24 | % | | | 4.24 | % | Total return before incentive fees (2) | | | 0.92 | % | | | 3.92 | % | | | 4.12 | % | | | 4.04 | % | | | 4.03 | % | | | -4.03 | % | | | -1.13 | % | | | -1.13 | % | Total return after incentive fees (2) | | | 0.86 | % | | | 3.86 | % | | | 4.06 | % | | | 3.98 | % | | | 3.97 | % | | | -4.03 | % | | | -1.13 | % | | | -1.13 | % |
| | Frontier Winton Fund | | | Frontier Heritage Fund | | | Frontier Winton Fund | | | Frontier Heritage Fund | | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | | Class 1 | | | Class 1AP | | | Class 2 | | Per unit operating performance (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net asset value, December 31, 2016 | | $ | 154.51 | | | $ | 166.17 | | | $ | 210.98 | | | $ | 119.58 | | | $ | 128.60 | | | $ | 172.10 | | | Net asset value, December 31, 2017 | | | $ | 159.08 | | | $ | 176.44 | | | $ | 216.50 | | | $ | 121.19 | | | $ | 134.28 | | | $ | 179.70 | | Net operating results: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest income | | | 0.32 | | | | 0.35 | | | | 0.44 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | (0.00 | ) | | | (0.00 | ) | | | 0.01 | | | | (0.00 | ) | | | 0.00 | | | | (0.00 | ) | Expenses | | | (13.04 | ) | | | (9.32 | ) | | | (11.79 | ) | | | (9.12 | ) | | | (6.22 | ) | | | (8.35 | ) | | | (14.29 | ) | | | (11.05 | ) | | | (14.12 | ) | | | (10.86 | ) | | | (8.95 | ) | | | (11.58 | ) | Net gain/(loss) on investments, net of non-controlling interests | | | 17.29 | | | | 19.24 | | | | 16.87 | | | | 10.73 | | | | 11.90 | | | | 15.95 | | | | (13.22 | ) | | | (15.47 | ) | | | (15.21 | ) | | | (10.50 | ) | | | (13.55 | ) | | | (15.59 | ) | Net income/(loss) | | | 4.57 | | | | 10.27 | | | | 5.52 | | | | 1.61 | | | | 5.68 | | | | 7.60 | | | | (27.51 | ) | | | (26.52 | ) | | | (29.33 | ) | | | (21.36 | ) | | | (22.50 | ) | | | (27.17 | ) | Net asset value, December 31, 2017 | | $ | 159.08 | | | $ | 176.44 | | | $ | 216.50 | | | $ | 121.19 | | | $ | 134.28 | | | $ | 179.70 | | | Net asset value, December 31, 2018 | | | $ | 131.57 | | | $ | 149.92 | | | $ | 187.17 | | | $ | 99.83 | | | $ | 111.78 | | | $ | 152.53 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average net assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income/(loss) | | | -11.41 | % | | | -7.42 | % | | | -7.42 | % | | | -10.67 | % | | | -6.68 | % | | | -6.68 | % | | | -13.50 | % | | | -9.49 | % | | | -9.49 | % | | | -11.85 | % | | | -7.84 | % | | | -7.84 | % | Expenses before incentive fees (3)(4) | | | 11.98 | % | | | 8.00 | % | | | 8.00 | % | | | 10.73 | % | | | 6.74 | % | | | 6.74 | % | | | 13.50 | % | | | 9.49 | % | | | 9.49 | % | | | 11.84 | % | | | 7.83 | % | | | 7.83 | % | Expenses after incentive fees (3)(4) | | | 11.69 | % | | | 7.71 | % | | | 7.71 | % | | | 10.67 | % | | | 6.68 | % | | | 6.68 | % | | | 13.50 | % | | | 9.49 | % | | | 9.49 | % | | | 11.85 | % | | | 7.84 | % | | | 7.84 | % | Total return before incentive fees (2) | | | 2.67 | % | | | 5.89 | % | | | 2.33 | % | | | 1.29 | % | | | 4.36 | % | | | 4.36 | % | | | -17.29 | % | | | -15.03 | % | | | -13.55 | % | | | -17.61 | % | | | -16.74 | % | | | -15.11 | % | Total return after incentive fees (2) | | | 2.96 | % | | | 6.18 | % | | | 2.62 | % | | | 1.35 | % | | | 4.42 | % | | | 4.42 | % | | | -17.29 | % | | | -15.03 | % | | | -13.55 | % | | | -17.63 | % | | | -16.76 | % | | | -15.12 | % |
| (1) | Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
| (2) | Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. |
| (3) | Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6. |
| (4) | Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return. |
8. Derivative Instruments and Hedging Activities
| ● | Derivative Instruments and Hedging Activities |
The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815,Derivatives and Hedging(“ (“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of December 31, 20192020 and 20182019 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps. The following tables summarize the monthly averages of futures contracts bought and sold for each respective Series of the Trust: For the Year Ended December 31, 2020 Monthly average contracts: | | Bought | | | Sold | | | | | | | | | | | Frontier Balanced Fund | | | 613 | | | | 612 | |
For the Year Ended December 31, 2019 Monthly average contracts: | | Bought | | | Sold | | | | | | | | | | | Frontier Balanced Fund | | | 1,209 | | | | 1,409 | |
For the Year Ended December 31, 2018 Monthly average contracts: | | Bought | | | Sold | | | | | | | | | | | Frontier Balanced Fund | | | 2,183 | | | | 1,971 | |
For the Year Ended December 31, 2017
Monthly average contracts:
| | Bought | | | Sold | | Frontier Balanced Fund | | | 1,070 | | | | 1,008 | | Frontier Select Fund | | | 4,019 | | | | 4,191 | | Frontier Winton Fund | | | 1,998 | | | | 1,980 | |
The following tables summarize the trading revenues for the years ended December 31, 2020, 2019 2018 and 20172018 by sector: Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2020 Type of contract | | Frontier Balanced Fund | | | | | | Agriculturals | | $ | 147,013 | | Currencies | | | 90,903 | | Energies | | | 118,920 | | Interest rates | | | 59,037 | | Metals | | | 217,301 | | Stock indices | | | (34,911 | ) | Realized trading income/(loss)(1) | | $ | 598,263 | |
Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2019 Type of contract | | Frontier Balanced Fund | | | Frontier Balanced Fund | | | | | | | | | Agriculturals | | $ | 230,294 | | | $ | 230,294 | | Currencies | | | (104,139 | ) | | | (104,140 | ) | Energies | | | 124,324 | | | | 124,324 | | Interest rates | | | (43,735 | ) | | | (43,735 | ) | Metals | | | (71,367 | ) | | | (71,367 | ) | Stock indices | | | 151 | | | | 151 | | Realized trading income/(loss)(1) | | $ | 135,528 | | | $ | 135,527 | |
Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2018 Type of contract | | Frontier Balanced Fund | | | | | | Agriculturals | | $ | (20,839 | ) | Currencies | | | (374,202 | ) | Energies | | | 74,850 | | Interest rates | | | (62,765 | ) | Metals | | | 11,010 | | Stock indices | | | (4,991 | ) | Realized trading income/(loss)(1) | | $ | (376,937 | ) |
Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2017
Type of contract | | Frontier Balanced Fund | | | Frontier Select Fund | | | Frontier Winton Fund | | | Frontier Balanced Fund | | | | | | | | | | | | | Metals | | $ | (134,275 | ) | | $ | (143,520 | ) | | $ | (1,595,961 | ) | | Agriculturals | | | $ | (20,839 | ) | Currencies | | | 131,422 | | | | (290,393 | ) | | | (1,676,434 | ) | | | (374,202 | ) | Energies | | | 108,921 | | | | (485,509 | ) | | | (1,185,513 | ) | | | 74,850 | | Agriculturals | | | (551,945 | ) | | | 162,919 | | | | 727,130 | | | Interest rates | | | (381,197 | ) | | | (894,051 | ) | | | (1,522,362 | ) | | | (62,765 | ) | Metals | | | | 11,010 | | Stock indices | | | 445,257 | | | | 1,502,370 | | | | 9,683,416 | | | | (4,991 | ) | Realized trading income/(loss)(1) | | $ | (381,817 | ) | | $ | (148,184 | ) | | $ | 4,430,276 | | | $ | (376,937 | ) |
| (1) | Amounts recorded in the Statements of Operations under Net realized gain(loss) on futures forwards and options. |
Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2020 Type of contract | | Frontier Balanced Fund | | | | | | Agriculturals | | $ | 27,115 | | Currencies | | | 14,158 | | Energies | | | (25,335 | ) | Interest rates | | | 4,660 | | Metals | | | (1,619 | ) | Stock indices | | | 11,486 | | Change in unrealized trading income/(loss)(1) | | $ | 30,465 | |
Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2019 Type of contract | | Frontier Balanced Fund | | | Frontier Balanced Fund | | | | | | | | | Agriculturals | | $ | (37,494 | ) | | $ | (37,494 | ) | Currencies | | | (127,586 | ) | | | (127,586 | ) | Energies | | | 9,624 | | | | 9,624 | | Interest rates | | | (4,922 | ) | | | (4,922 | ) | Metals | | | 26,498 | | | | 26,498 | | Stock indices | | | - | | | | - | | Change in unrealized trading income/(loss)(1) | | $ | (133,880 | ) | | $ | (133,880 | ) |
Net Change in Open Trade Equity from Futures, Forwards and Options | for the Year Ended December 31, 2018 |
Type of contract | | Frontier Balanced Fund | | | | | | Agriculturals | | $ | (16,846 | ) | Currencies | | | (124,436 | ) | Energies | | | (73,724 | ) | Interest rates | | | 207,810 | | Metals | | | 14,424 | | Stock indices | | | 7,107 | | Change in unrealized trading income/(loss)(1) | | $ | 14,335 | |
Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2018
Type of contract | | Frontier Balanced Fund | | | | | | Agriculturals | | $ | (16,846 | ) | Currencies | | | (124,436 | ) | Energies | | | (73,724 | ) | Interest rates | | | 207,810 | | Metals | | | 14,424 | | Stock indices | | | 7,107 | | Change in unrealized trading income/(loss)(1) | | $ | 14,335 | |
Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2017
Type of contract | | Frontier Balanced Fund | | | Frontier Select Fund | | | Frontier Winton Fund | | | | | | | | | | | | Metals | | $ | (115,993 | ) | | $ | (57,373 | ) | | $ | 20,454 | | Currencies | | | 85,174 | | | | (151,187 | ) | | | (565,953 | ) | Energies | | | 78,514 | | | | (176,868 | ) | | | 124,997 | | Agriculturals | | | (59,986 | ) | | | (26,685 | ) | | | 6,743 | | Interest rates | | | (50,861 | ) | | | (214,247 | ) | | | (110,137 | ) | Stock indices | | | 6,424 | | | | (59,662 | ) | | | (398,394 | ) | Change in unrealized trading income/(loss)(1) | | $ | (56,728 | ) | | $ | (686,022 | ) | | $ | (922,290 | ) |
| (1) | Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit) |
Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from FCM’sfutures commissions merchants (each, an “FCM”) are subject to master netting arrangements and collateral arrangements and meet the GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition.
The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of December 31, 20192020 and 2018.2019. As of December 31, 2020 | | Gross Amounts of recognized Derivative Assets/Liabilities | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | | | | | | | | | | | Frontier Balanced Fund | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 814,743 | | | $ | (714,303 | ) | | $ | 100,440 | |
As of December 31, 2019 | | Gross Amounts of recognized Derivative Assets | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | Frontier Balanced Fund | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 154,778 | | | $ | (38,594 | ) | | $ | 116,184 | | Swap Contracts | | | 11,944,753 | | | | - | | | $ | 11,944,753 | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | Swap Contracts | | $ | 6,384,583 | | | $ | - | | | $ | 6,384,583 | | | | | | | | | | | | | | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | Swap Contracts | | $ | 362,521 | | | $ | - | | | $ | 362,521 | | | | | | | | | | | | | | | Frontier Heritage Fund | | | | | | | | | | | | | Swap Contracts | | $ | 2,888,009 | | | $ | - | | | $ | 2,888,009 | |
As of December 31, 2018
| | | Gross Amounts of recognized Derivative Assets | | Gross Amounts offset in the Statements of Financial Condition | | Net Amounts Presented in the Statements of Financial Condition | | | | Gross Amounts of recognized Derivative Assets | | Gross Amounts offset in the Statements of Financial Condition | | Net Amounts Presented in the Statements of Financial Condition | | | | | | | | | Frontier Balanced Fund | | | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 348,879 | | | $ | (128,220 | ) | | $ | 220,659 | | | $ | 154,778 | | | $ | (38,594 | ) | | $ | 116,184 | | Swap Contracts | | | 10,794,908 | | | | - | | | $ | 10,794,908 | | | | 11,944,753 | | | | - | | | $ | 11,944,753 | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Diversified Fund | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | $ | 5,920,414 | | | $ | - | | | $ | 5,920,414 | | | $ | 6,384,583 | | | $ | - | | | $ | 6,384,583 | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Long/Short Commodity Fund | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | $ | 479,102 | | | $ | - | | | $ | 479,102 | | | $ | 362,521 | | | $ | - | | | $ | 362,521 | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier Heritage Fund | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | $ | 2,955,444 | | | $ | - | | | $ | 2,955,444 | | | $ | 2,888,009 | | | $ | - | | | $ | 2,888,009 | |
9. Trading Activities and Related Risks
| ● | Trading Activities and Related Risks |
The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The CEA 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 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, clearinghouseclearing house or other counterparty will be able to meet its obligations to any Trading Company. The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. 10. Indemnifications and Guarantees noted in Management Discussion and Analysis
| ● | Indemnifications and Guarantees noted in Management Discussion and Analysis |
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, bad faith or willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with the custodian of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.
11. Subsequent Events
Effective February 1, 2020,The Managing Owner evaluates events that occur after the administratorbalance sheet date but before and transfer agency provider ofup until financial statements are available to be issued. The Managing Owner has assessed the Series was changed from Gemini Hedge Fund Services, LLCsubsequent events through the date that the financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to Sudrania Fund Services Corp. Sudrania Fund Services Corp (the "Administrator") serves asor disclosure in the administrator and registrar and transfer agent to the Series and performs certain administrative and accounting services for the Series. The Administrator is paid customary fees for the services that it provides to the Series.
Gemini Alternative Funds, LLC, an affiliate of Gemini Hedge Fund Services, LLC continues to sponsor and operate each Master Fund.
Frontier Balanced Fundfinancial statements.
Effective March 12, 2020, Frontier FundJanuary 4, 2021 Volt Capital Management the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”),was added as a major commodity trading advisor for the Frontier BalancedLong Short Commodity Fund. Emil Van Essen wasVolt is accessed through the Galaxy Plus Managed Account platform.Fund – Volt Diversified Alpha Feeder Fund (550) LLC. The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for theEffective February 21, 2021, Gemini Alternative Funds, LLC changed its name to New Hyde Park Alternative Funds, LLC.
From January 1, 2021 through March 30, 2021, Frontier Balanced Fund, are: Aspect Capital Limited
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Balanced Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Balanced Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Balanced Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 19 | % | Crabel Capital Management, LLC | | | 7 | % | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 6 | % | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 12 | % | H2O AM LLP | | | 17 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2 | % | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 14 | % | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 4 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 12 | % | Wimmer Horizon LLP | | | 7 | % |
Frontier Diversified Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Diversified Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Diversified Fund, are:
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Diversified Fund.
As of March 13, 2020, the allocation of the assets of the Frontier DiversifiedHeritage Fund, between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Diversified Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 23 | % | Crabel Capital Management, LLC | | | 7 | % | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 7 | % | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 17 | % | H2O AM LLP | | | 12 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2 | % | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 12 | % | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 7 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 13 | % |
Frontier Masters Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Masters Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Masters Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Masters Fund are:
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC and Transtrend, B.V., the managing owner has made the following allocation adjustments to Frontier Masters Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Masters Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Masters Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 81 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 19 | % |
Frontier Long/Short Commodity Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Long/Short Commodity Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Long/Short Commodity Fund, are:
| ● | Landmark Trading Company (Non-major) |
| ● | Rosetta Capital Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Long/Short Commodity Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Long/Short CommodityMasters Fund, between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Long/Short Commodity Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | JE Moody & Company | | | 30 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 7 | % | Rosetta Capital Management, LLC (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 40 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 23 | % |
Frontier Select Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Select Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Select Fund are:
| ● | BH-DG Systematic Trading, LLP |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Transtrend B.V., the managing owner has made the following allocation adjustments toand Frontier Select Fund.Global Fund paid $1,437,359, $273,449, $109,398, $41,767, $43,942, $116,260 and $141,476, respectively, in redemptions.
As of March 13, 2020, the allocation of the assets of the Frontier Select Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Select Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | BH-DG Systematic Trading, LLP | | | 48 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 52 | % |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Executive Committee of Frontier Funds Opinions on the Financial Statements We have audited the accompanying consolidated statement of financial condition, including the consolidated schedule of investments, of the Frontier Funds (the “Trust”) as of December 31, 2020 and 2019, and the related consolidated statements of operations, changes in owners’ capital and cash flows for each of the yearyears then ended, and the related notes to the consolidated financial statements (collectively referred to as the “financial statements”). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Trust as of December 31, 2019,2020, and the results of its operations and its cash flows for the year then ended, in conformity with accounting principles generally accepted in the United States of America. Basis for Opinion These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. Our audit of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provide a reasonable basis for our opinions. /s/ Spicer Jeffries LLP We have served as auditor of the Frontier Funds Trust since 2019. Denver, Colorado March 30, 202031, 2021
Frontier Funds Consolidated Statements of Financial Condition December 31, 20192020 and December 31, 20182019 | | December 31, 2019 | | December 31, 2018 | | | December 31, 2020 | | | December 31, 2019 | | | | | | | | | | | | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents | | $ | 367,568 | | | $ | 1,729,879 | | | $ | 468,466 | | | $ | 367,568 | | U.S. Treasury securities, at fair value | | | 650,728 | | | | 5,684,327 | | | | 2,282,606 | | | | 650,728 | | Receivable from futures commission merchants | | | | 233,973 | | | | 2,526,242 | | Open trade equity, at fair value | | | 116,184 | | | | - | | | | 100,440 | | | | 116,184 | | Incentive fee receivable | | | - | | | | 78,845 | | | Receivable from futures commission merchants | | | 2,526,242 | | | | 11,255,848 | | | Swap contracts, at fair value | | | 21,579,865 | | | | 20,149,868 | | | | - | | | | 21,579,865 | | Investments in private investment companies, at fair value | | | 35,926,037 | | | | 46,557,428 | | | | 23,089,312 | | | | 35,926,037 | | Interest receivable | | | 13,363 | | | | 117,168 | | | | 45,578 | | | | 13,363 | | Receivable from related parties | | | 11,453 | | | | - | | | | 26,129 | | | | 11,453 | | Redemptions receivable from private investment companies | | | 552,017 | | | | - | | | | 181,323 | | | | 552,017 | | Other assets | | | 5,700 | | | | - | | | | - | | | | 5,700 | | | | | | | | | | | | | | | | | | | Total Assets | | $ | 61,749,157 | | | $ | 85,573,363 | | | $ | 26,427,827 | | | $ | 61,749,157 | | | | | | | | | | | | LIABILITIES & CAPITAL | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | Open trade deficit, at fair value | | $ | - | | | $ | 398,189 | | | Open trade equity, at fair value | | | $ | - | | | $ | - | | Redemptions payable | | | 133,633 | | | | - | | | | 38,128 | | | | 133,633 | | Owner redemptions payable | | | - | | | | 23,759 | | | Incentive fees payable to Managing Owner | | | - | | | | 10,897 | | | Management fees payable to Managing Owner | | | 8,795 | | | | 78,045 | | | | 8,854 | | | | 8,795 | | Interest payable to Managing Owner | | | 327 | | | | 10,852 | | | | 2,107 | | | | 327 | | Trading fees payable to Managing Owner | | | 160,907 | | | | 222,241 | | | | 81,698 | | | | 160,907 | | Service fees payable to Managing Owner | | | 68,762 | | | | 96,152 | | | | 36,705 | | | | 68,762 | | Risk analysis fees payable | | | 8,465 | | | | 27,562 | | | | 9,513 | | | | 8,465 | | Advance on unrealized Swap Appreciation | | | 12,191,555 | | | | 12,191,555 | | | | - | | | | 12,191,555 | | Subscriptions in advance for service fee rebates | | | 598,042 | | | | 497,326 | | | | 638,962 | | | | 598,042 | | Payables to related parties | | | | 26,129 | | | | - | | Other liabilities | | | 22,078 | | | | 4,003 | | | | 16,592 | | | | 22,078 | | | | | | | | | | | | | | | | | | | Total Liabilities | | | 13,192,564 | | | | 13,560,581 | | | | 858,688 | | | | 13,192,564 | | | | | | | | | | | | | | | | | | | OWNERS CAPITAL | | | | | | | | | | | | | | | | | Managing Owner Units | | | 487,974 | | | | 851,595 | | | | 283,217 | | | | 487,974 | | Limited Owner Units | | | 48,068,619 | | | | 71,161,187 | | | | 25,285,922 | | | | 48,068,619 | | | | | | | | | | | | | | | | | | | Total Owners Capital | | | 48,556,593 | | | | 72,012,782 | | | | 25,569,139 | | | | 48,556,593 | | | | | | | | | | | | | | | | | | | Total Liabilities and Owners Capital | | $ | 61,749,157 | | | $ | 85,573,363 | | | $ | 26,427,827 | | | $ | 61,749,157 | |
The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Condensed Schedule of Investments December 31, 20192020 | | | | | % of Total Capital | | | | | % of Total Capital | | Description | Description | | Fair Value | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS * | LONG FUTURES CONTRACTS * | | | | | | | | | | | | Various base metals futures contracts (U.S.) | | $ | (3,344 | ) | | -0.01 | % | | | Various agriculture futures contracts (U.S.) | | 22,437 | | 0.05 | % | | | Various soft futures contracts (Far East) | | 709 | | 0.00 | % | | | Various energy futures contracts (U.S.) | | (735 | ) | | 0.00 | % | | | Various soft futures contracts (U.S.) | | 1,740 | | 0.00 | % | | | Various interest rates futures contracts (Europe) | | (2,763 | ) | | -0.01 | % | | | Various precious metal futures contracts (U.S.) | | 45,590 | | 0.09 | % | | | Various stock index futures contracts (Europe) | | (2,506 | ) | | -0.01 | % | | | Various stock index futures contracts (Far East) | | (7,157 | ) | | -0.01 | % | | | Various stock index futures contracts (Oceanic) | | (21,237 | ) | | -0.04 | % | | | Various stock index futures contracts (U.S.) | | | 21,385 | | | 0.04 | % | | Various agriculture futures contracts (Far East) | | | $ | 72,005 | | | | 0.28 | % | Various agriculture futures contracts (Europe) | | | | 9,803 | | | | 0.04 | % | Various agriculture futures contracts (U.S.) | | | | 87,496 | | | | 0.34 | % | Various base metals futures contracts (U.S.) | | | | 22,858 | | | | 0.09 | % | Various currency futures contracts (U.S.) | | | | (100 | ) | | | 0.00 | % | Various currency futures contracts (Europe) | | | | 10,573 | | | | 0.04 | % | Various currency futures contracts (Latin America) | | | | 5,833 | | | | 0.02 | % | Various interest rates futures contracts (Europe) | | | | 148,949 | | | | 0.58 | % | Various interest rates futures contracts (Far East) | | | | 2,882 | | | | 0.01 | % | Various interest rates futures contracts (U.S.) | | | | 2,438 | | | | 0.01 | % | Various precious metal futures contracts (U.S.) | | | | 28,625 | | | | 0.11 | % | Various soft futures contracts (U.S.) | | | | 52,349 | | | | 0.20 | % | Various stock index futures contracts (Far East) | | | | 5,312 | | | | 0.02 | % | Total Long Futures Contracts | | | $ | 449,023 | | | | 1.74 | % | | | Total Long Futures Contracts | | $ | 54,119 | | | 0.10 | % | | | | | | | | | SHORT FUTURES CONTRACTS * | SHORT FUTURES CONTRACTS * | | | | | | | | | | | | | | | Various base metals futures contracts (U.S.) | | $ | (6,369 | ) | | -0.01 | % | | | Various agriculture futures contracts (U.S.) | | (1,410 | ) | | 0.00 | % | | | Various energy futures contracts (U.S.) | | 3,380 | | 0.01 | % | | | Various interest rates futures contracts (Europe) | | 9,572 | | 0.02 | % | | | Various interest rates futures contracts (Far East) | | 1,104 | | 0.00 | % | | | Various soft futures contracts (U.S.) | | | (3,340 | ) | | | -0.01 | % | | | Total Short Futures Contracts | | $ | 2,937 | | | 0.01 | % | | CURRENCY FORWARDS * | | | | | | | | Various currency forwards contracts (NA) | | | 59,128 | | | 0.12 | % | | | Total Currency Forwards | | $ | 59,128 | | | 0.12 | % | | | Total Open Trade Equity (Deficit) | | $ | 116,184 | | | 0.23 | % | | | | | | | | | SWAPS (1) | | | | | | | | Frontier Brevan Howard swap (U.S.) | | $ | 2,888,008 | | 5.95 | % | | | Frontier XXXIV Balanced select swap (U.S.) | | 11,944,753 | | 24.60 | % | | | Frontier XXXV Diversified select swap (U.S.) | | 6,384,583 | | 13.15 | % | | | Frontier XXXVII L/S select swap (U.S.) | | | 362,521 | | | 0.75 | % | | | Total Swaps | | $ | 21,579,865 | | | 44.45 | % | | Various agriculture futures contracts (Far East) | | | | (30,963 | ) | | | -0.12 | % | Various agriculture futures contracts (Europe) | | | | (10,797 | ) | | | -0.04 | % | Various agriculture futures contracts (U.S.) | | | | (92,738 | ) | | | -0.36 | % | Various base metals futures contracts (U.S.) | | | | (10,289 | ) | | | -0.04 | % | Various currency futures contracts (U.S.) | | | | 2,300 | | | | 0.01 | % | Various currency futures contracts (Europe) | | | | (10,381 | ) | | | -0.04 | % | Various currency futures contracts (Latin America) | | | | 2,512 | | | | 0.01 | % | Various interest rates futures contracts (Europe) | | | | (127,832 | ) | | | -0.50 | % | Various interest rates futures contracts (Far East) | | | | (2,482 | ) | | | -0.01 | % | Various interest rates futures contracts (U.S.) | | | | 3,656 | | | | 0.01 | % | Various precious metal futures contracts (U.S.) | | | | (25,560 | ) | | | -0.10 | % | Various soft futures contracts (U.S.) | | | | (42,669 | ) | | | -0.17 | % | Various stock index futures contracts (Far East) | | | | (3,340 | ) | | | -0.01 | % | Total Short Futures Contracts | | | $ | (348,583 | ) | | | -1.36 | % | Total Open Trade Equity (Deficit) | | | $ | 100,440 | | | | 0.38 | % | PRIVATE INVESTMENT COMPANIES (2) | PRIVATE INVESTMENT COMPANIES (2) | | | | | | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | $ | 1,484,422 | | 3.06 | % | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | 3,180,963 | | 6.55 | % | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | 4,620,630 | | 9.52 | % | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | 4,016,291 | | 8.27 | % | | | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | 157,773 | | 0.32 | % | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | 1,032,745 | | 2.13 | % | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | 12,052,434 | | 24.82 | % | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | 6,565,468 | | 13.52 | % | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | 1,821,275 | | 3.75 | % | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 994,036 | | | 2.05 | % | | | Total Private Investment Companies | | $ | 35,926,037 | | | 73.99 | % | | | | | | | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | | 3,377,314 | | | | 13.21 | % | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | | 1,996,633 | | | | 7.81 | % | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | | | 89,029 | | | | 0.35 | % | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | | 1,654,786 | | | | 6.47 | % | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | | 7,427,324 | | | | 29.05 | % | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | | 5,363,456 | | | | 20.98 | % | Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) | | | | 2,715,008 | | | | 10.62 | % | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | | 465,759 | | | | 1.82 | % | Total Private Investment Companies | | | $ | 23,089,312 | | | | 90.31 | % | U.S. TREASURY SECURITIES | U.S. TREASURY SECURITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | FACE VALUE | FACE VALUE | | | Fair Value | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | $ | 510,000 | US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | $ | 650,728 | | | 1.34 | % | | | Total U.S. Treasury Securities | | $ | 650,728 | | | 1.34 | % | | $1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) | | | | 2,282,606 | | | | 8.93 | % | Total U.S. Treasury Securities | | | $ | 2,282,606 | | | | 8.93 | % |
| * | 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 Consolidated Financial Statements, Note 4. |
| (2) | See Notes to Consolidated Financial Statements, Note 5. |
The accompanying notes are an integral part of these consolidated financial statements.
Frontier Funds Consolidated Condensed Schedule of Investments December 31, 20182019
| | | Fair | | % of Total Capital | | | | | % of Total Capital | | Description | Description | | Value | | (Net Asset Value) | | | Fair Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS * | LONG FUTURES CONTRACTS * | | | | | | | | | | | Various base metals futures contracts (U.S.) | | | $ | (3,344 | ) | | | -0.01 | % | Various agriculture futures contracts (U.S.) | | | | 22,437 | | | | 0.05 | % | Various soft futures contracts (Far East) | | | | 709 | | | | 0.00 | % | Various energy futures contracts (U.S.) | | | | (735 | ) | | | 0.00 | % | Various soft futures contracts (U.S.) | | | | 1,740 | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | | (2,763 | ) | | | -0.01 | % | Various precious metal futures contracts (U.S.) | | | | 45,590 | | | | 0.09 | % | Various stock index futures contracts (Europe) | | | | (2,506 | ) | | | -0.01 | % | Various stock index futures contracts (Far East) | | | | (7,157 | ) | | | -0.01 | % | Various stock index futures contracts (Oceanic) | | | | (21,237 | ) | | | -0.04 | % | Various stock index futures contracts (U.S.) | | | | 21,385 | | | | 0.04 | % | Total Long Futures Contracts | | | $ | 54,119 | | | | 0.10 | % | SHORT FUTURES CONTRACTS * | | | | | | | | | | Various base metals futures contracts (U.S.) | | | $ | (6,369 | ) | | | -0.01 | % | Various agriculture futures contracts (U.S.) | | | | (1,410 | ) | | | 0.00 | % | Various energy futures contracts (U.S.) | | | | 3,380 | | | | 0.01 | % | Various interest rates futures contracts (Europe) | | | | 9,572 | | | | 0.02 | % | Various interest rates futures contracts (Far East) | | | | 1,104 | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | | (3,340 | ) | | | -0.01 | % | Total Short Futures Contracts | | | $ | 2,937 | | | | 0.01 | % | CURRENCY FORWARDS * | | | | | | | | | | Various currency forwards contracts (NA) | | | | 59,128 | | | | 0.12 | % | Total Currency Forwards | | | $ | 59,128 | | | | 0.12 | % | Total Open Trade Equity (Deficit) | | | $ | 116,184 | | | | 0.23 | % | SWAPS (1) | | | | | | | | | | Frontier Brevan Howard swap (U.S.) | | | $ | 2,888,008 | | | | 5.95 | % | Frontier XXXIV Balanced select swap (U.S.) | | | | 11,944,753 | | | | 24.60 | % | Frontier XXXV Diversified select swap (U.S.) | | | | 6,384,583 | | | | 13.15 | % | Frontier XXXVII L/S select swap (U.S.) | | | | 362,521 | | | | 0.75 | % | Total Swaps | | | $ | 21,579,865 | | | | 44.45 | % | PRIVATE INVESTMENT COMPANIES (2) | | | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | | $ | 1,484,422 | | | | 3.06 | % | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | | | 3,180,963 | | | | 6.55 | % | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | | | 4,620,630 | | | | 9.52 | % | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | | | 4,016,291 | | | | 8.27 | % | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | | | 157,773 | | | | 0.32 | % | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | | | 1,032,745 | | | | 2.13 | % | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | | | 12,052,434 | | | | 24.82 | % | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | | | 6,565,468 | | | | 13.52 | % | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | | | 1,821,275 | | | | 3.75 | % | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | | 994,036 | | | | 2.05 | % | Total Private Investment Companies | | | $ | 35,926,037 | | | | 73.99 | % | U.S. TREASURY SECURITIES | | | | | | | | | | | | Various agriculture futures contracts (Europe) | | $ | (1,315 | ) | | 0.00 | % | | | | | | | | | | Various agriculture futures contracts (U.S.) | | 9,510 | | 0.01 | % | | | Various base metals futures contracts (U.S.) | | (429,385 | ) | | -0.60 | % | | | Various currency futures contracts (Latin America) | | 42,160 | | 0.06 | % | | | Various energy futures contracts (U.S.) | | (643,321 | ) | | -0.89 | % | | | Various interest rates futures contracts (Canada) | | 13,487 | | 0.02 | % | | | Various interest rates futures contracts (Europe) | | 360,817 | | 0.50 | % | | | Various interest rates futures contracts (Far East) | | 36,092 | | 0.05 | % | | | Various interest rates futures contracts (Oceanic) | | 78,270 | | 0.11 | % | | | Various interest rates futures contracts (U.S.) | | 44,250 | | 0.06 | % | | | Various precious metal futures contracts (U.S.) | | 14,730 | | 0.02 | % | | | Various soft futures contracts (U.S.) | | (20,705 | ) | | -0.03 | % | | | Various stock index futures contracts (Europe) | | (18,456 | ) | | -0.03 | % | | | Various stock index futures contracts (Far East) | | (23,446 | ) | | -0.03 | % | | | Various stock index futures contracts (Oceanic) | | 1,338 | | 0.00 | % | | | Various stock index futures contracts (U.S.) | | | (75,392 | ) | | | -0.10 | % | | | Total Long Futures Contracts | | $ | (611,366 | ) | | | -0.85 | % | | SHORT FUTURES CONTRACTS * | | | | | | | | Various agriculture futures contracts (Canada) | | $ | 9,817 | | 0.01 | % | | | Various agriculture futures contracts (Europe) | | 400 | | 0.00 | % | | | Various agriculture futures contracts (U.S.) | | 81,243 | | 0.11 | % | | | Various base metals futures contracts (U.S.) | | 147,521 | | 0.20 | % | | | Various currency futures contracts (Europe) | | (63,875 | ) | | -0.09 | % | | | Various currency futures contracts (Far East) | | (180,813 | ) | | -0.25 | % | | | Various currency futures contracts (Oceanic) | | 33,405 | | 0.05 | % | | | Various energy futures contracts (U.S.) | | 425,052 | | 0.59 | % | | | Various interest rates futures contracts (Europe) | | (79,801 | ) | | -0.11 | % | | | Various interest rates futures contracts (Oceanic) | | (309 | ) | | 0.00 | % | | | Various interest rates futures contracts (U.S.) | | (35,688 | ) | | -0.05 | % | | | Various precious metal futures contracts (U.S.) | | (226,300 | ) | | -0.31 | % | | | Various soft futures contracts (U.S.) | | 22,291 | | 0.03 | % | | | Various stock index futures contracts (Africa) | | (1,220 | ) | | 0.00 | % | | | Various stock index futures contracts (Canada) | | 3,027 | | 0.00 | % | | | Various stock index futures contracts (Europe) | | 12,826 | | 0.02 | % | | | Various stock index futures contracts (Far East) | | 283 | | 0.00 | % | | | Various stock index futures contracts (U.S.) | | | 62,711 | | | 0.09 | % | | | Total Short Futures Contracts | | $ | 210,570 | | | 0.29 | % | | CURRENCY FORWARDS * | | | | | | | | Various currency forwards contracts (NA) | | $ | 2,607 | | | 0.00 | % | | | Total Currency Forwards | | $ | 2,607 | | | 0.00 | % | | | Total Open Trade Equity (Deficit) | | $ | (398,189 | ) | | | -0.56 | % | | SWAPS (1) | | | | | | | | Frontier Brevan Howard swap (U.S.) | | $ | 2,955,444 | | 4.10 | % | | | Frontier XXXIV Balanced select swap (U.S.) | | 10,794,908 | | 14.99 | % | | | Frontier XXXV Diversified select swap (U.S.) | | 5,920,414 | | 8.22 | % | | | Frontier XXXVII L/S select swap (U.S.) | | | 479,102 | | | 0.67 | % | | | Total Swaps | | $ | 20,149,868 | | | 27.98 | % | | PRIVATE INVESTMENT COMPANIES (2) | | | | | | | | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC | | 3,308,411 | | 4.59 | % | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | 3,003,247 | | 4.17 | % | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | 4,981,003 | | 6.92 | % | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | 4,968,683 | | 6.90 | % | | | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | 5,503,821 | | 7.64 | % | | | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | 808,116 | | 1.12 | % | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | 930,806 | | 1.29 | % | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | 1,103,278 | | 1.53 | % | | | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | 18,370,991 | | 25.51 | % | | | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | 2,595,925 | | 3.60 | % | | | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | | 983,147 | | | 1.37 | % | | | Total Private Investment Companies | | $ | 46,557,428 | | | 64.64 | % | | | | | | | | | U.S. TREASURY SECURITIES | | | | | | | FACE VALUE | FACE VALUE | | | Fair Value | | | | | | | Fair Value | | | | | | | | | | | | | | | | | | | | | $ | 4,512,000 | US Treasury Note 6.875% due 08/15/2025 (Cost$5,589,456) | | | 5,684,327 | | | 7.89 | % | | | Total U.S. Treasury Securities | | $ | 5,684,327 | | | 7.89 | % | | $510,000 US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) | | | $ | 650,728 | | | | 1.34 | % | Total U.S. Treasury Securities | | | $ | 650,728 | | | | 1.34 | % |
| * | 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 Consolidated Financial Statements, Note 4. |
| (2) | See Notes to Consolidated Financial Statements, Note 5. |
The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Statements of Operations For the Years Ended December 31, 2020, 2019, 2018, and 20172018 | | 2019 | | | 2018 | | | 2017 | | | 2020 | | | 2019 | | | 2018 | | | | | | | | | | | | | | | | | Investment income: | | | | | | | | | | | | | | | Interest - net | | $ | 98,785 | | | $ | 223,482 | | | $ | 255,478 | | | $ | 13,388 | | | $ | 98,785 | | | $ | 223,482 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | 98,785 | | | | 223,482 | | | | 255,478 | | | | 13,388 | | | | 98,785 | | | | 223,482 | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | Incentive Fees (rebate) | | | - | | | | 137,543 | | | | (147,256 | ) | | Incentive Fees(rebate) | | | | - | | | | - | | | | 137,543 | | Management Fees | | | 78,678 | | | | 838,497 | | | | 1,516,571 | | | | 19,600 | | | | 78,678 | | | | 838,497 | | Risk analysis Fees | | | 5,576 | | | | 85,830 | | | | 142,535 | | | | 5,880 | | | | 5,576 | | | | 85,830 | | Service Fees - Class 1 | | | 1,028,325 | | | | 1,604,307 | | | | 2,513,028 | | | | 597,679 | | | | 1,028,325 | | | | 1,604,307 | | Due Diligence Fees | | | | 10,970 | | | | - | | | | - | | Trading Fees | | | 2,216,815 | | | | 3,040,016 | | | | 5,247,342 | | | | 1,311,400 | | | | 2,216,815 | | | | 3,040,016 | | Other Fees | | | - | | | | 125,642 | | | | - | | | | - | | | | - | | | | 125642 | | Total Expenses | | | 3,329,394 | | | | 5,831,835 | | | | 9,272,220 | | | | 1,945,529 | | | | 3,329,394 | | | | 5,831,835 | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment income/(loss) - net | | | (3,230,609 | ) | | | (5,608,353 | ) | | | (9,016,742 | ) | | | (1,932,141 | ) | | | (3,230,609 | ) | | | (5,608,353 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain/(loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards and options | | $ | (1,221,223 | ) | | | 681,508 | | | | 3,803,691 | | | | 598,263 | | | | (1,221,223 | ) | | | 681,508 | | Net unrealized gain/(loss) on private investment companies | | | 3,941,383 | | | | (10,259,391 | ) | | | 90,112 | | | | 1,738,708 | | | | 3,941,383 | | | | (10,259,391 | ) | Net realized gain/(loss) on private investment companies | | | (2,575,249 | ) | | | 544,849 | | | | 7,844,635 | | | | (4,194,080 | ) | | | (2,575,249 | ) | | | 544,849 | | Net change in open trade equity/(deficit) | | | 568,782 | | | | (2,144,664 | ) | | | (281,062 | ) | | | 30,465 | | | | 568,782 | | | | (2,144,664 | ) | Net realized gain/(loss) on swap contracts | | | | (2,896,106 | ) | | | - | | | | - | | Net unrealized gain/(loss) on swap contracts | | | 1,429,999 | | | | 2,041,028 | | | | (402,290 | ) | | | (4,384,210 | ) | | | 1,429,999 | | | | 2,041,028 | | Net realized gain/(loss) on U.S. Treasury securities | | | 59,992 | | | | (556,676 | ) | | | 686,550 | | | | 36,920 | | | | 59,992 | | | | (555,676 | ) | Net unrealized gain/(loss) on U.S. Treasury securities | | | (39,696 | ) | | | 191,566 | | | | (184,479 | ) | | | 3,430 | | | | (39,696 | ) | | | 191,566 | | Trading commissions | | | (37,464 | ) | | | (103,639 | ) | | | (398,077 | ) | | | (21,148 | ) | | | (37,464 | ) | | | (103,639 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 2,126,524 | | | | (9,605,419 | ) | | | 11,159,080 | | | | (9,087,758 | ) | | | 2,126,524 | | | | (9,604,419 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS | | $ | (1,104,086 | ) | | $ | (15,213,772 | ) | | $ | 2,142,338 | | | $ | (11,019,899 | ) | | $ | (1,104,086 | ) | | $ | (15,212,772 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
Frontier Funds Consolidated Statements of Changes in Owners’ Capital for the Year Ended December 31, 20192020
| | Managing Owner | | Limited Owners | | Total | | | | | | | | | | | | Owners’ Capital, December 31, 2016 | | | 2,276,211 | | | | 216,935,224 | | | | 219,211,435 | | | | | | | | | | | | | | | | | Sale of Units | | | 696,956 | | | | 736,677 | | | | 1,433,633 | | | Redemption of Units | | | (1,810,853 | ) | | | (107,270,434 | ) | | | (109,081,287 | ) | | Payment made by Related Party | | | - | | | | 58,146 | | | | 58,146 | | | Net increase/(decrease) in Owners’ Capital resulting from operations | | | (2,330 | ) | | | 2,144,668 | | | | 2,142,338 | | | | | | | | | | | | | | | | | Managing Owner | | | Limited Owners | | | Total | | Owners’ Capital, December 31, 2017 | | | 1,159,984 | | | | 112,604,281 | | | | 113,764,265 | | | | 1,159,984 | | | | 112,604,281 | | | | 113,764,265 | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units (including transfers) | | | (162,000 | ) | | | (26,433,650 | ) | | | (26,595,650 | ) | | | (162,000 | ) | | | (26,433,650 | ) | | | (26,595,650 | ) | Payment made by Related Party | | | - | | | | 11,636 | | | | 11,636 | | | | - | | | | 11,636 | | | | 11,636 | | Payment made by Managing Owner | | | - | | | | 46,303 | | | | 46,303 | | | | - | | | | 46,303 | | | | 46,303 | | Net increase/(decrease) in Owners’ Capital resulting from operations | | | (146,389 | ) | | | (15,067,383 | ) | | | (15,213,772 | ) | | Net increase/(decrease) in Owners’ | | | | | | | | | | | | | | Capital resulting from operations | | | | (146,389 | ) | | | (15,067,383 | ) | | | (15,213,772 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2018 | | $ | 851,595 | | | $ | 71,161,187 | | | $ | 72,012,782 | | | $ | 851,595 | | | $ | 71,161,187 | | | $ | 72,012,782 | | | | | | | | | | | | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Redemption of Units (including transfers) | | | (359,250 | ) | | | (21,992,853 | ) | | | (22,352,103 | ) | | | (359,250 | ) | | | (21,992,853 | ) | | | (22,352,103 | ) | Payment made by Related Party | | | | | | | | | | | | | | | - | | | | - | | | | - | | Payment made by Managing Owner | | | | | | | | | | | | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ | | | | | | | | | | | | | | Capital resulting from operations | | | | (4,371 | ) | | | (1,099,715 | ) | | | (1,104,086 | ) | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | | $ | 487,974 | | | $ | 48,068,619 | | | $ | 48,556,593 | | | | | | | | | | | | | | | | Sale of Units (including transfers) | | | | - | | | | - | | | | - | | Redemption of Units (including transfers) | | | | (94,900 | ) | | | (11,872,655 | ) | | | (11,967,555 | ) | Payment made by Related Party | | | | - | | | | - | | | | - | | Payment made by Managing Owner | | | | - | | | | - | | | | - | | Net increase/(decrease) in Owners’ Capital resulting from operations | | | (4,371 | ) | | | (1,099,715 | ) | | | (1,104,086 | ) | | | (109,857 | ) | | | (10,910,042 | ) | | | (11,019,899 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Owners’ Capital, December 31, 2019 | | $ | 487,974 | | | $ | 48,068,619 | | | $ | 48,556,593 | | | Owners’ Capital, December 31, 2020 | | | $ | 283,217 | | | $ | 25,285,922 | | | $ | 25,569,139 | |
The accompanying notes are an integral part of these consolidated financial statements.
Frontier Funds Consolidated Statements of Cash Flows
For the Years Ended December 31, 2020, 2019, 2018, and 20172018 | | 2019 | | | 2018 | | | 2017 | | | 2020 | | | 2019 | | | 2018 | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities: | | | | | | | | | | | | | | | Net increase/(decrease) in capital resulting from operations | | $ | (1,104,086 | ) | | $ | (15,213,772 | ) | | $ | 2,142,338 | | | $ | (11,019,899 | ) | | | (1,104,086 | ) | | $ | (15,213,772 | ) | 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 | | | (568,782 | ) | | | 1,966,603 | | | | 577,793 | | | | (30,465 | ) | | | (568,782 | ) | | | 1,966,603 | | Net unrealized (gain)/loss on swap contracts | | | (1,429,998 | ) | | | (2,041,029 | ) | | | 402,290 | | | | 4,384,210 | | | | (1,429,998 | ) | | | (2,041,029 | ) | Net realized (gain)/loss on swap contracts | | | | 2,896,106 | | | | - | | | | - | | Net unrealized (gain)/loss on private investment companies | | | | (1,717,767 | ) | | | (3,941,384 | ) | | | 10,259,391 | | Net realized (gain)/loss on private investment companies | | | | 4,173,139 | | | | 2,575,249 | | | | (544,849 | ) | Net unrealized (gain)/loss on U.S. Treasury securities | | | 39,696 | | | | (191,566 | ) | | | 184,479 | | | | (3,430 | ) | | | 39,696 | | | | (191,566 | ) | Net realized (gain)/loss on U.S. Treasuries securities | | | (59,992 | ) | | | 556,676 | | | | (686,550 | ) | | | (36,920 | ) | | | (59,992 | ) | | | 556,676 | | Net unrealized (gain)/loss on private investment companies | | | (3,941,384 | ) | | | 10,259,391 | | | | (90,112 | ) | | Net realized (gain)/loss on private investment companies | | | 2,575,249 | | | | (544,849 | ) | | | (7,844,635 | ) | | (Purchases) sales of: | | | | | | | | | | | | | | | | | | | | | | | | | Sales of swap contracts | | | | | | | | | | | | | | | 14,543,253 | | | | - | | | | - | | (Purchases) of Swap Contracts | | | | (12,918,208 | ) | | | - | | | | - | | Reduction of collateral in Swap contracts | | | | 12,674,504 | | | | - | | | | - | | (Purchases) of U.S. Treasury securities | | | (13,272,491 | ) | | | (18,713,224 | ) | | | (13,304,662 | ) | | | (11,894,038 | ) | | | (13,272,491 | ) | | | (18,713,224 | ) | Sales of U.S. Treasury securities | | | 18,278,732 | | | | 23,268,005 | | | | 45,040,554 | | | | 10,335,331 | | | | 18,278,732 | | | | 23,268,005 | | (Purchases) of Private Investment Companies | | | (23,995,709 | ) | | | (24,123,914 | ) | | | (53,856,821 | ) | | | (12,258,403 | ) | | | (23,995,709 | ) | | | (24,123,914 | ) | Sales of Private Investment Companies | | | 36,009,558 | | | | 34,776,548 | | | | 102,575,451 | | | | 22,639,756 | | | | 36,009,558 | | | | 34,776,548 | | Reduction of collateral in Swap contracts | | | - | | | | 2,750,000 | | | | 18,578,050 | | | | - | | | | - | | | | 2,750,000 | | U.S. Treasury interest and premium paid/amortized | | | 85,741 | | | | 292,200 | | | | 635,996 | | | | 13,388 | | | | 85,741 | | | | 292,200 | | Increase and/or decrease in: | | | | | | | | | | | | | | | | | | | | | | | | | Receivable from futures commission merchants | | | 8,729,606 | | | | 9,328,754 | | | | 12,267,411 | | | | 2,292,269 | | | | 8,729,606 | | | | 9,328,754 | | Prepaid service fees | | | | - | | | | - | | | | 24,251 | | Advance on unrealized Swap Appreciation | | | | (12,191,555 | ) | | | - | | | | - | | Interest receivable | | | 103,805 | | | | 97,562 | | | | 583,323 | | | | (32,215 | ) | | | 103,805 | | | | 97,562 | | Receivable from related parties | | | (11,453 | ) | | | 58,146 | | | | 29,524 | | | | (14,676 | ) | | | (11,453 | ) | | | 58,146 | | Other assets | | | (557,717 | ) | | | - | | | | - | | | | 5,700 | | | | (557,717 | ) | | | - | | Incentive fees receivable to Managing Owner | | | - | | | | - | | | | (57,082 | ) | | Redemptions receivable from private investment companies | | | | 370,694 | | | | - | | | | - | | Incentive fees payable to Managing Owner | | | 67,948 | | | | (63,902 | ) | | | 53,036 | | | | - | | | | 67,948 | | | | (63,902 | ) | Management fees payable to Managing Owner | | | (69,250 | ) | | | (12,927 | ) | | | (342,458 | ) | | Management fees payable to Managing Owner, net of change in receivable | | | | 59 | | | | (69,250 | ) | | | (12,927 | ) | Interest payable to Managing Owner | | | (10,525 | ) | | | (15,155 | ) | | | (37,268 | ) | | | 1,780 | | | | (10,525 | ) | | | (15,155 | ) | Trading fees payable to Managing Owner | | | (61,334 | ) | | | (112,244 | ) | | | (188,614 | ) | | | (79,209 | ) | | | (61,334 | ) | | | (112,244 | ) | Service fees payable to Managing Owner | | | (27,390 | ) | | | (52,293 | ) | | | (91,075 | ) | | | (32,057 | ) | | | (27,390 | ) | | | (52,293 | ) | Due from Managing Owner | | | - | | | | 31,887 | | | | (31,887 | ) | | | - | | | | - | | | | 31,887 | | Risk analysis fees payable | | | (19,097 | ) | | | 1,986 | | | | 9,903 | | | | 1,048 | | | | (19,097 | ) | | | 1,986 | | Payables to related parties | | | - | | | | - | | | | (85,078 | ) | | | 26,129 | | | | - | | | | - | | Subscriptions in advance for service fee rebates | | | 100,716 | | | | 497,326 | | | | - | | | | 40,920 | | | | 100,716 | | | | 497,326 | | Other liabilities | | | 18,075 | | | | (274,980 | ) | | | 134,935 | | | | (5,486 | ) | | | 18,075 | | | | (274,980 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by operating activities | | | 20,879,918 | | | | 22,525,229 | | | | 106,598,841 | | | | 12,163,958 | | | | 20,879,918 | | | | 22,525,229 | | Cash Flows from Financing Activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from sale of capital | | | - | | | | - | | | | 1,433,633 | | | Payment for redemption of capital | | | (22,352,103 | ) | | | (26,595,650 | ) | | | (109,081,287 | ) | | | (11,967,562 | ) | | | (22,352,103 | ) | | | (26,595,650 | ) | Payment from the Managing Owner | | | - | | | | 46,303 | | | | - | | | | - | | | | - | | | | 46,303 | | Advance on unrealized Swap Appreciation | | | - | | | | 3,099,998 | | | | - | | | | - | | | | - | | | | 3,099,998 | | Payment made by Related Party | | | - | | | | 11,636 | | | | 58,146 | | | | - | | | | - | | | | 11,636 | | Redemptions payable | | | 109,874 | | | | (53,014 | ) | | | (1,060,999 | ) | | | (95,502 | ) | | | 109,874 | | | | (53,014 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash used in financing activities | | | (22,242,229 | ) | | | (23,490,727 | ) | | | (108,650,507 | ) | | | (12,063,060 | ) | | | (22,242,229 | ) | | | (23,490,727 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in cash and cash equivalents | | | (1,362,311 | ) | | | (965,498 | ) | | | (2,051,666 | ) | | | 100,898 | | | | (1,362,311 | ) | | | (965,498 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Cash and cash equivalents, beginning of period | | | 1,729,879 | | | | 2,695,377 | | | | 4,747,043 | | | | 367,568 | | | | 1,729,879 | | | | 2,695,377 | | Cash and cash equivalents, end of period | | $ | 367,568 | | | $ | 1,729,879 | | | $ | 2,695,377 | | | $ | 468,466 | | | | 367,568 | | | $ | 1,729,879 | |
The accompanying notes are an integral part of these consolidated financial statements.
Frontier Funds Notes to Consolidated Financial Statements 1.Organization and Purpose Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust and is set to expire on December 31, 2053. The Trust is a multi-advisor commodity pool, as described in in Commodity Futures Trading Commission (“CFTC”)CFTC Regulation § 4.10(d)(2). The Trust has authority to issue separate Series of Units pursuant to the requirements of 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. It is managed by the Managing Owner. Purchasers of Units are Limited Owners of the Trust with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as amended from time to time (the “Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series. The Trust has been organized to pool investor funds for the purpose of trading in the 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. The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, and Frontier Heritage Fund. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units. The Trust, with respect to each Series: | ● | engages in the speculative trading of a diversified portfolio of futures, forwards (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” or “Trading Companies”) and Galaxy Plus entities (“Galaxy Plus”). Except as otherwise described in these notes, each Trading Company and Galaxy Plus entity 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 and Galaxy Plus assets and make the trading decisions for the assets of each Series vested in such Trading Company and Galaxy Plus entity. Each Trading Company and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy Plus entity. |
| ● | 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 managing risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments. |
| ● | maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 two percent (2.0%) 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 two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund (formerly Frontier Winton Fund) are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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. 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 Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund 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. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and |
| ● | all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund 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. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. 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. |
all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund 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. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. 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. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. 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 December 31, 2019,2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account. As of December 31, 2018, and December 31, 2019, Frontier Global Fund has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the remaining Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.
Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisor to the Trust. Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust. Effective May 30, 2020, BH-DG Systematic Trading LLP ceased to act as a commodity trading advisor to the Trust. Effective July 20, 2020, Doherty Advisors, LLC ceased to act as a commodity trading advisor to the Trust. Effective December 21, 2020, JE Moody & Company, H2O AM LLP and Crabel Capital Management, LLC ceased to act as a commodity trading advisor to the Trust. 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, bad faith or willful misconduct.
2. Significant Accounting Policies The following are the significant accounting policies of the Trust. Basis of Presentation—The Trust follows U.S. Generally Accepted Accounting Principles (“GAAP”),GAAP, as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946. Consolidation— The Series, through investing in the Trading Companies and Galaxy Plus, 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 and a risk analysis fee (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Investment interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Trust’s interest in the NAV in the Galaxy Plus entities. The equity interest held by Trust is shown as investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion to of the investment level of the private investment companies is shown in the statements of operations as net unrealized gain/(loss) on private investment companies. The Trading Companies and Series of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in consolidation. Galaxy Plus entities are co-mingled investment vehicles. In addition to the Trust, there are other non-affiliated investors in Galaxy Plus. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Trust ownership percentage in Galaxy Plus. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by week basis which could also result in frequent changes in the consolidating Series. Such fluctuations make consolidating the financial statements of the Galaxy Plus entities both impractical and misleading. Non-consolidation of these Galaxy Plus entities presents a more useful financial statement for the readers. As such, management has decided that presenting Galaxy Plus entities on a non-consolidated basis as investments in other investments companies (a “fund of funds” approach) is appropriate and preferable to the users of these financial statements. Refer to Note 5 for additional disclosures related to these private investment companies. Change in Consolidation Method—In February 2017, the Trust elected to change its method by which it consolidates its investments in the Galaxy Plus entities and applied to its December 31, 2016 financial statements. Prior to the change, any Series that had a controlling interest in a Galaxy Plus entity would consolidate the assets and liabilities of that entity into its Statement of Financial Condition and the profit and loss into the Statement of Operations. The Managing Owner believes that this treatment does not provide meaningful data to the end user of the financial statements. As such, all investments in Galaxy Plus entities are accounted for using the net asset value as the practical expedient. In accordance with ASC 250 (Accounting Changes and Error Corrections), the comparative financial statements as of and for the three and nine months ended September 30, 2016 have been adjusted to apply the new method retrospectively. This will impact management fees, incentive fees (rebate), net realized gain/(loss) on futures, forwards and options, net change in open trade equity/(deficit), net unrealized gain/(loss) on private investment companies, net realized gain/(loss) on private investment companies, and operations attributable to non-controlling interests on the Statement of Operations. We also note that there is no impact to total capital or net increase/(decrease) in capital resulting from operations attributable to controlling interests.
Use of Estimates—The preparation of consolidated financial statements in conformity with GAAP may require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates and such differences could be material.
Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted. Interest Income—U.S. Treasury Securities 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. Aggregate interest income from all sources, including U.S. Treasuries and assets held at an FCMa futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.
U.S. Treasury Securities—U.S. Treasury Securities are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures (“ASC 820”). The Trust values U.S. Treasury Securities at fair value and records the daily change in value in the consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable. Receivable from Futures Commission Merchants—The Trust deposits assets with an 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. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20182020 and December 31, 2019 included restricted cash for margin requirements of $1,717,065$321,638 and $2,890,330 for the Frontier Trading Company I LLC, and $4,621,100 and $0 for the Frontier Trading Company II LLC, respectively.Balanced Fund Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the consolidated statements of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210,Balance Sheet (“ASC 210”) and Accounting Standards Update (ASU) 2013-01,Balance Sheet (Topic 210). Any change in net unrealized gain or loss from the preceding period is reported in the consolidated statements of operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-traded contracts is based on third party quoted dealer values on the interbank market. For U.S. Treasury securities, interest was recognized in the period earned and the instruments were marked-to-market daily based on third party information. Transaction costs are recognized as incurred and reflected separately in the consolidated statements of operations. Purchase and Sales of Private Investment Companies– The Trust is able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the private investment companies is determined by the Sponsor and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceeds and the fair value calculated by the Sponsor and is recorded as net unrealized gain/(loss) on private investment companies on the statements of operations. Foreign Currency Transactions—The Series of the Trust’s functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Allocation of Earnings—Each Series of the Trust may maintain three to seven classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a Class 3a and Class 1AP. 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, Class 3a and Class 1AP Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series. Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust, or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. 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 Companies or Galaxy Plus entities.
Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts.
Income Taxes—The Trust applies the provisions of ASC 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the year ended December 31, 2019. 2020. The 20162017 through 20192020 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, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. 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 Series Units of the Trust. Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) 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. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statement of Operations. Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period, then the Managing Owner is obligated to return any amount in excess. The returned amounts are recorded as Incentive Fee (Rebate) on the Statements of Operations. Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 two percent (2.0%) 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 and 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 two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund (formerly Frontier Winton Fund) are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) 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 and 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 purchase price 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 Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. 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. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.
Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2020, 2019 2018 and 2017,2018, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 20202021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $598,042$638,962 as of December 31, 2019.2020. These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue1 sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and 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. Owner redemptions payable—Funds payable for existing owner redemption requests are recorded as capital subtractions at the NAV per unit on the second business day following receipt or request. Recently Adopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluatinghas evaluated the impacts of ASU 2018-13 will have onand ensured that the financial statements are compliant. Subsequent Events—The Trust follows the provisions of ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 10. 3. Fair Value Measurements In connection with the valuation of investments the Trust applies ASC 820,Fair Value Measurement (“ASC 820”). ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of an asset or liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements. Level 1 Inputs Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date. Level 2 Inputs Inputs other than quoted prices included in Level 1 that are observable for the financial assets 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 assets or inputs that are derived principally from or corroborated by market data by correlation or other means.
Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trust uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.
Swap Contracts.Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020. Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. The private investment companies are excluded from the fair value hierarchy table below. The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of December 31, 20192020 and 2018,2019, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value: December 31, 2019 | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | | Fair Value | | | December 31, 2020 | | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | | Fair Value | | Open Trade Equity (Deficit) | | | 57,056 | | | | 59,128 | | | | - | | | $ | 116,184 | | | $ | 100,440 | | | $ | - | | | $ | - | | | $ | 100,440 | | Swap Contracts | | | - | | | | - | | | | 21,579,865 | | | | 21,579,865 | | | U.S. Treasury Securities | | | 650,728 | | | | - | | | | - | | | | 650,728 | | | | 2,282,606 | | | | - | | | | - | | | | 2,282,606 | |
December 31, 2018 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | Open Trade Equity (Deficit) | | $ | (400,796 | ) | | $ | 2,607 | | | $ | - | | | $ | (398,189 | ) | Swap Contracts | | | - | | | | - | | | | 20,149,868 | | | | 20,149,868 | | U.S. Treasury Securities | | | 5,684,327 | | | | - | | | | - | | | | 5,684,327 | |
December 31, 2019 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Fair Value | | Open Trade Equity (Deficit) | | $ | 57,056 | | | $ | 59,128 | | | $ | - | | | $ | 116,184 | | Swap Contracts | | | - | | | | - | | | | 21,579,865 | | | | 21,579,865 | | U.S. Treasury Securities | | | 650,728 | | | | - | | | | - | | | | 650,728 | |
The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Swaps
Swaps | | | | | | For the Year ended December 31, 2020 | | | | | | Balance of recurring Level 3 assets as of January 1, 2020 | | $ | 21,579,865 | | Total gains or losses (realized/unrealized): | | | | | Included in earnings-realized | | | (2,896,106 | ) | Included in earnings-unrealized | | | (4,384,210 | ) | Proceeds from collateral reduction | | | (12,674,502 | ) | Purchase of investments | | | 12,918,207 | | Sale of investments | | | (14,543,254 | ) | Transfers in and/or out of Level 3 | | | - | | Balance of recurring Level 3 assets as of December 31, 2020 | | $ | - | |
| | For the Year ended
December 31,
2019 | | | | | | Balance of recurring Level 3 assets as of January 1, 2019 | | | 20,149,868 | | Total gains or losses (realized/unrealized): | | | | | Included in earnings-realized | | | - | | Included in earnings-unrealized | | | 1,429,997 | | Proceeds from collateral reduction | | | - | | Purchase of investments | | | - | | Sale of investments | | | - | | Transfers in and/or out of Level 3 | | | - | | | | | | | Balance of recurring Level 3 assets as of December 31, 2019 | | | 21,579,865 | |
| | For the Year ended December 31, 2019 | | | | | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 20,149,868 | | Total gains or losses (realized/unrealized): | | | | | Included in earnings-realized | | | - | | Included in earnings-unrealized | | | 1,429,997 | | Proceeds from collateral reduction | | | - | | Purchase of investments | | | - | | Sale of investments | | | - | | Transfers in and/or out of Level 3 | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 21,579,865 | |
| | For the Year ended December 31, 2018 | | | For the Year ended December 31, 2018 | | | | | | | | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 21,208,838 | | | $ | 21,208,838 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 2,041,028 | | | | 2,041,028 | | Proceeds from collateral reduction | | | (3,099,998 | ) | | | (3,099,998 | ) | Purchase of investments | | | - | | | | - | | Sale of investments | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | | | | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 20,149,868 | | | $ | 20,149,868 | |
The Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the years ended December 31, 20192020 and 2018,2019, the Trust did not transfer any assets between Levels 1, 2 and 3. The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2019:2020: Swaps $1,429,997($4,384,210). The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2018:2019: Swaps $2,041,028$1,429,999.
4. Swap Contracts In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Series of the Trust will strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Total return swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical total return swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The Trust’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 2020, All swaps were sold so that no Trust’s assets were deposited with over-the-counter counterparties. As of December 31, 2019, and 2018, approximately 2.4% or $1,177,400 and 1.6% or $1,180,900, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as swap contracts, at fair value on the Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted. The Trust strategically invests assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of the Trust will be invested will not own any of the investments or indices referenced by any swap entered into by the Trust. In addition, neither the swap counterparty nor any advisor referenced by any such swap is a Trading Advisor to the Trust. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. AsThe Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investment were liquidated on December 21, 2020. The Trust had invested in the following swaps as of and for the year ended December 31, 2019, the XXXIV Balanced select swap, the XXXV Diversified select swap, the XXXVII Long/Short select swap and Brevan Howard Swap, had $6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Series’ Statements of Financial Conditions under advance on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank AG2020:
| | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | Realized Gain/(Loss) | | $ | (2,448,166 | ) | | $ | (446,306 | ) | | $ | 188,100 | | | ($ | 189,734 | ) | Change in Unrealized Gain/(Loss) | | $ | (3,088,917 | ) | | $ | (1,537,399 | ) | | $ | 44,277 | | | $ | 197,829 | | Fair Value as of December 31, 2020 | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Advance on swap appreciation | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
The Trust had invested in the following swaps as of and for the year ended December 31, 2019: | | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | Swap Value | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | Investee Returns | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | Fair Value as of December 31, 2019 | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
| | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | Swap Value | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | Investee Returns | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | Fair Value as of December 31, 2019 | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
The Trust had invested in the following swaps as of and for the year ended December 31, 2018:
| | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 978,950 | | Swap Value | | $ | 10,708,908 | | | $ | 5,834,414 | | | $ | 449,152 | | | $ | 1,976,494 | | Investee Returns | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,453,948 | | | $ | 643,941 | | | $ | 82,063 | | | $ | (138,924 | ) | Fair Value as of December 31, 2018 | | $ | 10,794,908 | | | $ | 5,920,414 | | | $ | 479,102 | | | $ | 2,955,444 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
5. Investments in Private Investment Companies Investments in private investment companies represent cash and open trade equity invested in the private investment companies as well as the cumulative trading profits or losses allocated to the Trust by the private investment companies. private investment companies allocate trading profits or losses on the basis of the proportion of the Trust’s capital allocated for trading to each respective private investment company, which bears no relationship to the amount of cash invested by the Trust in the private investment companies. Investments in private investment companies are valued using the NAV provided by the underlying private investment. The Galaxy Plus entities are made up a feeder funds in which the Trust invests and master trading entities into which the feeder funds invest. No investment held by the Galaxy Plus master trading entity is greater than 5% of the Trust’s total capital. The Trust’s investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table: | | Redemptions | | Redemptions | | Liquidity | Redemptions | | Notice Period | | Permitted | | RestrictionsLiquidity | | | | | Notice Period | | Permitted | | Restrictions | Frontier Funds | | | | | | | Multi-Strategy | | | | | | | | | Galaxy Plus Fund - EvE STP– JL Cyril Systematic Feeder Fund (516) LLC(547) LLC) | | 24 hours | | Daily | | None | Galaxy Plus Fund - LRR Feeder Fund (522) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | | 24 hours | | Daily | | None | Trend Following | | | | | | | | | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | | 24 hours | | Daily | | None | | | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | | 24 hours | | Daily | | None | | | Galaxy Plus Fund - QIM Feeder Fund (526) LLC | | 24 hours | | Daily | | None | | | Galaxy Plus Fund - Quest Feeder Fund (517) LLC | | 24 hours | | Daily | | None | Galaxy Plus Fund - TT Feeder Fund (531) LLC | | 24 hours | | Weekly | | None | Option Trading | | | | | | | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC | | 24 hours | | Daily | | None |
Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisor to the Trust. Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust. Effective May 30, 2020, BH-DG Systematic Trading LLP ceased to act as a commodity trading advisor to the Trust. Effective July 20, 2020, Doherty Advisors, LLC accessed through Galaxy Plus Fund – Doherty Feeder Fund (528) LLC ceased to act as a commodity trading advisor to the Trust. Effective August 1, 2020, John Locke Investments SA accessed through Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC became a new commodity trading advisor for Frontier Diversified Fund, Frontier Balanced Fund, Frontier Select Fund and Frontier Masters Fund. Effective December 21, 2020, JE Moody & Company, H2O AM LLP and Crabel Capital Management, LLC ceased to act as a commodity trading advisor to the Trust.
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 and in return will receive units designated as general units in the Series of the Trust in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or management advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of the Trust so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Frontier Balanced Fund Class 1AP Units and Frontier Balanced Fund Class 2a Units, aggregated, and each of the Frontier Long/Short Commodity Fund, Frontier Diversified Fund, and Frontier Masters Fund. The 1% interest in these specific Series of the Trust is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the general units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase limited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, as well. All units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. Expenses Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of December 31, 20192020 and 2018,2019, the range of management fees embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and (iv) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee was accrued on the relevant notional amount of the swap.
The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.
Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund pays to the Managing Owner an FCM Fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM Fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, 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 in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of December 31, 20192020 and 2018,2019, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap. Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 3% and 2% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. With respect to Class 2 Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 0.25% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. As of December 31, 2020, the Trust had a payable to the Managing Owner in the amounts of $0, $8,854, $2,107, $81,698 and $36,705 for incentive fees, management fees, interest, trading fees, and service fees, respectively. As of December 31, 2019, the Trust had a payable to the Managing Owner in the amounts of $0, $8,795, $327, $160,907 and $68,762 for incentive fees, management fees, interest, trading fees, and service fees, respectively. As of December 31, 2018, the Trust had a payable to the Managing Owner in the amounts of $10,897,$10,897, $78,045, $10,852, $222,241, and $96,152 for incentive fees, management fees, interest, trading fees, and service fees, respectively.
As ofFor the year ended December 31, 2017, the Trust had a payable to2020, the Managing Owner in the amounts of $53,036, $90,972, $26,007, $334,485,earned $0, $19,600, $597,679 and $148,445$1,311,400 for incentive fees, management fees, interest, tradingservice fees, and servicetrading fees, respectively.
For the year ended December 31, 2019, the Managing Owner earned $0, $78,678, $1,028,325 and $2,216,815 for$2,216,815for incentive fees, management fees, service fees, and trading fees, respectively. For the year ended December 31, 2018, the Managing Owner earned $137,543, $838,497, $1,604,307 and $3,040,016 for incentive fees, management fees, service fees, and trading fees, respectively. For the year ended December 31, 2017, the Managing Owner earned ($147,256), $1,516,571, $2,513,028 and $5,247,342 for incentive fees, management fees, service fees, and trading fees, respectively.
With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the years ended December 31, 2019, 2018 and 2017 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $0, $0 and $31,887, respectively. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series.During the years ended December 31, 2020, 2019 2018 and 2017,2018, the Trust paid $1,563,079, $42,605, $221,534, and $426,185,$221,534, respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of operations. The Series’ administrator is Gemini HedgeFrontier Long/Short Commodity Fund Services, LLC. Gemini Hedge Fund Services, LLC is an affiliateClass 1A was closed as of the Sponsor.September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.
The Series’ transfer agency provider is Gemini Fund Services, LLC. Gemini Fund Services, LLC is an affiliate of the Sponsor.
7. Financial Highlights The following information presents the financial highlights of the Trust for the years ended December 31, 2020, 2019 2018 and 2017.2018. This data has been derived from the information presented in the consolidated financial statements. | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2020 | | 2019 | | 2018 | | 2017 | | Ratios to average net assets (1) | | | | | | | | | | | | | | | | | | | Net investment gain/(loss) (1) | | | -5.54 | % | | | -6.27 | % | | | -5.50 | % | | | -6.70 | % | | Net investment income/(loss) (1) | | | | -5.71 | % | | | -5.54 | % | | | -6.27 | % | | | -5.50 | % | Expenses before incentive fees (3) (4) | | | -5.71 | % | | | -6.37 | % | | | 4.48 | % | | | 4.90 | % | | | -5.75 | % | | | -5.71 | % | | | -6.37 | % | | | 4.48 | % | Expenses after incentive fees (3) (4) | | | -5.71 | % | | | -6.52 | % | | | 5.75 | % | | | 7.10 | % | | | -5.75 | % | | | -5.71 | % | | | -6.52 | % | | | 5.75 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total return before incentive fees (2) | | | -1.89 | % | | | -16.86 | % | | | 3.62 | % | | | 0.60 | % | | | -32.58 | % | | | -1.89 | % | | | -16.86 | % | | | 3.62 | % | Total return after incentive fees (2) | | | -1.89 | % | | | -17.01 | % | | | 2.35 | % | | | -1.60 | % | | | -32.58 | % | | | -1.89 | % | | | -17.01 | % | | | 2.35 | % |
| (1) | Annualized with the exception of incentive fees. |
| (2) | Total returns are not annualized. |
| (3) | Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Consolidated Statements of Operations of the Trust. See footnote 5. |
Frontier Long/Short Commodity Fund Class 1A was closed as of September 30,2020 and Frontier Global Class 1AP was closed as of November 18, 2020. The Trust financial highlights are calculated based upon the Trust’s consolidated financial statements. The consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data.
8. Derivative Instruments and Hedging Activities The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of December 31, 20192020 and 20182019 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps. For the years ended December 31, 2020, 2019 2018 and 2017,2018, the monthly average of futures, forwards and options contracts bought was approximately 613, 1,321, 2,684, and 7,078,2,684 respectively and the monthly average of futures, forwards, and options contracts sold was approximately 612, 1,515, 2,482, and 7,179,2,482, respectively.
The following tables summarize the trading revenues for the years ended December 31, 2020, 2019 2018 and 20172018 by contract type: Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2019
Type of contract | | | | | | | | | | Agriculturals | | $ | 215,822 | | Currencies | | | (553,764 | ) | Energies | | | (430,890 | ) | Interest rates | | | 273,302 | | Metals | | | (691,581 | ) | Stock indices | | | (34,113 | ) | Realized trading income/(loss)(1) | | $ | (1,221,224 | ) |
Realized Trading Revenue from Futures, Forwards and Options | for the Year Ended December 31, 2020 | Type of contract | | | | | | | | Agriculturals | | $ | 147,013 | | Currencies | | | 90,903 | | Energies | | | 118,920 | | Interest rates | | | 59,037 | | Metals | | | 217,301 | | Stock indices | | | (34,911 | ) | Realized trading income/(loss)(1) | | $ | 598,263 | |
Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2018
Realized Trading Revenue from Futures, Forwards and Options | for the Year Ended December 31, 2019 | | | | | Type of contract | | | | | | | | Agriculturals | | $ | 215,822 | | Currencies | | | (553,764 | ) | Energies | | | (430,890 | ) | Interest rates | | | 273,302 | | Metals | | | (691,581 | ) | Stock indices | | | (34,113 | ) | Realized trading income/(loss)(1) | | $ | (1,221,224 | ) |
Realized Trading Revenue from Futures, Forwards and Options | | Realized Trading Revenue from Futures, Forwards and Options | for the Year Ended December 31, 2018 | | for the Year Ended December 31, 2018 | Type of contract | | | | | | | | | | | | | | | | Agriculturals | | $ | 147,573 | | | $ | 147,573 | | Currencies | | | (1,078,570 | ) | | | (1,078,570 | ) | Energies | | | 1,399,946 | | | | 1,399,946 | | Interest rates | | | 54,450 | | | | 54,450 | | Metals | | | 752,938 | | | | 752,938 | | Stock indices | | | (594,823 | ) | | | (594,823 | ) | Realized trading income/(loss)(1) | | $ | 681,514 | | | | | | Realized trading income/(loss)(1) | | | $ | 681,514 | |
Realized Trading Revenue from Futures, Forwards(1) Amounts recorded in the Statements of Operations under Net realized gain(loss) on futures forwards and Optionsoptions.
for the Year Ended December 31, 2017
Net Change in Open Trade Equity from Futures, Forwards and Options | for the Year Ended December 31, 2020 | Type of contract | | | | | | | | Agriculturals | | $ | 27,115 | | Currencies | | | 14,158 | | Energies | | | (25,335 | ) | Interest rates | | | 4,660 | | Metals | | | (1,619 | ) | Stock indices | | | 11,486 | | Change in unrealized trading income/(loss)(1) | | $ | 30,465 | |
Net Change in Open Trade Equity from Futures, Forwards and Options | for the Year Ended December 31, 2019 | | | | | Type of contract | | | | | | | | Agriculturals | | $ | (92,782 | ) | Currencies | | | 100,545 | | Energies | | | 221,904 | | Interest rates | | | (231,584 | ) | Metals | | | 516,390 | | Stock indices | | | 54,311 | | Change in unrealized trading income/(loss)(1) | | $ | 568,784 | |
Type of contract | | | | | | | | | | Metals | | $ | (1,881,246 | ) | Currencies | | | (1,881,971 | ) | Energies | | | (1,506,874 | ) | Agriculturals | | | 308,770 | | Interest rates | | | (2,849,356 | ) | Stock indices | | | 11,602,528 | | Realized trading income/(loss)(1) | | $ | 3,791,851 | |
| (1) | Amounts recorded in the Statements of Operations under Net realized gain(loss) on futures forwards and options. |
Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2019
Net Change in Open Trade Equity from Futures, Forwards and Options | | Net Change in Open Trade Equity from Futures, Forwards and Options | for the Year Ended December 31, 2018 | | for the Year Ended December 31, 2018 | Type of contract | | | | | | | | | | | | | | | | Agriculturals | | $ | (92,782 | ) | | Metals | | | $ | (83,504 | ) | Currencies | | | 100,545 | | | | (682,646 | ) | Energies | | | 221,904 | | | | (642,839 | ) | Interest rates | | | (231,584 | ) | | | 494,997 | | Metals | | | 516,390 | | | Agriculturals | | | | (1,035,591 | ) | Stock indices | | | 54,311 | | | | (195,081 | ) | Change in unrealized trading income/(loss)(1) | | $ | 568,784 | | | $ | (2,144,664 | ) |
(1) Amounts recorded in the Statements of Operations under Net Change in Open Trade Equity from Futures, Forwardsrealized gain(loss) on futures forwards and Optionsoptions. for the Year Ended December 31, 2018
Type of contract | | | | | | | | | | Metals | | $ | (83,504 | ) | Currencies | | | (682,646 | ) | Energies | | | (642,839 | ) | Agriculturals | | | 494,997 | | Interest rates | | | (1,035,591 | ) | Stock indices | | | (195,081 | ) | Change in unrealized trading income/(loss)(1) | | $ | (2,144,664 | ) |
Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2017
Type of contract | | | | | | | | Metals | | $ | 556,638 | | Currencies | | | (280,451 | ) | Energies | | | 328,180 | | Agriculturals | | | (213,814 | ) | Interest rates | | | (524,406 | ) | Stock indices | | | (221,354 | ) | Change in unrealized trading income/(loss)(1) | | $ | (355,207 | ) |
| (1) | Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit) |
Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Trust’s open trade equity/(deficit), options written, and receivables from FCM’sfutures commission merchants (each, an “FCM”) are subject to master netting arrangements and collateral arrangements and meet the GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Trust’s policy is to recognize amounts subject to master netting arrangements on a net basis on the consolidated statements of financial condition.
The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the consolidated statements of financial condition as of December 31, 20192020 and 2018:2019: As of December 31, 2020 | | Gross Amounts of recognized Derivative Assets/Liabilities | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | | | | | | | | | | | | | | Frontier Balanced Fund | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 814,743 | | | $ | (714,303 | ) | | $ | 100,440 | |
As of December 31, 2019 | | Gross Amounts of recognized Derivative Assets | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 154,778 | | | $ | (38,594 | ) | | $ | 116,184 | | Swap Contracts | | | 21,579,866 | | | | - | | | | 21,579,866 | |
As of December 31, 2018
| | Gross Amounts of recognized Derivative Assets | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | | Gross Amounts of recognized Derivative Assets | | | Gross Amounts offset in the Statements of Financial Condition | | | Net Amounts Presented in the Statements of Financial Condition | | | | | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 3,244,057 | | | $ | (3,642,246 | ) | | $ | (398,189 | ) | | $ | 154,778 | | | $ | (38,594 | ) | | $ | 116,184 | | Swap Contracts | | | 20,149,868 | | | | - | | | | 20,149,868 | | | $ | 21,579,866 | | | | - | | | $ | 21,579,866 | |
8. Trading Activities and Related Risks The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The CEA 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 and Galaxy Plus entity 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 or Galaxy Plus entity in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company or Galaxy Plus entity are unable to offset such futures interests positions, such Trading Company or Galaxy Plus entity 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 that a counterparty will not be able to meet its obligations to a Trading Company or Galaxy Plus entity. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non- performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in contrast to U.S. exchanges, are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction, and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty. In the case of forward contracts traded on the interbank market and swaps, neither is traded on exchanges. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company will be valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to any Trading Company. The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. 9. Indemnifications and Guarantees The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Trust up to the amount of equity at risk Morgan Stanley & Co. LLC. The Trust has not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote. 10. Subsequent Events Effective February 1, 2020,The Managing Owner evaluates events that occur after the administratorbalance sheet date but before and transfer agency provider ofup until financial statements are available to be issued. The Managing Owner has assessed the Series was changed from Gemini Hedge Fund Services, LLCsubsequent events through the date that the financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to Sudrania Fund Services Corp. Sudrania Fund Services Corp (the “Administrator”) serves asor disclosure in the administrator and registrar and transfer agent to the Series and performs certain administrative and accounting services for the Series. The Administrator is paid customary fees for the services that it provides to the Series.
Gemini Alternative Funds, LLC, an affiliate of Gemini Hedge Fund Services, LLC continues to sponsor and operate each Master Fund.
Frontier Balanced Fundfinancial statements.
Effective March 12, 2020, Frontier FundJanuary 4, 2021 Volt Capital Management the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”),was added as a major commodity trading advisor for the Frontier BalancedLong Short Commodity Fund. Emil Van Essen wasVolt is accessed through the Galaxy Plus Managed Account platform. The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Balanced Fund are:
Aspect Capital Limited
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Balanced Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Balanced– Volt Diversified Alpha Feeder Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Balanced Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 19% | | Crabel Capital Management, LLC | | | 7% | | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 6% | | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 12% | | H2O AM LLP | | | 17% | | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2% | | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 14% | | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 4% | | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 12% | | Wimmer Horizon LLP | | | 7% | |
Frontier Diversified Fund(550) LLC.
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen,February 21, 2021, Gemini Alternative Funds, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Diversified Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.changed its name to New Hyde Park Alternative Funds, LLC. The current commodity trading advisors, including those advising commodity pools onFrom January 01, 2021 through March 10, 2021, the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Diversified Fund are:
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Diversified Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Diversified Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Diversified Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to timeTrust paid $2,163,652 in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 23% | | Crabel Capital Management, LLC | | | 7% | | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 7% | | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 17% | | H2O AM LLP | | | 12% | | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2% | | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 12% | | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 7% | | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 13% | |
Frontier Masters Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Masters Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Masters Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Masters Fund are:
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC and Transtrend, B.V., the managing owner has made the following allocation adjustments to Frontier Masters Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Masters Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Masters Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 81% | | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 19% | |
Frontier Long/Short Commodity Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Long/Short Commodity Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Long/Short Commodity Fund are:
| ● | Landmark Trading Company (Non-major) |
| ● | Rosetta Capital Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Long/Short Commodity Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Long/Short Commodity Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Long/Short Commodity Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | JE Moody & Company | | | 30% | | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 7% | | Rosetta Capital Management, LLC (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 40% | | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 23% | |
Frontier Select Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Select Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Select Fund are:
| ● | BH-DG Systematic Trading, LLP |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Transtrend B.V., the managing owner has made the following allocation adjustments to Frontier Select Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Select Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Select Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | BH-DG Systematic Trading, LLP | | | 48% | | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 52% | |
redemptions.
INDEPENDENT AUDITOR’S REPORTIndependent Auditor’s Report
To the Executive Committee of Frontier Funds Report on the Financial Statements We have audited the accompanying financial statements of Frontier Trading Company I, LLC, Frontier Trading Company II, LLC, Frontier Fund Trading Company XXXIV, LLC, Frontier Trading Company XXXV, LLC, Frontier Trading Company XXXVII, LLC, Frontier Trading Company XXXVIII, LLC, and Frontier Trading Company XXXIX, LLC (collectively, the “Trading Companies”), which comprise the statements of financial condition, including the condensed schedule of investments, as of December 31, 2020 and 2019, the related statements of operations, changes in members’ equity, and cash flow for each of the yearyears then ended, December 31, 2019, and the related notes to the financial statements in conformity with accounting principles generally accepted in the United States of America. Management’s Responsibility for the Financial Statements Management is responsible for the presentation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America.; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the auditsaudit to obtain reasonable assurance about whether the financial statements are from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depends on the auditor’s judgement, including the assessment of the risk of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit includes evaluation the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above are presented fairly, in all material respects, the financial position of the Trading Companies as of December 31, 2020 and 2019, and results of its operationstheir operation and their cash flows for each of the yearyears then ended, December 31, 2019, in conformity with accounting principles generally accepted in the United States of America. /s/ Spicer Jeffries LLP Denver, Colorado March 30, 202031, 2021
The Trading Companies of the Frontier Fund Statements of Financial Condition December 31, 20192020 and 20182019 | | | Frontier Trading | | Frontier Trading | | | | | Company I, LLC | | | Company II, LLC | | | | Frontier Trading Company I, LLC | | | Frontier Trading Company II, LLC | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | | | 12/31/2019 | | 12/31/2018 | | 12/31/2019 | | 12/31/2018 | | | | | | | | | | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Receivable from futures commission merchants | | $ | 2,526,039 | | | $ | 2,683,299 | | | $ | - | | | $ | 8,572,549 | | | $ | 233,973 | | | $ | 2,526,039 | | | $ | - | | | $ | - | | Open trade equity, at fair value | | | 116,184 | | | | 220,659 | | | | - | | | | - | | | | 100,440 | | | | 116,184 | | | | - | | | | - | | Total Assets | | $ | 2,642,223 | | | $ | 2,903,958 | | | $ | - | | | $ | 8,572,549 | | | $ | 334,413 | | | $ | 2,642,223 | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & MEMBERS’ EQUITY | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Risk analysis fee payable | | $ | 8,465 | | | $ | 9,127 | | | $ | - | | | $ | 18,435 | | | $ | 9,513 | | | $ | 8,465 | | | $ | - | | | $ | - | | Open trade deficit, at fair value | | | - | | | | - | | | | - | | | | 618,848 | | | Total Liabilities | | | 8,465 | | | | 9,127 | | | | - | | | | 637,283 | | | | 9,513 | | | | 8,465 | | | | - | | | | - | | MEMBERS’ EQUITY (Net Asset Value) | | | 2,633,758 | | | | 2,894,831 | | | | - | | | | 7,935,266 | | | | 324,900 | | | | 2,633,758 | | | | - | | | | - | | Total Liabilities and Members’ Equity | | $ | 2,642,223 | | | $ | 2,903,958 | | | $ | - | | | $ | 8,572,549 | | | $ | 334,413 | | | $ | 2,642,223 | | | $ | - | | | $ | - | |
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company XXXIV LLC | | | Company XXXV LLC | | | Company XXXVII LLC | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | | | | | | | | | | | | | | | | | | | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap contracts, at fair value | | $ | - | | | $ | 11,944,754 | | | $ | - | | | $ | 6,384,583 | | | $ | - | | | $ | 362,521 | | Total Assets | | $ | - | | | $ | 11,944,754 | | | $ | - | | | $ | 6,384,583 | | | $ | - | | | $ | 362,521 | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & MEMBERS’ EQUITY | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | Advance on unrealized swap appreciations | | $ | - | | | $ | 6,176,555 | | | $ | - | | | $ | 4,000,000 | | | $ | - | | | $ | 115,000 | | Total Liabilities | | | - | | | | 6,176,555 | | | | - | | | | 4,000,000 | | | | - | | | | 115,000 | | MEMBERS’ EQUITY (Net Asset Value) | | | - | | | | 5,768,199 | | | | - | | | | 2,384,583 | | | | - | | | | 247,521 | | Total Liabilities and Members’ Equity | | $ | - | | | $ | 11,944,754 | | | $ | - | | | $ | 6,384,583 | | | $ | - | | | $ | 362,521 | |
| | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII LLC | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap contracts, at fair value | | $ | 11,944,754 | | | $ | 10,794,908 | | | $ | 6,384,583 | | | $ | 5,920,414 | | | $ | 362,521 | | | $ | 479,102 | | Total Assets | | $ | 11,944,754 | | | $ | 10,794,908 | | | $ | 6,384,583 | | | $ | 5,920,414 | | | $ | 362,521 | | | $ | 479,102 | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & MEMBERS’ EQUITY | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | Advance on unrealized swap appreciations | | $ | 6,176,555 | | | $ | 6,176,555 | | | $ | 4,000,000 | | | $ | 4,000,000 | | | $ | 115,000 | | | $ | 115,000 | | Total Liabilities | | | 6,176,555 | | | | 6,176,555 | | | | 4,000,000 | | | | 4,000,000 | | | | 115,000 | | | | 115,000 | | MEMBERS’ EQUITY (Net Asset Value) | | | 5,768,199 | | | | 4,618,353 | | | | 2,384,583 | | | | 1,920,414 | | | | 247,521 | | | | 364,102 | | Total Liabilities and Members’ Equity | | $ | 11,944,754 | | | $ | 10,794,908 | | | $ | 6,384,583 | | | $ | 5,920,414 | | | $ | 362,521 | | | $ | 479,102 | |
| | | Frontier Trading | | Frontier Trading | | | | Frontier Trading Company XXXVIII LLC | | | Frontier Trading Company XXXIX LLC | | | Company XXXVIII LLC | | | Company XXXIX LLC | | | | 12/31/2019 | | 12/31/2018 | | 12/31/2019 | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2020 | | | 12/31/2019 | | | | | | | | | | | | | | | | | | | | | ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments in private investment companies, at fair value | | $ | 157,775 | | | $ | 817,048 | | | $ | - | | | $ | - | | | $ | 89,030 | | | $ | 157,775 | | | $ | - | | | $ | - | | Swap contracts, at fair value | | | - | | | | - | | | | 2,888,009 | | | | 2,955,444 | | | | - | | | | - | | | | - | | | | 2,888,009 | | Total Assets | | $ | 157,775 | | | $ | 817,048 | | | $ | 2,888,009 | | | $ | 2,955,444 | | | $ | 89,030 | | | $ | 157,775 | | | $ | - | | | $ | 2,888,009 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES & MEMBERS’ EQUITY | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Advance on unrealized swap appreciations | | $ | - | | | $ | - | | | $ | 1,900,000 | | | $ | 1,900,000 | | | $ | - | | | $ | - | | | $ | - | | | $ | 1,900,000 | | Total Liabilities | | | - | | | | - | | | | 1,900,000 | | | | 1,900,000 | | | | - | | | | - | | | | - | | | | 1,900,000 | | | | | | | | | | | | | | | | | | | | MEMBERS’ EQUITY (Net Asset Value) | | | 157,775 | | | | 817,048 | | | | 988,009 | | | | 1,055,444 | | | | 89,030 | | | | 157,775 | | | | - | | | | 988,009 | | Total Liabilities and Members’ Equity | | $ | 157,775 | | | $ | 817,048 | | | $ | 2,888,009 | | | $ | 2,955,444 | | | $ | 89,030 | | | $ | 157,775 | | | $ | - | | | $ | 2,888,009 | |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Funds Condensed Schedules of Investments December 31, 2020 | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company I LLC | | | Company II LLC | | | Company XXXVIII LLC | | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (Far East) | | $ | 72,005 | | | | 22.16 | % | | | - | | | | 0.00 | % | | $ | - | | | | 0 | | Various agriculture futures contracts (Europe) | | | 9,803 | | | | 3.02 | % | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Various agriculture futures contracts (U.S.) | | | 87,496 | | | | 26.93 | % | | | - | | | | 0.00 | % | | | - | | | | 0 | | Various base metals futures contracts (U.S.) | | | 22,858 | | | | 7.04 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (U.S.) | | | (100 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Europe) | | | 10,573 | | | | 3.25 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Latin America) | | | 5,833 | | | | 1.80 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | 148,949 | | | | 45.84 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Far East) | | | 2,882 | | | | 0.89 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (U.S.) | | | 2,438 | | | | 0.75 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various precious metal futures contracts (U.S.) | | | 28,625 | | | | 8.81 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | 52,349 | | | | 16.11 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Far East) | | | 5,312 | | | | 1.63 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Long Futures Contracts | | $ | 449,023 | | | | 136.57 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | SHORT FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (Far East) | | $ | (30,963 | ) | | | -9.53 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various agriculture futures contracts (Europe) | | | (10,797 | ) | | | -3.32 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various agriculture futures contracts (U.S.) | | | (92,738 | ) | | | -28.54 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various base metals futures contracts (U.S.) | | | (10,289 | ) | | | -3.17 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Europe) | | | (10,381 | ) | | | -3.20 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (U.S.) | | | 2,300 | | | | 0.71 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Latin America) | | | 2,512 | | | | 0.77 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | (127,832 | ) | | | -39.35 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Far East) | | | (2,482 | ) | | | -0.76 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (U.S.) | | | 3,656 | | | | 1.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various precious metal futures contracts (U.S.) | | | (25,560 | ) | | | -7.87 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | (42,669 | ) | | | -13.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Far East) | | | (3,340 | ) | | | -1.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Short Futures Contracts | | $ | (348,583 | ) | | | -107.29 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Total Open Trade Equity (Deficit) | | $ | 100,440 | | | | 29.28 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | OPTIONS PURCHASED * | | | | | | | | | | | | | | | | | | | | | | | | | Various energy futures contracts (U.S.) | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Various stock index futures contracts (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Options Purchased | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | OPTIONS WRITTEN * | | | | | | | | | | | | | | | | | | | | | | | | | Various stock index futures contracts (U.S.) | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Total Options Written | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | SWAPS (2) | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Frontier Brevan Howard swap (U.S.) | | $ | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Frontier XXXV Diversified select swap (U.S.) | | $ | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Frontier XXXVII L/S select swap (U.S.) | | | | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Swaps | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | PRIVATE INVESTMENT COMPANIES | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | $ | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 89,030 | | | | 100.00 | % | Total Private Investment Companies | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 89,030 | | | | 100.00 | % |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Funds Condensed Schedules of Investments December 31, 2019 | | | Frontier Trading | | Frontier Trading | | Frontier Trading | | | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | | Frontier Trading Company XXXVIII LLC | | | Company I LLC | | | Company II LLC | | | Company XXXVIII LLC | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % 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) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | | | | | | | | | | | | | | | LONG FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | | 22,437 | | | | 0.85 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 22,437 | | | | 0.85 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various base metals futures contracts (U.S.) | | | (3,344 | ) | | | -0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (3,344 | ) | | | -0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | (2,763 | ) | | | -0.10 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (2,763 | ) | | | -0.10 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various energy futures contracts (U.S.) | | | (735 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (735 | ) | | | -0.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various precious metal futures contracts (U.S.) | | | 45,590 | | | | 1.73 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 45,590 | | | | 1.73 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (Far East) | | | 709 | | | | 0.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 709 | | | | 0.03 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | 1,740 | | | �� | 0.07 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 1,740 | | | | 0.07 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Europe) | | | (2,506 | ) | | | -0.10 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (2,506 | ) | | | -0.10 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Far East) | | | (7,157 | ) | | | -0.27 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (7,157 | ) | | | -0.27 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Oceanic) | | | (21,237 | ) | | | -0.81 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (21,237 | ) | | | -0.81 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (U.S.) | | | 21,385 | | | | 0.81 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 21,385 | | | | 0.81 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Long Futures Contracts | | $ | 54,119 | | | | 2.32 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 54,119 | | | | 2.32 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | SHORT FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (U.S.) | | | (1,410 | ) | | | -0.05 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (1,410 | ) | | | -0.05 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various base metals futures contracts (U.S.) | | | (6,369 | ) | | | -0.24 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (6,369 | ) | | | -0.24 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various energy futures contracts (U.S.) | | | 3,380 | | | | 0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 3,380 | | | | 0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | 9,573 | | | | 0.36 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 9,573 | | | | 0.36 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Far East) | | | 1,104 | | | | 0.04 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 1,104 | | | | 0.04 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | (3,340 | ) | | | -0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | (3,340 | ) | | | -0.13 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Short Futures Contracts | | $ | 2,938 | | | | 0.11 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 2,938 | | | | 0.11 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | CURRENCY FORWARDS * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Various currency forwards contracts (NA) | | | 59,127 | | | | 2.24 | % | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | 59,127 | | | | 2.24 | % | | | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Total Currency Forwards | | $ | 59,127 | | | | 2.24 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 59,127 | | | | 2.24 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Total Open Trade Equity (Deficit) | | $ | 116,184 | | | | 4.68 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 116,184 | | | | 4.68 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | $ | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 157,775 | | | | 100.00 | % | | $ | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 157,775 | | | | 100.00 | % | Total Private Investment Companies | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 157,775 | | | | 100.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 157,775 | | | | 100.00 | % |
| | Frontier Trading | | Frontier Trading | | Frontier Trading | | Frontier Trading | | | Frontier Trading | | Frontier Trading | | Frontier Trading | | Frontier Trading | | | | Company XXXIV LLC | | Company XXXV LLC | | Company XXXVII LLC | | Company XXXIX LLC | | | Company XXXIV LLC | | | Company XXXV LLC | | | Company XXXVII LLC | | | Company XXXIX LLC | | | | | | % of Total Capital | | | | % of Total Capital | | | | % of Total Capital | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | SWAPS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | 11,944,754 | | | | 207.08 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 11,944,754 | | | | 207.08 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 362,521 | | | | 146.46 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 362,521 | | | | 146.46 | % | | | - | | | | 0.00 | % | Frontier XXXIX Heritage select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 2,888,009 | | | | 292.31 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 2,888,009 | | | | 292.31 | % | Frontier XXXV Diversified select swap (U.S.) | | | - | | | | 0.00 | % | | | 6,384,583 | | | | 267.74 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 6,384,583 | | | | 267.74 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | $ | 11,944,754 | | | | 207.08 | % | | $ | 6,384,583 | | | | 267.74 | % | | $ | 362,521 | | | | 146.46 | % | | $ | 2,888,009 | | | | 292.31 | % | | $ | 11,944,754 | | | | 207.08 | % | | $ | 6,384,583 | | | | 267.74 | % | | $ | 362,521 | | | | 146.46 | % | | $ | 2,888,009 | | | | 292.31 | % |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Fund Statements of Operations For The Years Ended December 31, 2020 , 2019 and 2018 | | Frontier Trading | | | Frontier Trading | | | | Company I, LLC | | | Company II, LLC | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | Investment Income: | | | | | | | | | | | | | | | | | | | Interest-net | | $ | 6,075 | | | $ | 45,283 | | | $ | 36,492 | | | $ | - | | | $ | 26,751 | | | $ | 113,109 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | 6,075 | | | | 45,283 | | | | 36,492 | | | | - | | | | 26,751 | | | | 113,109 | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards, and options | | | 598,263 | | | | 135,527 | | | | (376,937 | ) | | | - | | | | (1,356,750 | ) | | | 1,058,445 | | Net realized gain/(loss) on swap contracts | | | - | | | | | | | | | | | | | | | | | | | | | | Net change in open trade equity | | | 30,465 | | | | (133,881 | ) | | | 14,335 | | | | - | | | | 702,663 | | | | (2,158,999 | ) | Net unrealized gain/(loss) on option / swap contracts | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Risk analysis fees | | | (5,880 | ) | | | (5,576 | ) | | | (6,688 | ) | | | - | | | | (4,277 | ) | | | (77,092 | ) | Trading commissions | | | (21,149 | ) | | | (33,456 | ) | | | (61,387 | ) | | | - | | | | (4,008 | ) | | | (42,252 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 601,699 | | | | (37,386 | ) | | | (430,677 | ) | | | - | | | | (662,372 | ) | | | (1,219,898 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | 607,774 | | | $ | 7,897 | | | $ | (394,185 | ) | | $ | - | | | $ | (635,621 | ) | | $ | (1,106,789 | ) |
| | Frontier Trading | | | Frontier Trading | | | | Company XXXIV, LLC | | | Company XXXV, LLC | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | Investment Income: | | | | | | | | | | | | | | | | | | | Interest-net | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on swap contracts | | | (2,448,166 | ) | | | - | | | | - | | | | (446,306 | ) | | | - | | | | - | | Net unrealized gain/(loss) on option / swap contracts | | | (3,088,917 | ) | | | 1,149,846 | | | | 1,453,948 | | | | (1,537,399 | ) | | | 464,169 | | | | 643,941 | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (5,537,083 | ) | | | 1,149,846 | | | | 1,453,948 | | | | (1,983,705 | ) | | | 464,169 | | | | 643,941 | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | (5,537,083 | ) | | $ | 1,149,846 | | | $ | 1,453,948 | | | $ | (1,983,705 | ) | | $ | 464,169 | | | $ | 643,941 | |
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company XXXVII, LLC | | | Company XXXVIII, LLC | | | Company XXXIX, LLC | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest-net | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on option / swap contracts | | | 188,100 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (189,734 | ) | | | - | | | | - | | Net unrealized gain/(loss) on option / swap contracts | | | 44,277 | | | | (116,581 | ) | | | 82,063 | | | | - | | | | - | | | | - | | | | 197,829 | | | | (67,435 | ) | | | (138,923 | ) | Net unrealized gain/(loss) on private investment companies | | | - | | | | - | | | | - | | | | (68,745 | ) | | | 154,155 | | | | (395,405 | ) | | | - | | | | - | | | | - | | Net realized gain/(loss) on private investment companies | | | - | | | | - | | | | - | | | | - | | | | (190,064 | ) | | | (39,550 | ) | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 232,377 | | | | (116,581 | ) | | | 82,063 | | | | (68,745 | ) | | | (35,909 | ) | | | (434,955 | ) | | | 8,095 | | | | (67,435 | ) | | | (138,923 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | 232,377 | | | $ | (116,581 | ) | | $ | 82,063 | | | $ | (68,745 | ) | | $ | (35,909 | ) | | $ | (434,955 | ) | | $ | 8,095 | | | $ | (67,435 | ) | | $ | (138,923 | ) |
*(1) Trading Company XXXIX, LLC ceased trading operations May 30,2020 | Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.(2) Trading Company XXXVII, LLC ceased trading operations December 21, 2020 | (3) Trading Company XXXV, LLC ceased trading operations December 21, 2020 | (4) Trading Company XXXIV, LLC ceased trading operations December 21, 2020 |
The accompanying notes are an integral part of these financial statements. The Trading Companies of the Frontier Funds
Condensed Schedules of Investments
December 31, 2018
| | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | | Frontier Trading Company XXXVIII LLC | | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | Description | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | LONG FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (Canada) | | $ | - | | | | 0.00 | % | | $ | 204 | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Various agriculture futures contracts (Europe) | | $ | (1,472 | ) | | | -0.05 | % | | $ | 157 | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Various agriculture futures contracts (U.S.) | | | 8,490 | | | | 0.29 | % | | | 1,020 | | | | 0.01 | % | | | - | | | | 0.00 | % | Various base metals futures contracts (U.S.) | | | (31,117 | ) | | | -1.07 | % | | | (398,268 | ) | | | -5.02 | % | | | - | | | | 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 currency futures contracts (Latin America) | | | - | | | | 0.00 | % | | | 42,160 | | | | 0.53 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Oceanic) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Natural Gas Future Feb 2019 | | | - | | | | 0.00 | % | | | (408,970 | ) | | | -5.15 | % | | | - | | | | 0.00 | % | Other energy futures contracts (U.S.) | | | - | | | | 0.00 | % | | | (228,961 | ) | | | -2.89 | % | | | - | | | | 0.00 | % | Total various energy futures contracts (U.S.) | | | (5,390 | ) | | | -0.19 | % | | | (637,931 | ) | | | -8.04 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Canada) | | | 7,402 | | | | 0.26 | % | | | 6,085 | | | | 0.08 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | 116,653 | | | | 4.03 | % | | | 244,164 | | | | 3.08 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Far East) | | | 17,226 | | | | 0.60 | % | | | 18,866 | | | | 0.24 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Oceanic) | | | 48,083 | | | | 1.66 | % | | | 30,187 | | | | 0.38 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (U.S.) | | | 1,094 | | | | 0.04 | % | | | 43,156 | | | | 0.54 | % | | | - | | | | 0.00 | % | Various precious metal futures contracts (U.S.) | | | - | | | | 0.00 | % | | | 14,730 | | | | 0.19 | % | | | - | | | | 0.00 | % | Various soft futures contracts (Far East) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | (2,025 | ) | | | -0.07 | % | | | (18,680 | ) | | | -0.24 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Africa) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Europe) | | | - | | | | 0.00 | % | | | (18,456 | ) | | | -0.23 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Far East) | | | - | | | | 0.00 | % | | | (23,446 | ) | | | -0.30 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Oceanic) | | | - | | | | 0.00 | % | | | 1,338 | | | | 0.02 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (U.S.) | | | - | | | | 0.00 | % | | | (75,392 | ) | | | -0.95 | % | | | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | Total Long Futures Contracts | | $ | 158,944 | | | | 5.49 | % | | $ | (770,310 | ) | | | -17.75 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | SHORT FUTURES CONTRACTS * | | | | | | | | | | | | | | | | | | | | | | | | | Various agriculture futures contracts (Canada) | | | 9,613 | | | | 0.33 | % | | | 204 | | | | 0.00 | % | | | - | | | | 0.00 | % | Various agriculture futures contracts (Europe) | | | - | | | | 0.00 | % | | | 400 | | | | 0.01 | % | | | - | | | | 0.00 | % | Various agriculture futures contracts (U.S.) | | | 6,120 | | | | 0.21 | % | | | 75,123 | | | | 0.95 | % | | | - | | | | 0.00 | % | Various base metals futures contracts (U.S.) | | | 28,880 | | | | 1.00 | % | | | 118,641 | | | | 1.50 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Europe) | | | - | | | | 0.00 | % | | | (63,875 | ) | | | -0.80 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Far East) | | | - | | | | 0.00 | % | | | (180,813 | ) | | | -2.28 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Latin America) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various currency futures contracts (Oceanic) | | | - | | | | 0.00 | % | | | 33,405 | | | | 0.42 | % | | | - | | | | 0.00 | % | Various energy futures contracts (U.S.) | | | (600 | ) | | | -0.02 | % | | | 425,652 | | | | 5.36 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Canada) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Europe) | | | - | | | | 0.00 | % | | | (79,801 | ) | | | -1.01 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Far East) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (Oceanic) | | | - | | | | 0.00 | % | | | (309 | ) | | | 0.00 | % | | | - | | | | 0.00 | % | Various interest rates futures contracts (U.S.) | | | - | | | | 0.00 | % | | | (35,688 | ) | | | -0.45 | % | | | - | | | | 0.00 | % | Various precious metal futures contracts (U.S.) | | | (1,305 | ) | | | -0.05 | % | | | (224,995 | ) | | | -2.84 | % | | | - | | | | 0.00 | % | Various soft futures contracts (Far East) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various soft futures contracts (U.S.) | | | 25,227 | | | | 0.87 | % | | | (2,936 | ) | | | -0.04 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Africa) | | | - | | | | 0.00 | % | | | (1,220 | ) | | | -0.02 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Canada) | | | 3,027 | | | | 0.10 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Europe) | | | 12,826 | | | | 0.44 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Far East) | | | - | | | | 0.00 | % | | | 283 | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (Oceanic) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Various stock index futures contracts (U.S.) | | | 128 | | | | 0.00 | % | | | 62,583 | | | | 0.79 | % | | | - | | | | 0.00 | % | Total Short Futures Contracts | | $ | 83,916 | | | | 2.90 | % | | $ | 126,654 | | | | 1.60 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | CURRENCY FORWARDS * | | | | | | | | | | | | | | | | | | | | | | | | | Various currency forwards contracts (NA) | | $ | (22,201 | ) | | | -0.77 | % | | $ | 24,808 | | | | 0.31 | % | | $ | - | | | | 0.00 | % | Total Currency Forwards | | $ | (22,201 | ) | | | -0.77 | % | | $ | 24,808 | | | | 0.31 | % | | $ | - | | | | 0.00 | % | Total Open Trade Equity (Deficit) | | $ | 220,659 | | | | 7.62 | % | | $ | (618,848 | ) | | | -15.84 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | OPTIONS PURCHASED * | | | | | | | | | | | | | | | | | | | | | | | | | Various energy futures contracts (U.S.) | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Various stock index futures contracts (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Options Purchased | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | OPTIONS WRITTEN * | | | | | | | | | | | | | | | | | | | | | | | | | Various stock index futures contracts (U.S.) | | | | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Total Options Written | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | SWAPS (2) | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Frontier Brevan Howard swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Frontier XXXV Diversified select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | Total Swaps | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | PRIVATE INVESTMENT COMPANIES | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 817,048 | | | | 100.00 | % | Total Private Investment Companies | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | 817,048 | | | | 100.00 | % |
The accompanying notes are an integral part of these financial statements.
| | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII LLC | | | Frontier Trading Company XXXIX LLC | | | | | | | %of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | | | % of Total Capital | | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | | Value | | | (Net Asset Value) | | SWAPS | | | | | | | | | | | | | | | | | | | | | | | | | Frontier XXXIV Balanced select swap (U.S.) | | $ | 10,794,908 | | | | 233.74 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | | $ | - | | | | 0.00 | % | Frontier XXXVII L/S select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 479,102 | | | | 131.58 | % | | | - | | | | 0.00 | % | Frontier XXXIX Heritage select swap (U.S.) | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | 2,955,444 | | | | 280.02 | % | Frontier XXXV Diversified select swap (U.S.) | | | - | | | | 0.00 | % | | | 5,920,414 | | | | 308.29 | % | | | - | | | | 0.00 | % | | | - | | | | 0.00 | % | | | $ | 10,794,908 | | | | 233.74 | % | | $ | 5,920,414 | | | | 308.29 | % | | $ | 479,102 | | | | 131.58 | % | | $ | 2,955,444 | | | | 280.02 | % |
| * | Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Fund
Statements of Operations
For the Years Ended December 31, 2019, 2018 and 2017
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company I, LLC | | | Company II, LLC | | | Company XV, LLC (1) | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest-net | | $ | 45,283 | | | $ | 36,492 | | | $ | 24,699 | | | $ | 26,751 | | | $ | 113,109 | | | $ | 55,833 | | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | 45,283 | | | | 36,492 | | | | 24,699 | | | | 26,751 | | | | 113,109 | | | | 55,833 | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) on futures, forwards, and options | | | 135,527 | | | | (376,937 | ) | | | (381,912 | ) | | | (1,356,750 | ) | | | 1,058,445 | | | | 4,333,686 | | | | - | | | | - | | | | (147,494 | ) | Net change in open trade equity | | | (133,881 | ) | | | 14,335 | | | | (60,058 | ) | | | 702,663 | | | | (2,158,999 | ) | | | 418,160 | | | | - | | | | - | | | | (642,494 | ) | Risk analysis fees | | | (5,576 | ) | | | (6,688 | ) | | | (10,265 | ) | | | (4,277 | ) | | | (77,092 | ) | | | (122,576 | ) | | | - | | | | - | | | | (9,683 | ) | Trading commissions | | | (33,456 | ) | | | (61,387 | ) | | | (68,711 | ) | | | (4,008 | ) | | | (42,252 | ) | | | (73,882 | ) | | | - | | | | - | | | | (41,998 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (37,386 | ) | | | (430,677 | ) | | | (520,946 | ) | | | (662,372 | ) | | | (1,219,898 | ) | | | 4,555,388 | | | | - | | | | - | | | | (841,669 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | 7,897 | | | $ | (394,185 | ) | | $ | (496,247 | ) | | $ | (635,621 | ) | | $ | (1,106,789 | ) | | $ | 4,611,221 | | | $ | - | | | $ | - | | | $ | (841,669 | ) |
| | Frontier Trading Company XXXIV, LLC | | | Frontier Trading Company XXXV, LLC | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | Investment Income: | | | | | | | | | | | | | | | | | | | Interest-net | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gain/(loss) on option / swap contracts | | | 1,149,846 | | | | 1,453,948 | | | | (84,491 | ) | | | 464,169 | | | | 643,941 | | | | (47,375 | ) | Trading commissions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | 1,149,846 | | | | 1,453,948 | | | | (84,491 | ) | | | 464,169 | | | | 643,941 | | | | (47,375 | ) | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | 1,149,846 | | | $ | 1,453,948 | | | $ | (84,491 | ) | | $ | 464,169 | | | $ | 643,941 | | | $ | (47,375 | ) |
| | Frontier Trading Company XXXVII, LLC | | | Frontier Trading Company XXXVIII, LLC | | | Frontier Trading Company XXXIX, LLC | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest-net | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Income | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized gain/(loss) on option / swap contracts | | | (116,581 | ) | | | 82,063 | | | | 26,621 | | | | - | | | | - | | | | - | | | | (67,435 | ) | | | (138,923 | ) | | | (297,047 | ) | Net unrealized gain/(loss) on private investment companies | | | - | | | | - | | | | - | | | | 154,155 | | | | (395,405 | ) | | | (2,202,627 | ) | | | - | | | | - | | | | - | | Net realized gain/(loss) on private investment companies | | | - | | | | - | | | | - | | | | (190,064 | ) | | | (39,550 | ) | | | 1,238,449 | | | | - | | | | - | | | | - | | Trading commissions | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gain/(loss) on investments | | | (116,581 | ) | | | 82,063 | | | | 26,621 | | | | (35,909 | ) | | | (434,955 | ) | | | (964,178 | ) | | | (67,435 | ) | | | (138,923 | ) | | | (297,047 | ) | NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS | | $ | (116,581 | ) | | $ | 82,063 | | | $ | 26,621 | | | | (35,909 | ) | | $ | (434,955 | ) | | $ | (964,178 | ) | | $ | (67,435 | ) | | $ | (138,923 | ) | | $ | (297,047 | ) |
| (1) | Trading Company XV ceased trading operations May 9, 2017 |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Fund Statements of Changes in Members’ Equity For the Years Ended December 31, 2020, 2019, 2018 2017 | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | | Frontier Trading Company XV, LLC (1) | | | Frontier Trading | | Frontier Trading | | Members’ Equity, December 31, 2016 | | $ | 6,883,604 | | | $ | 19,207,006 | | | $ | 8,847,274 | | | Capital Contributed | | | 5,974,621 | | | | 9,248,169 | | | | - | | | Capital Distributed | | | (4,734,216 | ) | | | (18,566,718 | ) | | | (8,005,604 | ) | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | (496,247 | ) | | | 4,611,221 | | | | (841,669 | ) | | | | | | | | | | | | | | | | Company I LLC | | | Company II LLC | | Members’ Equity, December 31, 2017 | | | 7,627,762 | | | | 14,499,678 | | | | - | | | | 7,627,762 | | | | 14,499,678 | | | | | | | | | | | | | | | | | | | | | | | Capital Contributed | | | 2,082,191 | | | | 9,976,074 | | | | - | | | | 2,082,191 | | | | 9,976,074 | | Capital Distributed | | | (6,420,937 | ) | | | (15,433,697 | ) | | | - | | | | (6,420,937 | ) | | | (15,433,697 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | (394,185 | ) | | $ | (1,106,789 | ) | | $ | - | | | | (394,185 | ) | | $ | (1,106,789 | ) | | | | | | | | | | | | | | | | | | | | | | Members’ Equity, December 31, 2018 | | $ | 2,894,831 | | | $ | 7,935,266 | | | $ | - | | | $ | 2,894,831 | | | $ | 7,935,266 | | | | | | | | | | | | | | | | | | | | | | | Capital Contributed | | | 400,000 | | | | 372,161 | | | | - | | | | 400,000 | | | | 372,161 | | Capital Distributed | | | (668,970 | ) | | | (7,671,806 | ) | | | - | | | | (668,970 | ) | | | (7,671,806 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | $ | 7,897 | | | $ | (635,621 | ) | | $ | - | | | | 7,897 | | | $ | (635,621 | ) | | | | | | | | | | | | | | | | | | | | | | Members’ Equity, December 31, 2019 | | $ | 2,633,758 | | | $ | - | | | $ | - | | | $ | 2,633,758 | | | $ | - | | | | | | | | | | | | Capital Contributed | | | | 1,250,215 | | | | - | | Capital Distributed | | | | (4,166,847 | ) | | | - | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | $ | 607,774 | | | | - | | | | | | | | | | | | Members’ Equity, December 31, 2020 | | | $ | 324,900 | | | $ | - | |
| | Frontier Trading Company XXXIV, LLC | | | Frontier Trading Company XXXV, LLC | | Members’ Equity, December 31, 2016 | | $ | 14,012,895 | | | $ | 6,137,847 | | | | | | | | | | | Capital Contributed | | | | | | | | | Capital Distributed | | | (7,514,000 | ) | | | (2,214,000 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | (84,491 | ) | | | (47,375 | ) | | | | | | | | | | Members’ Equity, December 31, 2017 | | | 6,414,404 | | | | 3,876,472 | | Capital Contributed | | | - | | | | - | | Capital Distributed | | | (3,249,999 | ) | | | (2,599,999 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | 1,453,948 | | | | 643,941 | | | | | | | | | | | Members’ Equity, December 31, 2018 | | $ | 4,618,353 | | | $ | 1,920,414 | | | | | | | | | | | Capital Contributed | | | - | | | | - | | Capital Distributed | | | | | | | | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | 1,149,846 | | | | 464,169 | | | | | | | | | | | Members’ Equity, December 31, 2019 | | $ | 5,768,199 | | | $ | 2,384,583 | |
The accompanying notes are an integral part of these financial statements.
| | Frontier Trading | | | Frontier Trading | | | | Company XXXIV, LLC | | | Company XXXV, LLC | | Members’ Equity, December 31, 2017 | | | 6,414,404 | | | | 3,876,472 | | | | | | | | | | | Capital Contributed | | | - | | | | - | | Capital Distributed | | | (3,249,999 | ) | | | (2,599,999 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | 1,453,948 | | | | 643,941 | | | | | | | | | | | Members’ Equity, December 31, 2018 | | $ | 4,618,353 | | | $ | 1,920,414 | | | | | | | | | | | Capital Contributed | | $ | - | | | $ | - | | Capital Distributed | | | | | | | | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | $ | 1,149,846 | | | $ | 464,169 | | | | | | | | | | | Members’ Equity, December 31, 2019 | | | 5,768,199 | | | $ | 2,384,583 | | | | | | | | | | | Capital Contributed | | | 1,178,695 | | | | 269,147 | | Capital Distributed | | | (1,409,811 | ) | | | (670,025 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | (5,537,083 | ) | | | (1,983,705 | ) | | | | | | | | | | Members’ Equity, December 31, 2020 | | $ | - | | | $ | - | |
| | Frontier Trading Company XXXVII, LLC | | Frontier Trading Company XXXVIII, LLC | | Frontier Trading Company XXXIX, LLC | | | Frontier Trading | | Frontier Trading | | Frontier Trading | | Members’ Equity, December 31, 2016 | | $ | 4,105,468 | | | $ | 11,184,103 | | | $ | 6,491,414 | | | | | | | | | | | | | | | | | Capital Contributed | | | - | | | | 3,695,073 | | | | - | | | Capital Distributed | | | (3,850,050 | ) | | | (11,763,129 | ) | | | (5,000,000 | ) | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | 26,621 | | | | (964,178 | ) | | | (297,047 | ) | | | | | | | | | | | | | | | | Company XXXVII, LLC | | | Company XXXVIII, LLC | | | Company XXXIX, LLC | | Members’ Equity, December 31, 2017 | | | 282,039 | | | | 2,151,869 | | | | 1,194,367 | | | | 282,039 | | | | 2,151,869 | | | | 1,194,367 | | | | | | | | | | | | | | | | | | | | | | | | | | | Capital Contributed | | | - | | | | 3,650,000 | | | | - | | | | - | | | | 3,650,000 | | | | - | | Capital Distributed | | | - | | | | (4,549,865 | ) | | | - | | | | - | | | | (4,549,865 | ) | | | - | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | 82,063 | | | | (434,955 | ) | | | (138,923 | ) | | | 82,063 | | | | (434,955 | ) | | | (138,923 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Members’ Equity, December 31, 2018 | | $ | 364,102 | | | $ | 817,049 | | | $ | 1,055,444 | | | $ | 364,102 | | | $ | 817,049 | | | $ | 1,055,444 | | | | | | | | | | | | | | | | | | | | | | | | | | | Capital Contributed | | | - | | | | - | | | | - | | | $ | - | | | $ | - | | | $ | - | | Capital Distributed | | | - | | | | (623,364 | ) | | | - | | | $ | - | | | $ | (623,365 | ) | | $ | - | | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | (116,581 | ) | | | (35,909 | ) | | | (67,435 | ) | | $ | (116,581 | ) | | $ | (35,909 | ) | | $ | (67,435 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Members’ Equity, December 31, 2019 | | $ | 247,521 | | | $ | 157,775 | | | $ | 988,009 | | | $ | 247,521 | | | $ | 157,775 | | | $ | 988,009 | | | | | | | | | | | | | | | | Capital Contributed | | | | - | | | | - | | | | - | | Capital Distributed | | | | (479,898 | ) | | | - | | | | (996,104 | ) | Net Increase (decrease) in Members’ Equity Resulting From Operations | | | | 232,377 | | | | (68,745 | ) | | | 8,095 | | | | | | | | | | | | | | | | Members’ Equity, December 31, 2020 | | | $ | - | | | $ | 89,030 | | | $ | - | |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Fund Statements of Cash Flows For the Years Ended December 31, 2020 , 2019 2018 and 20172018
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company I, LLC | | | Company II, LLC | | | Company XV, LLC | | | | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | Cash Flows from Operating Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in members’ equity resulting from operations | | $ | 7,897 | | | $ | (394,185 | ) | | $ | (496,247 | ) | | $ | (635,621 | ) | | $ | (1,106,789 | ) | | $ | 4,611,221 | | | $ | - | | | $ | - | | | $ | (841,669 | ) | Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Decrease (increase) in receivable from futures commission merchants | | | 157,260 | | | | 4,774,797 | | | | (810,998 | ) | | | 8,572,549 | | | | 4,553,957 | | | | 4,870,191 | | | | - | | | | - | | | | 8,207,387 | | Decrease (increase) in open trade equity, at fair value | | | 104,475 | | | | (42,107 | ) | | | 59,109 | | | | (618,848 | ) | | | 2,008,710 | | | | (167,338 | ) | | | - | | | | - | | | | 642,494 | | (Decrease) increase in risk analysis fee payable | | | (662 | ) | | | 241 | | | | 7,731 | | | | (18,435 | ) | | | 1,745 | | | | 4,475 | | | | - | | | | - | | | | (2,303 | ) | Decrease (increase) in interest receivable | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | (305 | ) | Net cash provided by (used in) operating activities | | | 268,970 | | | | 4,338,746 | | | | (1,240,405 | ) | | | 7,299,645 | | | | 5,457,623 | | | | 9,318,549 | | | | - | | | | - | | | | 8,005,604 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Capital Contributed | | | 400,000 | | | | 2,082,191 | | | | 5,974,621 | | | | 372,161 | | | | 9,976,074 | | | | 9,248,169 | | | | - | | | | - | | | | - | | Capital Distributed | | | (668,970 | ) | | | (6,420,937 | ) | | | (4,734,216 | ) | | | (7,671,806 | ) | | | (15,433,697 | ) | | | (18,566,718 | ) | | | - | | | | - | | | | (8,005,604 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (268,970 | ) | | | (4,338,746 | ) | | | 1,240,405 | | | | (7,299,645 | ) | | | (5,457,623 | ) | | | (9,318,549 | ) | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net change in cash and cash equivalents | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Cash and cash equivalents, beginning of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | Cash and cash equivalents, end of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | |
| | | Frontier Trading | | Frontier Trading | | | | Frontier Trading Company XXXIV, LLC | | | Frontier Trading Company XXXV, LLC | | | Company I, LLC | | | Company II, LLC | | | | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | | 2020 | | | 2019 | | | 2018 | | | 2020 | | | 2019 | | | 2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in members’ equity resulting from operations | | $ | 1,149,846 | | | $ | 1,453,948 | | | $ | (84,491 | ) | | $ | 464,169 | | | $ | 643,941 | | | $ | (47,375 | ) | | $ | 607,773 | | | $ | 7,897 | | | $ | (394,185 | ) | | $ | - | | | $ | (635,621 | ) | | $ | (1,106,789 | ) | Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized (gain) loss on swap contracts | | | (1,149,846 | ) | | | (1,453,948 | ) | | | 84,491 | | | | (464,169 | ) | | | (643,941 | ) | | | 47,375 | | | (Decrease) increase in swap collateral | | | - | | | | 3,249,999 | | | | 7,514,000 | | | | - | | | | 2,599,999 | | | | 2,214,000 | | | (Decrease) increase in interest payable | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | Decrease (increase) in receivable from futures commission merchants | | | | 2,292,066 | | | | 157,260 | | | | 4,774,797 | | | | - | | | | 8,572,549 | | | | 4,553,957 | | Decrease (increase) in open trade equity (deficit), at fair value | | | | 15,744 | | | | 104,475 | | | | (42,107 | ) | | | - | | | | (618,848 | ) | | | 2,008,710 | | (Decrease) increase in risk analysis fee payable | | | | 1,048 | | | | (662 | ) | | | 241 | | | | - | | | | (18,435 | ) | | | 1,745 | | Net cash provided by (used in) operating activities | | | - | | | | 3,249,999 | | | | 7,514,000 | | | | - | | | | 2,599,999 | | | | 2,214,000 | | | | 2,916,631 | | | | 268,970 | | | | 4,338,746 | | | | - | | | | 7,299,645 | | | | 5,457,623 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Decrease) increase in advance on unrealized swap appreciation | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | Capital Contributed | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 1,250,215 | | | | 400,000 | | | | 2,082,191 | | | | - | | | | 372,161 | | | | 9,976,074 | | Capital Distributed | | | - | | | | (3,249,999 | ) | | | (7,514,000 | ) | | | - | | | | (2,599,999 | ) | | | (2,214,000 | ) | | | (4,166,846 | ) | | | (668,970 | ) | | | (6,420,937 | ) | | | - | | | | (7,671,806 | ) | | | (15,433,697 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | - | | | | (3,249,999 | ) | | | (7,514,000 | ) | | | - | | | | (2,599,999 | ) | | | (2,214,000 | ) | | | (2,916,631 | ) | | | (268,970 | ) | | | (4,338,746 | ) | | | - | | | | (7,299,645 | ) | | | (5,457,623 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net change in cash and cash equivalents | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Cash and cash equivalents, beginning of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | Cash and cash equivalents, end of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | |
| | Frontier Trading | | | Frontier Trading | | | | Company XXXIV, LLC | | | Company XXXV, LLC | | | | 2020 | | | 2019 | | | 2018 | | | 2020 | | | 2019 | | | 2018 | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities | | | | | | | | | | | | | | | | | | | Net increase (decrease) in members’ equity resulting from operations | | $ | (5,537,083 | ) | | $ | 1,149,846 | | | $ | 1,453,948 | | | $ | (1,983,705 | ) | | $ | 464,169 | | | $ | 643,941 | | Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities: | | | | | | | | | | | | | | | | | | | | | | | | | Net unrealized (gain) loss on swap contracts | | | 3,088,917 | | | | (1,149,846 | ) | | | (1,453,948 | ) | | | 1,537,399 | | | | (464,169 | ) | | | (643,941 | ) | (Decrease) increase in swap collateral | | | 2,679,282 | | | | - | | | | 3,249,999 | | | | 847,184 | | | | - | | | | 2,599,999 | | (Decrease) increase in interest payable | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Net cash provided by (used in) operating activities | | | 231,116 | | | | - | | | | 3,249,999 | | | | 400,878 | | | | - | | | | 2,599,999 | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities | | | | | | | | | | | | | | | | | | | | | | | | | (Decrease) increase in advance on unrealized swap appreciation | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Capital Contributed | | | 1,178,695 | | | | - | | | | - | | | | 269,147 | | | | - | | | | - | | Capital Distributed | | | (1,409,811 | ) | | | - | | | | (3,249,999 | ) | | | (670,025 | ) | | | - | | | | (2,599,999 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | (231,116 | ) | | | - | | | | (3,249,999 | ) | | | (400,878 | ) | | | - | | | | (2,599,999 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Net change in cash and cash equivalents | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Cash and cash equivalents, beginning of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | Cash and cash equivalents, end of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | |
The accompanying notes are an integral part of these financial statements.
| | | Frontier Trading | | Frontier Trading | | Frontier Trading | | | | Frontier Trading Company XXXVII, LLC | | | Frontier Trading Company XXXVIII, LLC | | | Frontier Trading Company XXXIX, LLC | | | Company XXXVII, LLC | | | Company XXXVIII, LLC | | | Company XXXIX, LLC | | | | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | | 2019 | | | 2018 | | | 2017 | | | 2020 | | | 2019 | | | 2018 | | | 2020 | | | 2019 | | | 2018 | | | 2020 | | | 2019 | | | 2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Operating Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in members’ equity resulting from operations | | $ | (116,581 | ) | | $ | 82,063 | | | $ | 26,621 | | | $ | (35,909 | ) | | $ | (434,955 | ) | | $ | (964,178 | ) | | $ | (67,435 | ) | | $ | (138,923 | ) | | $ | (297,047 | ) | | $ | 232,377 | | | $ | (116,581 | ) | | $ | 82,063 | | | $ | (68,745 | ) | | $ | (35,909 | ) | | $ | (434,955 | ) | | $ | 8,095 | | | $ | (67,435 | ) | | $ | (138,923 | ) | Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Decrease) increase in swap collateral | | | - | | | | - | | | | 3,850,050 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 5,000,000 | | | | 291,798 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 1,185,838 | | | | - | | | | - | | Net unrealized (gain) loss on swap contracts | | | 116,581 | | | | (82,063 | ) | | | (26,621 | ) | | | - | | | | - | | | | - | | | | 67,435 | | | | 138,923 | | | | 297,047 | | | | (44,277 | ) | | | 116,581 | | | | (82,063 | ) | | | - | | | | - | | | | - | | | | (197,829 | ) | | | 67,435 | | | | 138,923 | | Sale of Private Investment Companies | | | - | | | | - | | | | - | | | | 622,970 | | | | 4,549,865 | | | | 9,568,056 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | 622,970 | | | | 4,549,865 | | | | - | | | | - | | | | - | | Purchase of Private Investment Companies | | | - | | | | - | | | | - | | | | 394 | | | | (3,650,000 | ) | | | (1,500,000 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | 394 | | | | (3,650,000 | ) | | | - | | | | - | | | | - | | Net unrealized (gain) loss in Investments in private investment companies | | | - | | | | - | | | | - | | | | (154,155 | ) | | | 395,405 | | | | (1,238,449 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 68,745 | | | | (154,155 | ) | | | 395,405 | | | | - | | | | - | | | | - | | Net realized (gain) loss in Investments in private investment companies | | | - | | | | - | | | | - | | | | 190,064 | | | | 39,550 | | | | 2,202,627 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 190,064 | | | | 39,550 | | | | - | | | | - | | | | - | | (Decrease) increase in advance on unrealized swap appreciation | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) operating activities | | | - | | | | - | | | | 3,850,050 | | | | 623,364 | | | | 899,865 | | | | 8,068,056 | | | | - | | | | - | | | | 5,000,000 | | | | 479,898 | | | | - | | | | - | | | | - | | | | 623,364 | | | | 899,865 | | | | 996,104 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Cash Flows from Financing Activities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (Decrease) increase in advance on unrealized swap appreciation | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | Capital Contributed | | | - | | | | - | | | | - | | | | - | | | | 3,650,000 | | | | 3,695,073 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 3,650,000 | | | | - | | | | - | | | | - | | Capital Distributed | | | - | | | | - | | | | (3,850,050 | ) | | | (623,364 | ) | | | (4,549,865 | ) | | | (11,763,129 | ) | | | - | | | | - | | | | (5,000,000 | ) | | | (479,898 | ) | | | - | | | | - | | | | - | | | | (623,364 | ) | | | (4,549,865 | ) | | | (996,104 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net cash provided by (used in) financing activities | | | - | | | | - | | | | (3,850,050 | ) | | | (623,364 | ) | | | (899,865 | ) | | | (8,068,056 | ) | | | - | | | | - | | | | (5,000,000 | ) | | | (479,898 | ) | | | - | | | | - | | | | - | | | | (623,364 | ) | | | (899,865 | ) | | | (996,104 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net change in cash and cash equivalents | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Cash and cash equivalents, beginning of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | Cash and cash equivalents, end of period | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | | | $ | - | |
The accompanying notes are an integral part of these financial statements.
The Trading Companies of the Frontier Funds Notes to Financial Statements 1. Organization and Purpose
| 1. | Organization and Purpose |
These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company XV LLC,XXIX, Frontier Trading Company XXXIV, LLC, Frontier Trading Company XXXV LLC, Frontier Trading Company XXXVII, LLC, Frontier Trading Company XXXVIII, LLC, and Frontier Trading Company XXXIX, LLC (the “Trading Companies”). Frontier Funds (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units (the “Series”). Its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in Commodity Futures Trading Commission, (“CFTC”)or CFTC Regulation § 4.10(d)(2). All capital of the Trading Companies is provided by the Series and there are no other investors in the Trading Companies. Each Trading Company authorizes certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee (for closed Series only). Trading Companies engage in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies) and options contracts and other derivative instruments (including swap contracts) and may, from time to time, engage in cash and spot transactions. A brief description of the Trading Company’s main types of investments is set forth below: | ● | A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place. Exposure to futures contracts is done directly by the trading companies or indirectly through an investment in a private investment company that trades futures. |
| ● | A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price. |
| ● | An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange. |
| ● | A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded. |
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, bad faith or willful misconduct. 2. Significant Accounting Policies
| 2. | Significant Accounting Policies |
The following are the significant accounting policies of the Trading Companies. Basis of Presentation—The Trading Companies follow Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trading Companies are investment companies and follow Accounting Standards Codification (“ASC”)ASC 946. Receivable from Futures Commission Merchants—The Trading Companies deposit assets with a futures commission merchant (“FCM”)an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trading Companies earn interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20192020 and December 31, 20182019 included restricted cash for margin requirements of $2,890,330$321,638 and $1,717,065$2,890,330 for the Frontier Trading Company I LLC and $0 and $4,368,185 for the Frontier Trading Company II LLC, respectively.LLC.
Use of Estimates—The preparation of financial statements in conformity with GAAP may require the management of the Trading Companies to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates, and such differences could be material. Investment Transactions—Futures, options on futures, and forward 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 Statement of Operations as a Net change in open trade equity, as there exists a right of offset of unrealized gains or losses in accordance with 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. Foreign Currency Transactions— The Trading Company’s functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Purchase and Sales of Private Investment Companies– Trading Companies are able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the private investment companies is determined by the Sponsor and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceeds and the fair value calculated by the Sponsor and is recorded as net unrealized gain/(loss) on private investment companies on the statements of operations. Investments and Swaps— The Trading Companies record investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. The Trading Companies strategically invest a portion or all of their assets in total return swaps, selected at the discretion of management. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investment or instrument. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust’s swap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Swap Contracts are reported at fair value based upon a weekly indicative value that is calculated by management using bid/ask prices from the counterparty. All valuation processes are monitored by the valuation committee. Income Taxes—The Trading Companies apply 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 Trading Companies’ 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 Trading Company level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has concluded there is no tax expense, interest or penalties to be recorded by the Trading Companies. The 20162019 through 20192020 tax years generally remain subject to examination by U.S. federal and most state tax authorities.
Fees and Expenses—The Trading Companies incur no expenses other than trading commissions resulting from normal trading activity. All operating expenses such as legal, accounting, etc. are paid for, without reimbursement, by Frontier Fund Management LLC, the Managing Owner of the Trust. Recently Adopted Accounting Pronouncement—
In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impacts ASU 2018-13 will have on the financial statementsstatements. Subsequent Events—The Trading Companies follow 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 and up through the date the financial statements are issued. Refer to Note 9. 3. Fair Value Measurements
| 3. | Fair Value Measurements |
In connection with the valuation of investments, the Trading Companies 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 or liability 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 assets 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 assets or inputs that are derived principally from or corroborated by market data by correlation or other means. Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trading Companies uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities.These instruments include open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. Futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currencies 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 parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. The Private Investment Companies are reported at fair value using Level 2 inputs. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investment were liquidated on December 21, 2020. The following table summarizes the instruments that comprise the Trading Companies financial asset portfolio measured at fair value on a recurring basis as of December 31, 20192020 and 2018,2019, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value: December 31, 2019 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | TotalFair Value | | Frontier Trading Company I LLC | | | | | | | | | | | | | Open Trade Equity (Deficit) | | $ | 57,057 | | | $ | 59,127 | | | $ | - | | | $ | 116,184 | | Frontier Trading Company II LLC | | | | | | | | | | | | | | | | | Open Trade Equity (Deficit) | | | - | | | | - | | | | - | | | | - | | Frontier Trading Company XXXIV, LLC | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 11,944,754 | | | | 11,944,754 | | Frontier Trading Company XXXV, LLC | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 6,384,583 | | | | 6,384,583 | | Frontier Trading Company XXXVII, LLC | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 362,521 | | | | 362,521 | | Frontier Trading Company XXXIX, LLC | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 2,888,009 | | | | 2,888,009 | |
December 31, 2020 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | | | | | | | | | | | | | | Frontier Trading Company I LLC | | | | | | | | | | | | | Open Trade Equity (Deficit) | | $ | 100,440 | | | $ | - | | | $ | - | | | $ | 100,440 | | Frontier Trading Company XXXVIII, LLC | | | | | | | | | | | | | | | | | Private Investment Companies | | | - | | | | 89,030 | | | | - | | | | 89,030 | |
December 31, 2018 | | Level 1 Inputs | | | Level 2 Inputs | | | Level 3 Inputs | | | Total Fair Value | | | December 31, 2019 | | | Level 1 Inputs | | Level 2 Inputs | | Level 3 Inputs | | Total Fair Value | | | | | | | | | | | | | Frontier Trading Company I LLC | | | | | | | | | | | | | | | | | | | Open Trade Equity (Deficit) | | $ | 242,860 | | | $ | (22,201 | ) | | $ | - | | | $ | 220,659 | | | $ | 57,057 | | | $ | 59,127 | | | $ | - | | | $ | 116,184 | | Frontier Trading Company II LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Open Trade Equity (Deficit) | | | (643,656 | ) | | | 24,808 | | | | - | | | | (618,848 | ) | | | - | | | | - | | | | - | | | | - | | Frontier Trading Company XXXIV, LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 10,794,908 | | | | 10,794,908 | | | | - | | | | - | | | | 11,944,754 | | | | 11,944,754 | | Frontier Trading Company XXXV, LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 5,920,414 | | | | 5,920,414 | | | | - | | | | - | | | | 6,384,583 | | | | 6,384,583 | | Frontier Trading Company XXXVII, LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 479,102 | | | | 479,102 | | | | - | | | | - | | | | 362,521 | | | | 362,521 | | Frontier Trading Company XXXIX, LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Swap Contracts | | | - | | | | - | | | | 2,955,444 | | | | 2,955,444 | | | | - | | | | - | | | | 2,888,009 | | | | 2,888,009 | |
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 “net realized and unrealized gain/(loss) on investments net realized and unrealized gain/(loss) on swap contracts” on the statements of operations. During the years ended December 31, 20192020 and 2018,2019, all identified level three assets were components of the Frontier Trading Company XXXIV LLC, XXXV LLC, XXXVII LLC, and XXXIX.XXXIX LLC. | | Frontier Trading Company | | | Frontier Trading Company | | | | XXXIV LLC | | | XXXIX, LLC | | | | For The Year Ending | | | For The Year Ending | | | | December 31, 2019 | | | December 31, 2019 | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 10,794,908 | | | $ | 2,955,444 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 1,149,846 | | | | (67,435 | ) | Included in other comprehensive income | | | - | | | | - | | Proceeds from reduction of cash collateral | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 11,944,754 | | | $ | 2,888,009 | |
| | Frontier Trading Company XXXV LLC For The Year Ending December 31, 2019 | | | Frontier Trading Company XXXVII, LLC For The Year Ending December 31, 2019 | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 5,920,414 | | | $ | 479,102 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 464,169 | | | | (116,581 | ) | Included in other comprehensive income | | | - | | | | - | | Proceeds from reduction of cash collateral | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 6,384,583 | | | $ | 362,521 | |
| | Frontier Trading Company XXXIV LLC For The Year Ending December 31, 2018 | | Frontier Trading Company XXXIX, LLC For The Year Ending December 31, 2018 | | | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXIX, LLC | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 11,340,959 | | | $ | 3,094,367 | | | | | | For The Year Ending December 31, 2020 | | | For The Year Ending December 31, 2020 | | Balance of recurring Level 3 assets as of January 1, 2020 | | | $ | 11,944,753 | | | $ | 2,888,009 | | Total gains or losses (realized/unrealized): | | | | | | | | | | | | | | | | | Included in earnings-realized | | | - | | | | - | | | | (2,448,166 | ) | | | (189,734 | ) | Included in earnings-unrealized | | | 1,453,948 | | | | (138,923 | ) | | | (3,088,917 | ) | | | 197,829 | | Included in other comprehensive income | | | - | | | | - | | | Proceeds from reduction of cash collateral | | | (1,999,999 | ) | | | - | | | | (6,176,555 | ) | | | (2,382,948 | ) | Sale of investments | | | | (7,586,366 | ) | | | (1,491,965 | ) | Purchase of investments | | | | 7,355,251 | | | | 978,809 | | Change in ownership allocation | | | | | | | | | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 10,794,908 | | | $ | 2,955,444 | | | Balance of recurring Level 3 assets as of December 31, 2020 | | | $ | - | | | $ | - | |
| | Frontier Trading Company XXXV LLC For The Year Ending December 31, 2018 | | Frontier Trading Company XXXVII, LLC For The Year Ending December 31, 2018 | | | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII, LLC | | Balance of recurring Level 3 assets as of January 1, 2018 | | $ | 6,376,472 | | | $ | 397,039 | | | | | | For The Year Ending December 31, 2020 | | | For The Year Ending December 31, 2020 | | Balance of recurring Level 3 assets as of January 1, 2020 | | | $ | 6,384,583 | | | $ | 362,521 | | Total gains or losses (realized/unrealized): | | | | | | | | | | | | | | | | | Included in earnings-realized | | | - | | | | - | | | | (446,306 | ) | | | 188,100 | | Included in earnings-unrealized | | | 643,941 | | | | 82,063 | | | | (1,537,399 | ) | | | 44,277 | | Included in other comprehensive income | | | - | | | | - | | | Proceeds from reduction of cash collateral | | | (1,099,999 | ) | | | - | | | | (4,000,000 | ) | | | (115,000 | ) | Sale of investments | | | | (4,870,025 | ) | | | (594,898 | ) | Purchase of investments | | | | 4,469,147 | | | | 115,000 | | Change in ownership allocation | | | | | | | | | | Transfers in and/or out of Level 3 | | | - | | | | - | | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2018 | | $ | 5,920,414 | | | $ | 479,102 | | | Balance of recurring Level 3 assets as of December 31, 2020 | | | $ | - | | | $ | - | |
| | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXIX, LLC | | | | For The Year Ending December 31, 2019 | | | For The Year Ending December 31, 2019 | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 10,794,908 | | | $ | 2,955,444 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 1,149,846 | | | | (67,435 | ) | Included in other comprehensive income | | | - | | | | - | | Proceeds from reduction of cash collateral | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 11,944,754 | | | $ | 2,888,009 | |
| | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII, LLC | | | | For The Year Ending December 31, 2019 | | | For The Year Ending December 31, 2019 | | Balance of recurring Level 3 assets as of January 1, 2019 | | $ | 5,920,414 | | | $ | 479,102 | | Total gains or losses (realized/unrealized): | | | | | | | | | Included in earnings-realized | | | - | | | | - | | Included in earnings-unrealized | | | 464,169 | | | | (116,581 | ) | Included in other comprehensive income | | | - | | | | - | | Proceeds from reduction of cash collateral | | | - | | | | - | | Transfers in and/or out of Level 3 | | | - | | | | - | | Balance of recurring Level 3 assets as of December 31, 2019 | | $ | 6,384,583 | | | $ | 362,521 | |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2020: | | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII LLC | | | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXIX LLC | | Swaps | | $ | (1,537,399 | ) | | $ | 44,277 | | | $ | (3,088,917 | ) | | $ | 197,829 | |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2019: | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company XXXV | | | Company XXXVII LLC | | | Company XXXIV | | | Company XXXIX | | Swaps | | $ | 464,169 | | | $ | (116,581 | ) | | $ | 1,149,846 | | | $ | (67,435 | ) |
| | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII LLC | | | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXIX LLC | | Swaps | | $ | 464,169 | | | $ | (116,581 | ) | | $ | 1,149,846 | | | $ | (67,435 | ) |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2018: | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company XXXV | | | Company XXXVII LLC | | | Company XXXIV | | | Company XXXIX | | Swaps | | $ | 643,941 | | | $ | 82,063 | | | $ | 1,453,948 | | | $ | (138,923 | ) |
| | Frontier Trading Company XXXV LLC | | | Frontier Trading Company XXXVII LLC | | | Frontier Trading Company XXXIV LLC | | | Frontier Trading Company XXXIX LLC | | Swaps | | $ | 643,941 | | | $ | 82,063 | | | $ | 1,453,948 | | | $ | (138,923 | ) |
The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2017:
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company XXXV | | | Company XXXVII LLC | | | Company XXXIV | | | Company XXXIX | | Swaps | | $ | (47,375 | ) | | $ | 26,621 | | | $ | (84,491 | ) | | $ | (297,047 | ) |
The Trading Companies assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trading Company’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the years ended December 31, 20192020 and 2018,2019, the Trading Companies did not transfer any assets between Level 1, Level 2 or Level 3. 4.Swap Contracts In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Trading Companies of the Trust will strategically invest a portion or all of their assets in total return swaps, selected at the direction of management. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Each Trading Company’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of each Trading Company and to provide access to programs and advisors that would not be otherwise available to the Trading Company and are not used for hedging purposes. Management follows a procedure in selecting well-established financial institutions which management, 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 relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the managements’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. The Trading Companies strategically invest assets in one or more swaps linked to certain underlying investments or indices, at the direction of management. The Trading Companies will not own any of the investments or indices referenced by any swap. In addition, the swap counterparty to the Trading Company is not a Trading Advisor to these Trading Companies. To help to reduce counterparty risk on the Trading Companies, the Managing Owner has the right to reduce the Trading Companies’ exposure and remove cash from the Trading Companies’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of December 31, 2019, theThe Frontier Trading Company XXXIX, LLC ceased trading operations on May 30, 2020. The Frontier Trading Company XXXIV LLC, Frontier Trading Company XXXV LLC and Frontier Trading Company XXXVII LLC and Frontier Trading Company XXXIX LLC, had $6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Trading Companies’ Statements of Financial Conditions under advanceceased trading operations on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank AG.December 21, 2020. Embedded in the swap fair value is management and incentive fees being paid to Trading Advisors. As of December 31, 2019, the management fees and range of incentive fees by Trading Company were as follows: Trading Company | | Management Fee | | | Incentive Fee | | Frontier Trading Company XXXIV LLC | | | 1 | % | | | 20-25 | % | Frontier Trading Company XXXV LLC | | | 1 | % | | | 20-25 | % | Frontier Trading Company XXXVII LLC | | | 1.5 | % | | | 25 | % | Frontier Trading Company XXXIX LLC | | | 1 | % | | | 15 | % |
Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations. The Trading Companies have invested in the following swaps as of December 31, 2019.2020. | | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | | DeutscheBank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | Swap Value | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | Investee Returns | | Total Returns | | | Total Returns | | | Total Returns | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | Fair Value as of December 31, 2019 | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
| | XXXIV Balanced select swap | | | XXXV Diversified select swap | | | XXXVII L/S select swap | | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Counterparty | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | | Deutsche Bank AG | | Realized Gain/(Loss) | | $ | (2,448,166 | ) | | $ | (446,306 | ) | | $ | 188,100 | | | $ | (189,734) | | Change in Unrealized Gain/(Loss) | | $ | (3,088,917 | ) | | $ | (1,537,399 | ) | | $ | 44,277 | | | $ | 197,829 | | Fair Value as of December 31, 2020 | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Advance on swap appreciation | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
The Trading Companies have invested in the following swaps as of December 31, 2018.2019. | | XXXIV Balanced select swap | | XXXV Diversified select swap | | XXXVII L/S select swap | | Brevan Howard | | | XXXIV Balanced select swap | | XXXV Diversified select swap | | XXXVII L/S select swap | | Brevan Howard | | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | | Total Return Swap | | Total Return Swap | | Total Return Swap | | Total Return Swap | | Counterparty | | DeutscheBank AG | | DeutscheBank AG | | DeutscheBank AG | | DeutscheBank AG | | | Deutsche Bank AG | | Deutsche Bank AG | | Deutsche Bank AG | | Deutsche Bank AG | | Notional Amount | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | | $ | 7,420,403 | | | $ | 1,761,834 | | | $ | 653,610 | | | $ | 2,072,056 | | Termination Date | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 7/31/2023 | | | | 3/27/2023 | | Cash Collateral | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 978,950 | | | $ | 86,000 | | | $ | 86,000 | | | $ | 29,950 | | | $ | 975,450 | | Swap Value | | $ | 10,708,908 | | | $ | 5,834,414 | | | $ | 449,152 | | | $ | 1,976,494 | | | $ | 11,858,754 | | | $ | 6,298,583 | | | $ | 332,571 | | | $ | 1,912,559 | | Investee Returns | | Total Returns | | | Total Returns | | | Total Returns | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | | | Total Returns | | Realized Gain/(Loss) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Change in Unrealized Gain/(Loss) | | $ | 1,453,948 | | | $ | 643,941 | | | $ | 82,063 | | | $ | (138,924 | ) | | $ | 1,149,846 | | | $ | 464,169 | | | $ | (116,581 | ) | | $ | (67,435 | ) | Fair Value as of December 31, 2018 | | $ | 10,794,908 | | | $ | 5,920,414 | | | $ | 479,102 | | | $ | 2,955,444 | | | Fair Value as of December 31, 2019 | | | $ | 11,944,754 | | | $ | 6,384,583 | | | $ | 362,521 | | | $ | 2,888,009 | | Advance on swap appreciation | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) | | $ | (6,176,555 | ) | | $ | (4,000,000 | ) | | $ | (115,000 | ) | | $ | (1,900,000 | ) |
5. Financial Highlights The following information presents the financial highlights of the Trading Companies for the years ended December 31, 2020, December 31, 2019 2018, 2017.and 2018. | | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company I LLC | | | Company II LLC | | | Company XV, LLC (1) | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Investment Gain | | | 1.55 | % | | | 1.15 | % | | | 0.33 | % | | | 4.97 | % | | | 1.23 | % | | | 0.36 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Return | | | 0.27 | % | | | -12.39 | % | | | -6.34 | % | | | -100.00 | % | | | -11.52 | % | | | 37.39 | % | | | 0.00 | % | | | 0.00 | % | | | -10.32 | % |
| | Frontier Trading | | | Frontier Trading | | | Frontier Trading | | | | Company I LLC | | | Company II LLC | | | Company XXXIV, LLC | | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Investment Gain | | | 0.88 | % | | | 1.55 | % | | | 1.15 | % | | | 0.00 | % | | | 4.97 | % | | | 1.23 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | Total Return | | | 114.13 | % | | | 0.27 | % | | | -12.39 | % | | | 0.00 | % | | | -100.00 | % | | | -11.52 | % | | | -0.61 | % | | | 24.90 | % | | | 111.81 | % |
| | Frontier Trading | | Frontier Trading | | | Frontier Trading | | Frontier Trading | | Frontier Trading | | | | Company XXXIV, LLC | | | Company XXXV, LLC | | | Company XXXV, LLC | | | Company XXXVII, LLC | | | Company XXXVIII, LLC | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2020 | | | 12/31/2019 | | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Investment Gain | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Return | | | 24.90 | % | | | 111.81 | % | | | 0.63 | % | | | 24.17 | % | | | 220.14 | % | | | -1.23 | % | | | 19.32 | % | | | 24.17 | % | | | 220.14 | % | | | -497.38 | % | | | -32.02 | % | | | 29.10 | % | | | 191.44 | % | | | -7.99 | % | | | -44.04 | % |
| | Frontier Trading | | Frontier Trading | | Frontier Trading | | | Frontier Trading | | | | Company XXXVII, LLC | | | Company XXXVIII, LLC | | | Company XXXIX, LLC | | | Company XXXIX, LLC | | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2019 | | | 12/31/2018 | | | 12/31/2017 | | | 12/31/2020 | | 12/31/2019 | | 12/31/2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net Investment Gain | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Return | | | -32.02 | % | | | 29.10 | % | | | 14.83 | % | | | -7.99 | % | | | -44.04 | % | | | -5.85 | % | | | -6.39 | % | | | -11.63 | % | | | 7.25 | % | | | -1871.86 | % | | | -6.39 | % | | | -11.63 | % |
(1) Trading Company XV ceased trading operations May 9, 2017
| (1) | Trading Company XXXIX, LLC ceased trading operations May 30,2020 |
| (2) | Trading Company XXXVII, LLC ceased trading operations December 21, 2020 |
| (3) | Trading Company XXXV, LLC ceased trading operations December 21, 2020 |
| (4) | Trading Company XXXIV, LLC ceased trading operations December 21, 2020 |
6. Investments in Private Investment Companies Investments in private investment companies represent cash and open trade equity invested in the private investment companies as well as the cumulative trading profits or losses allocated to the Trust by the private investment companies. Private investment companies allocate trading profits or losses on the basis of the proportion of the Trading Company’s capital allocated for trading to the private investment company, which bears no relationship to the amount of cash invested by the Trading Company in the private investment companies. Investments in private investment companies are valued using the NAV provided by the underlying private investment. As of December 31, 2019,2020, Frontier Trading Company XXXVIII, LLC’s investment into Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC had a fair value of $157,775.$89,030. For the year ended December 31, 2019,2020, Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC incurred $0 in trading commissions and had $(190,064)$20,941 and $154,155$(89,686) in realized loss and unrealized trading gains, respectively, for a net loss of $35,909.$68,745. Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC allows for daily redemptions upon 24 hours written notice. There are no liquidity restrictions. 7. Derivative Instruments and Hedging Activities The Trading Companies’ 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 Trading Companies do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trading Companies’ derivatives by instrument types as of December 31, 20192020 and 20182019 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trading Companies’ positions in swap contracts.
swap. The following tables summarize the monthly averages of futures contracts bought and sold for each respective Trading Company: For the Year Ended December 31, 2019
For the Year Ended December 31, 2020 | | | | | | | | Monthly average contracts: | | Bought | | | Sold | | Frontier Balanced Fund | | | 613 | | | | 612 | |
Monthly average contracts:
For the Year Ended December 31, 2019 | | | | | | | | Monthly average contracts: | | Bought | | | Sold | | Frontier Balanced Fund I LLC | | | 1,209 | | | | 1,409 | | Frontier Balanced Fund II LLC | | | 112 | | | | 106 | |
| | Bought | | | Sold | | Frontier Trading Company I LLC | | | 1,209 | | | | 1,409 | | Frontier Trading Company II LLC | | | 112 | | | | 106 | |
For the Year Ended December 31, 2018
Monthly average contracts:
| | Bought | | | Sold | | Frontier Trading Company I LLC | | | 2,183 | | | | 1,971 | | Frontier Trading Company II LLC | | | 501 | | | | 511 | |
For the Year Ended December 31, 2017
Monthly average contracts:
| | Bought | | | Sold | | Frontier Trading Company I LLC | | | 1,070 | | | | 1,008 | | Frontier Trading Company II LLC | | | 1,998 | | | | 1,980 | | Frontier Trading Company XV LLC | | | 4,019 | | | | 4,191 | | Frontier Trading Company XXXVIII LLC | | | 583 | | | | 547 | |
For the Year Ended December 31, 2018 | | | | | | | | Monthly average contracts: | | Bought | | | Sold | | Frontier Balanced Fund I LLC | | | 2,183 | | | | 1,971 | | Frontier Balanced Fund II LLC | | | 501 | | | | 511 | |
The following tables summarize the trading revenues for the years ended December 31, 2020, December 31, 2019, 2018 and 2017,2018, approximately by sector: Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 20192020 | | | Frontier Balanced Fund I LLC | | Type of contract | | Frontier Trading Company I LLC | | Frontier Trading Company II LLC | | | | | Metals | | $ | (71,367 | ) | | $ | (620,214 | ) | | Agriculturals | | | $ | 147,013 | | Currencies | | | (104,139 | ) | | | (449,623 | ) | | | 90,903 | | Energies | | | 124,324 | | | | (555,214 | ) | | | 118,920 | | Agriculturals | | | 230,294 | | | | (14,472 | ) | | Interest rates | | | (43,735 | ) | | | 317,037 | | | | 59,037 | | Metals | | | | 217,301 | | Stock indices | | | 151 | | | | (34,264 | ) | | | (34,911 | ) | Realized trading income/(loss)(1) | | $ | 135,528 | | | $ | (1,356,750 | ) | | $ | 598,263 | |
Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 20182019 | | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | Type of contract | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | | | | | | Metals | | $ | (20,839 | ) | | $ | 168,412 | | | $ | (71,367 | ) | | $ | (620,214 | ) | Currencies | | | (374,202 | ) | | | (704,374 | ) | | | (104,139 | ) | | | (449,623 | ) | Energies | | | 74,850 | | | | 1,325,096 | | | | 124,324 | | | | (555,214 | ) | Agriculturals | | | (62,765 | ) | | | 117,214 | | | | 230,294 | | | | (14,472 | ) | Interest rates | | | 11,010 | | | | 741,929 | | | | (43,735 | ) | | | 317,037 | | Stock indices | | | (4,991 | ) | | | (589,832 | ) | | | 151 | | | | (34,264 | ) | Realized trading income/(loss)(1) | | $ | (376,937 | ) | | $ | 1,058,445 | | | $ | 135,528 | | | $ | (1,356,750 | |
Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 20172018 | | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | Type of contract | | Frontier Trading Company I LLC | | Frontier Trading Company II LLC | | Frontier Trading Company XV LLC | | | | | | | Metals | | $ | (134,275 | ) | | $ | (1,603,451 | ) | | $ | (143,520 | ) | | $ | (20,839 | ) | | $ | 168,412 | | Currencies | | | 131,327 | | | | (1,711,164 | ) | | | (290,393 | ) | | | (374,202 | ) | | | (704,374 | ) | Energies | | | 108,921 | | | | (1,130,286 | ) | | | (485,509 | ) | | | 74,850 | | | | 1,325,096 | | Agriculturals | | | (551,945 | ) | | | 697,796 | | | | 162,919 | | | | (62,765 | ) | | | 117,214 | | Interest rates | | | (381,197 | ) | | | (1,574,108 | ) | | | (894,051 | ) | | | 11,010 | | | | 741,929 | | Stock indices | | | 445,257 | | | | 9,654,901 | | | | 1,502,370 | | | | (4,991 | ) | | | (589,832 | ) | Realized trading income/(loss)(1) | | $ | (381,912 | ) | | $ | 4,333,688 | | | $ | (148,184 | ) | | $ | (376,937 | ) | | $ | 1,058,445 | |
Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 20192020 Type of contract | | Frontier Trading Company I LLC | | Frontier Trading Company II LLC | | | Frontier Trading Company I LLC | | Metals | | $ | 26,498 | | | $ | 489,892 | | | $ | (1,619 | ) | Currencies | | | (127,586 | ) | | | 228,130 | | | | 14,159 | | Energies | | | 9,624 | | | | 212,280 | | | | (25,335 | ) | Agriculturals | | | (37,494 | ) | | | (55,288 | ) | | | 27,115 | | Interest rates | | | (4,922 | ) | | | (226,662 | ) | | | 4,660 | | Stock indices | | | - | | | | 54,311 | | | | 11,486 | | Change in unrealized trading income/(loss)(1) | | $ | (133,880 | ) | | $ | 702,663 | | | $ | 30,465 | |
Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 20182019 Type of contract | | Frontier Trading Company I LLC | | Frontier Trading Company II LLC | | | Frontier Trading Company I LLC | | | Frontier Trading Company II LLC | | Metals | | $ | (16,846 | ) | | $ | (66,658 | ) | | $ | 26,498 | | | $ | 489,892 | | Currencies | | | (124,436 | ) | | | (558,209 | ) | | | (127,586 | ) | | | 228,130 | | Energies | | | (73,724 | ) | | | (569,115 | ) | | | 9,624 | | | | 212,280 | | Agriculturals | | | 207,810 | | | | 287,186 | | | | (37,494 | ) | | | (55,288 | ) | Interest rates | | | 14,424 | | | | (1,050,014 | ) | | | (4,922 | ) | | | (226,662 | ) | Stock indices | | | 7,107 | | | | (202,188 | ) | | | - | | | | 54,311 | | Change in unrealized trading income/(loss)(1) | | $ | 14,335 | | | $ | (2,158,999 | ) | | $ | (133,880 | ) | | $ | 702,663 | |
Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 20172018 | | | Frontier Trading | | Frontier Trading | | Type of contract | | Frontier Trading Company I LLC | | Frontier Trading Company II LLC | | Frontier Trading Company XV LLC | | | Company I LLC | | | Company II LLC | | Metals | | $ | (115,993 | ) | | $ | 730,004 | | | $ | (57,373 | ) | | $ | (16,846 | ) | | $ | (66,658 | ) | Currencies | | | 81,844 | | | | (183,821 | ) | | | (151,187 | ) | | | (124,436 | ) | | | (558,209 | ) | Energies | | | 78,514 | | | | 426,534 | | | | (176,868 | ) | | | (73,724 | ) | | | (569,115 | ) | Agriculturals | | | (59,986 | ) | | | (127,143 | ) | | | (26,685 | ) | | | 207,810 | | | | 287,186 | | Interest rates | | | (50,861 | ) | | | (259,298 | ) | | | (214,247 | ) | | | 14,424 | | | | (1,050,014 | ) | Stock indices | | | 6,424 | | | | (168,116 | ) | | | (59,662 | ) | | | 7,107 | | | | (202,188 | ) | Change in unrealized trading income/(loss)(1) | | $ | (60,058 | ) | | $ | 418,160 | | | $ | (686,022 | ) | | $ | 14,335 | | | $ | (2,158,999) | |
Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from FCMsfutures commissions merchants (each, an “FCM”) are subject to master netting arrangements and collateral arrangements and meet the U.S. GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition. The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of December 31, 20192020 and 2018.December 31, 2019. As of December 31, 2020 Frontier Trading Company I, LLC | | Gross Amounts of recognized Assets | | | Gross Amounts of recognized Liabilities | | | Net Amounts of Assets and Liabilities Presented in the Statements of Financial Condition | | Open Trade Equity/(Deficit) | | $ | 814,743 | | | $ | (714,303 | ) | | $ | 100,440 | |
As of December 31, 2019 | | Gross Amounts of recognized Assets | | | Gross Amounts of recognized Liabilities | | | Net Amounts of Assets and Liabilities Presented in the Statements of Financial Condition | | | | | | | | | | | | Frontier Trading Company I, LLC | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 213,905 | | | $ | (97,721 | ) | | $ | 116,184 | | | | | | | | | | | | | | | Frontier Trading Company XXXIV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 11,944,753 | | | $ | - | | | $ | 11,944,753 | | | | | | | | | | | | | | | Frontier Trading Company XXXV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 6,384,583 | | | $ | - | | | $ | 6,384,583 | | | | | | | | | | | | | | | Frontier Trading Company XXXVII, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 362,521 | | | $ | - | | | $ | 362,521 | | | | | | | | | | | | | | | Frontier Trading Company XXXIX, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 2,888,009 | | | $ | - | | | $ | 2,888,009 | |
As of December 31, 2018
| | Gross Amounts of recognized Assets | | | Gross Amounts of recognized Liabilities | | | Net Amounts of Assets and Liabilities Presented in the Statements of Financial Condition | | Frontier Trading Company I, LLC | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 213,905 | | | $ | (97,721 | ) | | $ | 116,184 | | | | | | | | | | | | | | | Frontier Trading Company II, LLC | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | - | | | $ | - | | | $ | - | | | | | | | | | | | | | | | Frontier Trading Company XXXIV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 11,944,753 | | | $ | - | | | $ | 11,944,753 | | | | | | | | | | | | | | | Frontier Trading Company XXXV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 6,384,583 | | | $ | - | | | $ | 6,384,583 | | | | | | | | | | | | | | | Frontier Trading Company XXXVII, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 362,521 | | | $ | - | | | $ | 362,521 | | | | | | | | | | | | | | | Frontier Trading Company XXXIX, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 2,888,009 | | | $ | - | | | $ | 2,888,009 | |
| | Gross Amounts of recognized Assets | | | Gross Amounts of recognized Liabilities | | | Net Amounts of Assets and Liabilities Presented in the Statements of Financial Condition | | | | | | | | | | | | Frontier Trading Company I, LLC | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 348,879 | | | $ | (128,220 | ) | | $ | 220,659 | | | | | | | | | | | | | | | Frontier Trading Company II, LLC | | | | | | | | | | | | | Open Trade Equity/(Deficit) | | $ | 2,895,178 | | | $ | (3,514,026 | ) | | $ | (618,848 | ) | | | | | | | | | | | | | | Frontier Trading Company XXXIV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 10,794,908 | | | $ | - | | | $ | 10,794,908 | | | | | | | | | | | | | | | Frontier Trading Company XXXV, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 5,920,414 | | | $ | - | | | $ | 5,920,414 | | | | | | | | | | | | | | | Frontier Trading Company XXXVII, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 479,102 | | | $ | - | | | $ | 479,102 | | | | | | | | | | | | | | | Frontier Trading Company XXXIX, LLC | | | | | | | | | | | | | Swap Contracts | | $ | 2,955,444 | | | $ | - | | | $ | 2,955,444 | |
7. Trading Activities and Related Risks The purchase and sale of futures and options on futures contracts require margin deposits with FCMs.futures commission merchants (each, an “FCM”). Additional deposits may be necessary for any loss on contract value. The CEA 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 Statement of Financial Condition, may result in future obligation or loss in excess of the amount paid by the trading Companies 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 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. Management 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. Management 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. Management has established procedures to actively monitor and minimize market and credit risks. Investors in units of the Frontier Funds 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. 8. Indemnifications The Trading Companies have 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 Trading Companies have had no prior claims or payments pursuant to these agreements. The Trading Companies’ individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trading Companies that have not yet occurred. However, based on experience the Trading Companies expect the risk of loss to be remote. 9. Subsequent Events Effective February 1, 2020,Management evaluated subsequent events till the administratordate of issuance of this report and transfer agency provider of the Series was changed from Gemini Hedge Fund Services, LLC to Sudrania Fund Services Corp. Sudrania Fund Services Corp (the "Administrator") serves as the administrator and registrar and transfer agent to the Series and performs certain administrative and accounting services for the Series. The Administrator is paid customary fees for the servicesnoted that it provides to the Series.there were none that required disclosure.
Gemini Alternative Funds, LLC, an affiliate of Gemini Hedge Fund Services, LLC continues to sponsor and operate each Master Fund.
Frontier Balanced Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Balanced Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Balanced Fund are:
Aspect Capital Limited
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Balanced Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Balanced Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Balanced Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 19 | % | Crabel Capital Management, LLC | | | 7 | % | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 6 | % | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 12 | % | H2O AM LLP | | | 17 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2 | % | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 14 | % | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 4 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 12 | % | Wimmer Horizon LLP | | | 7 | % |
Frontier Diversified Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Diversified Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Diversified Fund are:
| ● | Crabel Capital Management, LLC |
| ● | Doherty Advisors, LLC (Non-Major) |
| ● | Landmark Trading Company (Non-Major) |
| ● | Quantitative Investment Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Diversified Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Diversified Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Diversified Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 23 | % | Crabel Capital Management, LLC | | | 7 | % | Doherty Advisors, LLC (accessed via Galaxy Plus Fund – Doherty Feeder Fund (528) LLC) | | | 7 | % | FORT, L.P. (accessed via Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC) | | | 17 | % | H2O AM LLP | | | 12 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 2 | % | Quantitative Investment Management, LLC (accessed via Galaxy Plus Fund – QIM Feeder Fund (526) LLC) | | | 12 | % | Quest Partners LLC (accessed via Galaxy Plus Fund – Quest Feeder Fund (517) LLC and Galaxy Plus Fund – Quest FIT Feeder Fund (531) LLC)) | | | 7 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 13 | % |
Frontier Masters Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Masters Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Masters Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Masters Fund are:
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC and Transtrend, B.V., the managing owner has made the following allocation adjustments to Frontier Masters Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Masters Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Masters Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | Aspect Capital Limited (accessed via Galaxy Plus Fund – Aspect Feeder Fund (532) LLC) | | | 81 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 19 | % |
Frontier Long/Short Commodity Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Emil Van Essen, LLC (“Emil Van Essen”), a major commodity trading advisor for the Frontier Long/Short Commodity Fund. Emil Van Essen was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Long/Short Commodity Fund are:
| ● | Landmark Trading Company (Non-major) |
| ● | Rosetta Capital Management, LLC |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Emil Van Essen, LLC, the managing owner has made the following allocation adjustments to Frontier Long/Short Commodity Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Long/Short Commodity Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Long/Short Commodity Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | JE Moody & Company | | | 30 | % | Landmark Trading Company (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 7 | % | Rosetta Capital Management, LLC (accessed via Galaxy Plus Fund – LRR Feeder Fund (522) LLC) | | | 40 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 23 | % |
Frontier Select Fund
Effective March 12, 2020, Frontier Fund Management, the managing owner of the Registrant, removed Transtrend B.V. (“Transtrend”), a major commodity trading advisor for the Frontier Select Fund. Transtrend was accessed through the Galaxy Plus Managed Account platform.
The current commodity trading advisors, including those advising commodity pools on the Galaxy Plus Managed Account Platform and/or reference programs for the Frontier Select Fund are:
| ● | BH-DG Systematic Trading, LLP |
| ● | Welton Investment Partners, LLC |
As a result of the removal of Transtrend B.V., the managing owner has made the following allocation adjustments to Frontier Select Fund.
As of March 13, 2020, the allocation of the assets of the Frontier Select Fund between the trading advisors was as follows (however, the actual allocation among trading advisors for the Frontier Select Fund will vary based on the relative trading performance of the trading advisors and/or reference programs, and the managing owner may otherwise vary such percentages from time to time in its sole discretion):
Advisor | | Allocation as of March 13, 2020
(expressed as a percentage of aggregate notional exposure to commodity trading programs) | | BH-DG Systematic Trading, LLP | | | 48 | % | Welton Investment Partners, LLC (accessed via Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC) | | | 52 | % |
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2019 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—TTFORT Contrarian Feeder Fund (531)(510) LLC, Galaxy Plus Fund—Quest Feeder Fund (517) LLC, Galaxy Plus Fund—LRR Feeder Fund (522) LLC, Galaxy Plus Fund—QIM Feeder Fund (526) LLC, Galaxy Plus Fund—Aspect Feeder Fund (532) LLC, and Galaxy Plus Fund—Welton GDP Feeder Fund (538) LLC and Galaxy Plus Fund—JL Cyril Systemic Feeder Fund (547) LLC which comprise the statements of financial condition as of December 31, 2019,2020, and the related statements of operations and changes in members’ equity for the year thenperiods ended December 31, 2020, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audits.audit. We conducted our auditsaudit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. THE POWER OF BEING UNDERSTOOD
AUDIT | TAX | CONSULTING
RSM US LLP is the U.S. member firm of RSM International, a global network of independent audit, tax, and consulting firms. Visit rsmus.com/aboutus for more information regarding RSM US LLP and RSM International.
Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—TTFORT Contrarian Feeder Fund (531)(510) LLC, Galaxy Plus Fund—Quest Feeder Fund (517) LLC, Galaxy Plus Fund—LRR Feeder Fund (522) LLC, Galaxy Plus Fund—QIM Feeder Fund (526) LLC, Galaxy Plus Fund—Aspect Feeder Fund (532) LLC, and Galaxy Plus Fund—Welton GDP Feeder Fund (538) LLC and Galaxy Plus Fund—JL Cyril Systemic Feeder Fund (547) LLC as of December 31, 2019,2020, and the results of their operations and changes in members’ equity for the yearperiods then ended in accordance with accounting principles generally accepted in the United States of America. Emphasis of Matter Regarding Going Concern
The accompanying financial statements have been prepared assuming that the Galaxy Plus Fund—TT Feeder Fund (531) LLC (the Fund) will continue as a going concern. As discussed in Note 1 to the financial statements, the Fund’s investor intends to redeem all of its investment in the Fund effective April 1, 2020, which raises substantial doubt about the Fund’s ability to continue as a going concern. Management’s plans with regard to this matter are also described in Note 1 to the financial statements. The financial statements do not include any adjustments that might result from the outcome of this uncertainty. Our opinion is not modified with respect to this matter./s/ RSM US LLP
Denver, Colorado March 30, 2020 31, 2021
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of Financial Condition (continued) December 31, 20192020 (Expressed in U.S. Dollars) | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | Galaxy Plus Fund LLC - 526 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | Galaxy Plus Fund LLC - 547 Series | | Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment in Master Fund - at fair value | | $ | 1,829,393 | | | $ | 12,080,187 | | | $ | 6,572,633 | | | $ | 4,302,648 | | | $ | 1,667,056 | | | $ | 469,490 | | | $ | 2,769,981 | | | $ | 7,459,493 | | | $ | 5,586,610 | | | $ | 3,796,134 | | Cash | | | 5,770 | | | | 10,172 | | | | 82,282 | | | | 657,022 | | | | 25,310 | | | | 173,126 | | | | 675,383 | | | | 88,455 | | | | 137,795 | | | | 17,709 | | Receivable from Master | | | - | | | | 47,752 | | | | - | | | Receiveble from Managing Owner | | | 2,307 | | | | - | | | | | | | Other assets | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | 2,937 | | Receivable from Master Fund | | | | 37,590 | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Subscription receivable | | | | 16,361 | | | | 1,562 | | | | - | | | | 5,994 | | | | - | | | | - | | | | - | | Receivable from Sponsor | | | 1,604 | | | | 180 | | | | 244 | | | | 244 | | | | 4,872 | | | | - | | | | 1,968 | | | | 171 | | | | 244 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total assets | | $ | 1,839,074 | | | $ | 12,138,291 | | | $ | 6,655,159 | | | $ | 5,013,865 | | | $ | 1,698,800 | | | $ | 642,616 | | | $ | 3,453,326 | | | $ | 7,548,119 | | | $ | 5,724,649 | | | $ | 3,816,780 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liabilities and members’ equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Redemptions payble | | $ | - | | | $ | - | | | $ | 65 | | | Payable to Master Fund | | | 10,424 | | | | - | | | | 71,053 | | | $ | - | | | $ | 31,566 | | | $ | 147,901 | | | $ | 408,675 | | | $ | 66,656 | | | $ | 120,307 | | | $ | 16,406 | | Redemptions payable | | | | - | | | | - | | | | 20,097 | | | | - | | | | - | | | | 65 | | | | - | | Accrued incentive fees | | | - | | | | 13,074 | | | | - | | | | - | | | | 8,356 | | | | - | | | | 34,591 | | | | 15,407 | | | | 226,458 | | | | - | | Accrued management fees | | | 1,793 | | | | 61,619 | | | | 14,680 | | | | 25,261 | | | | 4,268 | | | | 4,546 | | | | 3,415 | | | | 36,383 | | | | 12,681 | | | | 10,260 | | Accrued sponsor fees | | | 4,790 | | | | 10,623 | | | | 3,472 | | | | 2,856 | | | | 143 | | | | - | | | | - | | | | 1,777 | | | | 1,369 | | | | 1,829 | | Accrued operating and professional expenses | | | | - | | | | - | | | | 4,469 | | | | 2,919 | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total liabilities | | | 17,007 | | | | 85,316 | | | | 89,270 | | | | 28,117 | | | | 44,333 | | | | 177,013 | | | | 449,600 | | | | 120,223 | | | | 360,880 | | | | 28,495 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Members’ equity | | | 1,822,067 | | | | 12,052,975 | | | | 6,565,889 | | | | 4,985,748 | | | | 1,654,467 | | | | 465,603 | | | | 3,003,726 | | | | 7,427,896 | | | | 5,363,769 | | | | 3,788,285 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total liabilities and members’ equity | | $ | 1,839,074 | | | $ | 12,138,291 | | | $ | 6,655,159 | | | $ | 5,013,865 | | | $ | 1,698,800 | | | $ | 642,616 | | | $ | 3,453,326 | | | $ | 7,548,119 | | | $ | 5,724,649 | | | $ | 3,816,780 | |
See notes to financial statements.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of Operations (continued) For the year ended December 31, 20192020 (Expressed in U.S. Dollars) | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | �� | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | Galaxy Plus Fund LLC - 526 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | Galaxy Plus Fund LLC - 547 Series | | Net investment income (loss) allocated from Master Fund: | | | | | | | | | | | | | | | | | | | | | | | Interest income | | $ | 30,956 | | | $ | 198,474 | | | $ | 159,430 | | | $ | - | | | $ | 782 | | | $ | - | | | $ | 15,840 | | | $ | 37,693 | | | $ | 1,986 | | | $ | - | | Bank fees | | | - | | | | - | | | | - | | | Interest expense | | | | (2,824 | ) | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment income (loss) allocated from Master Fund | | | 30,956 | | | | 198,474 | | | | 159,430 | | | | (2,824 | ) | | | 782 | | | | - | | | | 15,840 | | | | 37,693 | | | | 1,986 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fund expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Operating expenses | | | 7,045 | | | | 758 | | | | 1,754 | | | | 3,789 | | | | 1,635 | | | | 3,401 | | | | 1,791 | | | | 2,219 | | | | 1,814 | | | | 787 | | Management fee | | | 76,742 | | | | 708,696 | | | | 303,482 | | | | 121,471 | | | | 24,099 | | | | 54,072 | | | | 59,931 | | | | 586,987 | | | | 167,484 | | | | 59,615 | | Incentive fee | | | 1,126 | | | | 970,343 | | | | 497,354 | | | | 2,384 | | | | 8,356 | | | | 30 | | | | 24,403 | | | | 63,176 | | | | 506,509 | | | | - | | Sponsor fee | | | 4,934 | | | | 70,442 | | | | 34,528 | | | | 34,410 | | | | 5,968 | | | | 3,094 | | | | 23,883 | | | | 55,976 | | | | 18,976 | | | | 9,574 | | Professional fee | | | 13,238 | | | | 13,307 | | | | 13,238 | | | | 15,576 | | | | 15,576 | | | | 49,369 | | | | 15,576 | | | | 15,576 | | | | 15,576 | | | | 773 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total fund expenses | | | 103,085 | | | | 1,763,546 | | | | 850,356 | | | | 177,630 | | | | 55,634 | | | | 109,966 | | | | 125,584 | | | | 723,934 | | | | 710,359 | | | | 70,749 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total net investment loss | | | (72,129 | ) | | | (1,565,072 | ) | | | (690,926 | ) | | | (180,454 | ) | | | (54,852 | ) | | | (109,966 | ) | | | (109,744 | ) | | | (686,241 | ) | | | (708,373 | ) | | | (70,749 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions allocated from Master Fund: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized gain/(loss) from investments and foreign currency transactions | | | 261,716 | | | | 4,019,429 | | | | 2,743,610 | | | | (444,806 | ) | | | 248,271 | | | | (491,764 | ) | | | (556,592 | ) | | | (629,646 | ) | | | 2,784,112 | | | | (2,040,206 | ) | Net increase/(decrease) in unrealized appreciation(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies | | | (168,186 | ) | | | 77,538 | | | | (1,145,672 | ) | | | 313,788 | | | | 126,050 | | | | 18,387 | | | | (265,249 | ) | | | 726,912 | | | | 406,194 | | | | 307,528 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized and unrealized gain (loss) on investments and foreign currency transactions allocated from investment in Master Fund | | | 93,530 | | | | 4,096,967 | | | | 1,597,938 | | | | (131,018 | ) | | | 374,321 | | | | (473,377 | ) | | | (821,841 | ) | | | 97,266 | | | | 3,190,306 | | | | (1,732,678 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase (decrease) in members’ equity resulting from operations | | $ | 21,401 | | | $ | 2,531,895 | | | $ | 907,012 | | | $ | (311,472 | ) | | $ | 319,469 | | | $ | (583,343 | ) | | $ | (931,585 | ) | | $ | (588,975 | ) | | $ | 2,481,933 | | | $ | (1,803,427 | ) |
See notes to financial statements.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of Changes in Members’ Equity (continued) For the year ended December 31, 20192020 (Expressed in U.S. Dollars) | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | Galaxy Plus Fund LLC - 526 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | Galaxy Plus Fund LLC - 547 Series | | Increase/(decrease) in members’ equity from operations: | | | | | | | | | | | | | | | | | | | | | | | Total net investment loss | | $ | (72,129 | ) | | $ | (1,565,072 | ) | | $ | (690,926 | ) | | $ | (180,454 | ) | | $ | (54,852 | ) | | $ | (109,966 | ) | | $ | (109,744 | ) | | $ | (686,241 | ) | | $ | (708,373 | ) | | $ | (70,749 | ) | Net realized gain/(loss) from investments and foreign currency transactions | | | 261,716 | | | | 4,019,429 | | | | 2,743,610 | | | | (444,806 | ) | | | 248,271 | | | | (491,764 | ) | | | (556,592 | ) | | | (629,646 | ) | | | 2,784,112 | | | | (2,040,206 | ) | Net increase/(decrease) in unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies | | | (168,186 | ) | | | 77,538 | | | | (1,145,672 | ) | | | 313,788 | | | | 126,050 | | | | 18,387 | | | | (265,249 | ) | | | 726,912 | | | | 406,194 | | | | 307,528 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in members’ equity from operations | | | 21,401 | | | | 2,531,895 | | | | 907,012 | | | | (311,472 | ) | | | 319,469 | | | | (583,343 | ) | | | (931,585 | ) | | | (588,975 | ) | | | 2,481,933 | | | | (1,803,427 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Increase/(decrease) in members’ equity from capital transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Proceeds from issuance of capital | | | 958,457 | | | | 11,631,776 | | | | 2,610,270 | | | | 750,395 | | | | 554,695 | | | | 201,396 | | | | 1,053,715 | | | | 1,877,596 | | | | 1,052,968 | | | | 7,055,547 | | Payments for redemption of capital | | | (1,753,297 | ) | | | (3,215,603 | ) | | | (15,345,854 | ) | | | (1,881,271 | ) | | | (252,657 | ) | | | (150,898 | ) | | | (2,443,496 | ) | | | (5,913,700 | ) | | | (4,737,021 | ) | | | (1,463,835 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net increase/(decrease) in members’ equity from capital transactions | | | (794,840 | ) | | | 8,416,173 | | | | (12,735,584 | ) | | | (1,130,876 | ) | | | 302,038 | | | | 50,498 | | | | (1,389,781 | ) | | | (4,036,104 | ) | | | (3,684,053 | ) | | | 5,591,712 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total net increase/(decrease) in members’ equity | | | (773,439 | ) | | | 10,948,068 | | | | (11,828,572 | ) | | | (1,442,348 | ) | | | 621,507 | | | | (532,845 | ) | | | (2,321,366 | ) | | | (4,625,079 | ) | | | (1,202,120 | ) | | | 3,788,285 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Members’ equity, beginning of the year | | | 2,595,506 | | | | 1,104,907 | | | | 18,394,461 | | | | 6,428,096 | | | | 1,032,960 | | | | 998,448 | | | | 5,325,092 | | | | 12,052,975 | | | | 6,565,889 | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Members’ equity, end of the year | | $ | 1,822,067 | | | $ | 12,052,975 | | | $ | 6,565,889 | | | $ | 4,985,748 | | | $ | 1,654,467 | | | $ | 465,603 | | | $ | 3,003,726 | | | $ | 7,427,896 | | | $ | 5,363,769 | | | $ | 3,788,285 | |
See notes to financial statements.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure
| Note 1. | Organization and Structure |
Galaxy Plus Fund LLC (the “Onshore Platform”) was formed in Delaware as a series limited liability company on April 14, 2014. The Onshore Platform is part of the Galaxy Plus Managed Account Platform (the “Platform”). Both are sponsored by Gemini Alternatives Funds, LLC (the “Sponsor” or “GAF”) as a means of making available to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”) a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”) in an investment environment which facilitates access to multiple Advisors without having to negotiate individually with any Advisor, meet their account minimums, or establish futures and forward dealing accounts. Each of the Onshore Platform’s respective series (each a “Fund”, collectively the “Funds”) invest in a separately formed Delaware limited liability company (each a “Master Fund”, collectively the “Master Funds”). Unless specified otherwise, each Master Fund is managed by a different Advisor. Collectively, the Advisors implement a wide range of trading strategies, trade entirely independently from each other and are not affiliated with the Sponsor. The structure of the Platform permits the Funds to offer Investors a choice of trading leverage levels as well as the ability to adjust such levels in response to changes in Advisor performance, general market conditions and the Investor’s own portfolio objectives. Each Investor’s selected trading leverage is managed by the Sponsor by allocating the Investor’s subscription proceeds between the Funds’ bank accounts and the corresponding Master Funds. Galaxy Plus Fund SPC (the “Offshore Platform”) is part of the Platform and is sponsored by GAF primarily for non-U.S. Investors. The Offshore Platform operates in substantially the same manner as the Onshore Platform and also invests in the same Master Funds. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Onshore Platform. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Onshore Platform including the authority to select the administrator for the Onshore Platform. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.Capitalized terms throughout these notes are defined in the LLC Agreement. In accordance with Delaware law, the assets held in each Fund shall be applied and held solely for the benefit of the members in such Fund and no member of another Fund shall have any claim or right to any asset allocated to another Fund. The assets of each Fund shall be applied solely to satisfy only that respective Fund’s liabilities. If an asset is not attributable to any particular Fund, the Sponsor shall have the discretion to determine the basis upon which such asset shall be allocated among the Funds and the Sponsor shall have the absolute discretion to vary such allocation. If the assets not attributable to any Fund give rise to any net profits, the Sponsor may, in its absolute discretion, allocate the net profits to any Fund.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements During 2019,2020, the Onshore Platform consisted, in part, of the Funds described below. The Funds listed, herein, contain Class EF interest. That interest was created specifically for a strategic investor (see Note 3). The Funds are considered significant subsidiaries of that strategic investor under S-X 3-09. The financial statement for each of the Master Funds referenced below are attached to this report and should be read in conjunction with each Fund’s financial statements. The financial statement for each of the Master Funds referenced below are attached to this report and should be read in conjunction with each Fund’s financial statements. Galaxy Plus Fund – TTFORT Contrarian Feeder Fund (531)(510) LLC (“531”510”) – On its inception date, May 10, 2017, 531August 6, 2015, 510 invested its assets in Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC, a Delaware limited liability company. As of December 31, 2019, 5312020, 510 owned 100% of its Master Fund. In March 2020, the Sponsor was notified that 531’s investor intends to redeem its equity from the Fund effective April 1, 2020 raising substantial doubt that the Fund will be able to continue as a going concern. The financial statements do not include any adjustments that might result from the outcome of this uncertainty. The Sponsor has elected to keep the Fund open and plans to find new seed capital so that trading can recommence. As a result, and based on the fact that a formal liquidation plan has not been adopted by the Sponsor, the Fund has not adopted the liquidation basis of accounting under FASB ASC 205-30Presentation of Financial Statements-Liquidation Basis of Accounting. Galaxy Plus Fund – Quest Feeder Fund (517) LLC (“517”) – On its inception date, June 29, 2016, 517 invested its assets in Galaxy Plus Fund – Quest Master Fund (517) LLC, a Delaware limited liability company. As of December 31, 2020, 517 owned 100% of its Master Fund. Galaxy Plus Fund – LRR Feeder Fund (522) LLC (“522”) – On its inception date, April 28, 2016, 522 invested its assets in Galaxy Plus Fund – LRR Master Fund (522) LLC, a Delaware limited liability company. As of December 31, 2020, 522 owned 100% of its Master Fund. Galaxy Plus Fund – QIM Feeder Fund (526) LLC (“526”) – On its inception date, June 22, 2016, 526 invested its assets in Galaxy Plus Fund – QIM Master Fund (526) LLC, a Delaware limited liability company. As of December 31, 2020, 526 owned 100% of its Master Fund. Galaxy Plus Fund – Aspect Feeder Fund (532) LLC (“532”) – On its inception date, December 16, 2016, 532 invested its assets in Galaxy Plus Fund – Aspect Master Fund (532) LLC, a Delaware limited liability company. As of December 31, 2019,2020, 532 owned 100% of its Master Fund. Galaxy Plus Fund – Welton GDP Feeder Fund (538) LLC (“538W”) – On its inception date, March 28, 2017, 538W invested its assets in Galaxy Plus Fund – Welton GDP Master Fund (538) LLC, a Delaware limited liability company. As of December 31, 2019,2020, 538W owned 100% of its Master Fund. Note 2. SummaryGalaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC (“547”) – On its inception date, June 25, 2020, 547 invested its assets in Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC, a Delaware limited liability company. As of Significant Accounting PoliciesDecember 31, 2020, 547 owned 100% of its Master Fund.
| Note 2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed in the preparation of the Onshore Platform’s financial statements. Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Funds are investment companies and follow the accounting and reporting guidance in FASB Accounting Standards Codification Topic 946. Investments:Each Fund invests its assets in its respective Master Fund.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements Investment in Master Fund: Each Fund’s investment in its respective Master Fund is carried at fair value and represents the Fund’s pro-rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The assets of each Master Fund are carried at fair value. At each valuation date, each Master Fund’s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the respective Fund, based on the Fund’s pro rata interest in the net assets of the Master Fund, and recorded in the respective Fund’s Statement of Operations. The financial statements of the Master Funds are attached to this report and should be read in conjunction with the Onshore Platform’s financial statements.
Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
Cash:The Funds maintain deposits with financial institutions in amounts that at times maybe in excess of federally insured limits. The amount of cash held at the financial institutions is determined by the Investors choice of trading leverage levels respective to the maximum trading level of the Funds, as determined by the Sponsor. The Funds do not believe they are exposed to any significant credit risk. Subscriptions received in advance:Subscriptions received in advance are subscriptions proceeds received for the purchase of capital effective subsequent to period end. Use of estimates:The preparation of financial statements in accordance with U.S. GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Interest income/expense: Interest income and expense is recognized on an accrual basis and includes the Master Fund’s interest income/expense from its broker that is allocated on a pro rata basis to the respective Fund. Allocation of income and gains and losses: Profits and losses for each accounting period are generally allocated, at the discretion of the Sponsor, pro-rata to the members based on their respective ownership percentage on the first day of the accounting period. Income taxes: The Onshore Platform evaluates tax positions taken or expected to be taken to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. For tax positions meeting the “more-likely-than-not” threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that had a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Funds have determined that there is no tax liability resulting from uncertain income tax positions taken or expect to be taken with respect to all open tax years. No income tax returns are currently under examination. The Funds’ U.S. Federal tax returns remain open for the periods since each Fund’s inception remain open.current and prior three years. The Funds are treated as partnerships for U.S. Federal income tax purposes and, as such, are generally not subject to U.S. Federal, state or local income taxes. The members of the Funds are liable for their share of all U.S. Federal, state, and local taxes, if any imposed on the net investment income and realized gains of the Funds. Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for the Onshore Platform. In addition, in the normal course of business, the Onshore Platform enters into contracts with vendors and others that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Onshore Platform. However, the Onshore Platform expects the risk of loss to be remote.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements Statement of cash flows: The Onshore Platform has elected not to provide statements of cash flows as permitted by U.S. GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Funds’ investments were carried at fair value and classified as Level 1 or Level 2 or2or were measured using the practical expedient measurements in accordance with FASB ASC 820; | | | |
| ● | The Funds had little or no debt during the period;year; | | | |
| ● | The Onshore Platform financial statements include statements of changes in members’ equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Onshore Platform may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.
Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
Note 3. Classes of Interest and Series
| Note 3. | Classes of Interest and Series |
Four different classes of Interests (“Interests”) are currently offered by each Fund: Class A, Class B, Class C, and Class EF Interests. Each Class is generally subject to different fees. Investors are eligible to receive Class A, Class B or Class C Interests depending on their aggregate Trading Level, as discussed in Note 5, on the Platform. Class A Interests are available to (i) Investors who make capital contributions with an assigned Trading Level of $25,000,000 or more, as aggregated across all Funds in which capital contributions are invested, (ii) other collective investment vehicles or commodity pools sponsored by the Sponsor or its affiliates, and (iii) such other Investors as the Sponsor may determine. Class A Interests are subject to a Sponsor Fee and Sales Commissions and other fees allocable to Class A Interests as disclosed in the LLC Agreement. Class B Interests are available to (i) Investors who make capital contributions with an assigned Trading Level between $5,000,000 and $24,999,999, as aggregated across all Funds in which capital contributions are invested, and (ii) such other Investors as the Sponsor may determine. Class B Interests are subject to a Sponsor Fee and Sales Commissions and other fees allocable to Class B Interests as disclosed in the LLC Agreement. Class C Interests are available to Investors who make capital contributions with an assigned Trading Level of less than $5,000,000, as aggregated across all Funds in which capital contributions are invested. Class C Interests are subject to a Sponsor Fee and Sales Commissions and other fees allocable to Class C Interests as disclosed in the LLC Agreement. Class EF Interests are reserved for a strategic investor and not available to other investors without consent from the Sponsor. There is no stated minimum Trading Level for Class EF Interest. Class EF Interests are subject to a Sponsor Fee and other fees allocable to Class EF Interests as disclosed in the LLC Agreement. Once an Investor becomes eligible for Class B Interests, any Class C Interests held by such investor will be automatically converted into Class B Interests. Once an Investor becomes eligible for Class A Interests, any Class B Interests held by such Investor will be automatically converted into Class A Interests. Similarly, if an investor’s aggregate Trading Level falls below the minimum for Class A or Class B, such interests will be converted to Class B or Class C, as appropriate. All such conversions will occur at the first trading day after such minimum is breached. An Investor of Class A, B, or C Interests, which invests more than once in a Fund, will receive a separate series with respect to each investment. Incentive Fees are calculated separately with respect to each such series. Series at or above their respective High Water Marks at the end of an Incentive Fee Calculation Period are subject to consolidation (i.e., “roll-up”) at the discretion of the Sponsor.
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements The Sponsor may from time to time offer additional classes or subclasses of Interest having different rights and privileges (including but not limited to different fees, funding factors, investment minimums and/or liquidity terms) from those described herein. The issuance of such additional class or sub-class of Interest will not require Investor’s approval; provided, that the terms of any such additional class or sub-class of Interest do not materially adversely affect the Investors in the applicable Fund as a whole. Such additional class or sub-class of Interest may or may not be generally available to other Investors.
Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
The amount of capital activity by each class of Interest for each Fund for the periods ended December 31, 2019,2020, is as follows: | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | | | Class EF | | Class EF | | Class EF | | | Class A | | Class C | | Class EF | | Class EF | | Class EF | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Subscriptions | | $ | 958,457 | | | $ | 11,631,776 | | | $ | 2,610,270 | | | $ | - | | | $ | - | | | $ | 750,395 | | | $ | 554,695 | | | $ | 201,396 | | Redemptions | | | (1,753,297 | ) | | | (3,215,603 | ) | | | (15,345,854 | ) | | | (73,825 | ) | | | - | | | | (1,807,446 | ) | | | (252,657 | ) | | | (150,898 | ) | Transfers In | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | Transfers out | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total increase (decrease) | | $ | (794,840 | ) | | $ | 8,416,173 | | | $ | (12,735,584 | ) | | $ | (73,825 | ) | | $ | - | | | $ | (1,057,051 | ) | | $ | 302,038 | | | $ | 50,498 | | | | | | | | | | | | | | | | | | | | | | | | | | | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 532 Series | | | Galaxy Plus Fund LLC - 538W Series | | | | | Class A | | | Class C | | | Class EF | | | Class EF | | | Class EF | | | | | | | | | | | | | | | | | | | | | | | | Subscriptions | | | $ | 522,563 | | | $ | - | | | $ | 531,152 | | | $ | 1,877,596 | | | $ | 1,052,968 | | Redemptions | | | | (639,449 | ) | | | (29,103 | ) | | | (1,774,944 | ) | | | (5,913,700 | ) | | | (4,737,021 | ) | Transfers In | | | | - | | | | - | | | | - | | | | - | | | | - | | Transfers out | | | | - | | | | - | | | | - | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | Total increase (decrease) | | | $ | (116,886 | ) | | $ | (29,103 | ) | | $ | (1,243,792 | ) | | $ | (4,036,104 | ) | | $ | (3,684,053 | ) |
| | Galaxy Plus Fund LLC - 547 Series | | | Galaxy Plus Fund LLC - 547 Series | | | | Class A | | | Class EF | | | | | | | | | Subscriptions | | $ | 2,550,000 | | | $ | 4,505,547 | | Redemptions | | | (1,044,235 | ) | | | (419,600 | ) | Transfers In | | | - | | | | - | | Transfers out | | | - | | | | - | | | | | | | | | | | Total increase (decrease) | | $ | 1,505,765 | | | $ | 4,085,947 | |
Transfers into and out of a Fund relating to movement from one class of Share to another, change in beneficial ownership, and consolidation to an older series may occur from time to time. Roll-ups are considered transfers for financial reporting purposes. Since the amount of transfers into and out of each Fund offset, such transfers are not shown in the Funds’ Statements of Changes in Members’ Equity. For the year ended December 31, 2019,2020, there were no transfers.
Note 4. Management, Incentive, Sponsor and Other FeesGalaxy Plus Fund LLC
(A Delaware Series Limited Liability Company) Notes to Financial Statements | Note 4. | Management, Incentive, Sponsor and Other Fees |
Each Fund class will pay its respective Advisor, or in the case of Class EF, the managing owner of the member, both asset based (management fee) and performance based (incentive fee) compensation as outlined in the Supplement. In addition, each Fund class will pay the Sponsor asset based (sponsor fee) compensation and, if applicable, a selling agent will receive from each fund class an asset based fee (sales commission). All asset based fees are calculated on the same uniform fee base which is the beginning of the period Trading Level(as (as defined in the Supplement and discussed in Note 5)plus periodic trading profits and losses for the Fund. Investors can be charged different management and incentive fees at the discretion of the Sponsor. Management Fee:Each Advisor earns a management fee (the “Management Fee”) which is calculated and accrued monthly (prorated for partial periods) and payable in arrears as of the last business day of each month. The rate at which the Management Fee is calculated is specific to each Fund and typically ranges from 0% to 3.50% per annum. Each Advisor may enter into fee sharing arrangements with the Sponsor, pursuant to which the Sponsor will receive a portion of the Management Fee to be paid to such advisor. In addition, the Sponsor can enter into agreements with Selling Agents in which the Selling Agent will receive a portion of the Management Fee on assets they introduce to the Funds. No Selling Agent amounts were charged during the year ended December 31, 2019.2020. The amounts due to the Selling Agents and Sponsor are included in the Management Fee charged to the Funds. During the year ended December 31, 2020, Management Fees paid to Selling Agents and the Sponsor are as follows: | | Galaxy Plus Fund LLC - 510 Series | | Selling Agent | | $ | 18,799 | | Sponsor | | | - | |
Incentive Fee:As of the end of each calendar quarter, each Fund will pay an incentive fee (the “Incentive Fee”) to the Advisor equal to the percentage (the “Incentive Fee Rate”) of the New Net Profit (defined below) attributable to each series of Interest in such Fund. The Incentive Fee Rate is specific to each Fund and typically ranges from 20% to 30%. Any Incentive Fee, if accrued, will also be made in respect of Interests withdrawn, at the time of such withdrawal, as if the withdrawal date were the end of a calendar quarter. “New Net Profit” means, with respect to each series of Interest, the amount by which the Net Asset Value of such series of Interest as of the date of determination exceeds the High Water Mark (defined below) then attributable to such series of Interest.
Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
Net Asset Value, for purposes of calculating the Incentive Fee, is calculated prior to reduction for the Incentive Fee being calculated. Net Asset Value is calculated after deduction for the Management Fee (regardless of whether such Management Fee is paid to an Advisor or to the Sponsor), but prior to deduction for the Sponsor Fee, Sales Commissions, and/or Operating Expenses. “High Water Mark” means, with respect to each series of Interest, the greater of: (i) the aggregate Capital Contributions made to such series of Interest; and (ii) the Net Asset Value of such series of Interest as of the end of the most recent Incentive Fee Calculation Period as of which an Incentive Fee was made from such series of Interest (after deduction for the Incentive Fee then made). The High Water Mark with respect to a series of Interest is reduced proportionately when any withdrawal is made from such series of Interest — i.e., the High Water Mark immediately prior to any such withdrawal is multiplied by the fraction of the numerator of which is the Net Asset Value of such series of Interest immediately after such withdrawal and the denominator of which is such Net Asset Value immediately prior to such withdrawal (Net Asset Value in each case being calculated prior to reduction for any Incentive Fee).
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements As the Incentive Fee is calculated separately with respect to each investment made by an Investor, an Investor which invests more than once in a Fund is at risk of being subject to Incentive Fees in respect of capital contributions made at different times even though the overall value of such Investor’s investment in such Fund has declined. The Trading Advisors maymay enter into side agreements with various investors changing the management/ incentive fees charged to those investors. The Sponsor, on behalf of the managing owner of the Class EF members, has entered into separate fee arrangements with the Trading Advisors which results in the managing owner retaining a portion of both the management and incentive fees charged to the Class EF members. During the periods ended December 31, 2019,2020, the amount of management fees and incentive fees retained by the managing owner of Class EF members are as follows: | | Expense | | | Expense | | | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | Galaxy Plus Fund LLC - 526 Series | | Management Fee | | $ | 44,161 | | | $ | 473,889 | | | $ | 7,530 | | | $ | 9,436 | | | $ | 23,738 | | | $ | 27,247 | | | $ | 33,758 | | Incentive Fee | | | 1,127 | | | | 487,456 | | | | - | | | | - | | | | 3,691 | | | | - | | | | 6,470 | |
| | Galaxy Plus Fund LLC - 532 Series | | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 547 Series | | Management Fee | | $ | 406,168 | | | $ | 7,084 | | | $ | 29,835 | | Incentive Fee | | | 14,014 | | | | - | | | | - | |
The amount of management fees and incentive fees due to the managing owner of the class EF members as of December 31, 20192020 are as follows: | | Payable | | | | Galaxy Plus Fund LLC - 531 Series | | | Galaxy Plus Fund LLC - 532 Series | | | Galaxy Plus Fund LLC - 538W Series | | Accrued Management Fee | | $ | 4,527 | | | $ | 43,261 | | | $ | 893 | | Accrued Incentive Fee | | | - | | | | - | | | | - | |
| | Payable | | | | Galaxy Plus Fund LLC - 510 Series | | | Galaxy Plus Fund LLC - 517 Series | | | Galaxy Plus Fund LLC - 522 Series | | | Galaxy Plus Fund LLC - 526 Series | | Accrued Management Fee | | $ | 652 | | | $ | 4,268 | | | $ | 2,504 | | | $ | 2,078 | | Accrued Incentive Fee | | | - | | | | 3,336 | | | | - | | | | - | |
| | Galaxy Plus Fund LLC - 532 Series | | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 547 Series | | Accrued Management Fee | | $ | 29,271 | | | $ | 525 | | | $ | 5,281 | | Accrued Incentive Fee | | | 15,407 | | | | - | | | | - | |
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements Sponsor Fee:The Sponsor will receive from each Interest a monthly sponsor fee (the “Sponsor Fee”) calculated as a percentage (the “Sponsor Fee Rate”) applicable to each Class of Interests. The Sponsor Fee is calculated and accrued monthly and payable in arrears as of the last business day of each month. The Sponsor Fee is pro ratedpro-rated for partial periods. The annual Sponsor Fee Rate is 0.25% for Class A Interests, 0.50% for Class B Interests, 0.80% for Class C Interests, and 0.15% for Class EF Interests. Sales Commission:Class A, B and C Interests are subject to monthly ongoing sales commissions (“Sales Commissions”) equal to a percentage (the “Sales Commission Rate”) applicable to each Class of Interest. Sales Commissions are calculated and accrued monthly and payable in arrears as of the last business day of each month. Sales Commissions are pro rated for partial periods. Sales Commissions are specific to an Investor and are agreed upon between the Investor and Selling Agent prior to making a contribution to the Onshore Platform. The Sales Commission Rate generally ranges between 0%-2% per annum. No sales commissions were charged during the year ended December 31, 2019.2020, with the exception of 510. Sales commissions are included in the Sponsor Fee totals on the Statements of Operations. Professional Fees and Operating Expenses:The Sponsor will be responsible for paying all ongoing operating costs of each Fund and the Onshore Platform as the expenses are incurred, including, but not limited to, any administrative, transfer, exchange and withdrawal processing costs, legal, compliance, regulatory, reporting, filing, escrow, accounting and printing fees and expenses, and any other operating or administrative expenses related to accounting, research, due diligence or reporting. However, the Fund will be responsible for paying all of its execution and clearing brokerage commissions, Fund set-up and organization expenses (which can be capped at the discretion of the Sponsor); bank wire fees; fees related to the audit and tax preparation; and extraordinary expenses such as litigation and indemnification. The allocation of the audit and tax fees is based on the number of trading managers that trade on behalf of each respective Fund. The audit and tax preparation fees are recorded as a component of professional fees in the statements of operations, and are recorded in the year when the related services are performed. Note 5. Notional Funding
The ability to customize notional funding in the various Funds is a special feature of the Onshore Platform. The Sponsor determines each Fund’s Maximum Funding Factor (i.e., the maximum ratio of Trading Level to actual capital invested in such Fund) and may increase or reduce such Maximum Funding Factor at any time. In establishing a Fund’s Maximum Funding Factor, the Sponsor generally considers the Advisor’s maximum 5 day drawdown and its typical margin-to-equity ratio and sets the Maximum Funding Factor to protect against any failure to meet margin calls. The leverage used by a Master Fund (i.e., the ratio of the Trading Level of such Master Fund to the notional amount of the futures, options, and forward contracts held by such Master Fund) will fluctuate on an ongoing basis. The Advisors will adjust such leverage in response to market conditions and will not maintain any set relationship between the Trading Level of a Master Fund and the notional amount of the futures, options, and forward positions held for such Master Fund. The notional amount of the futures, options, and forward contracts held by a Master Fund is likely to exceed the Trading Level of such Master Fund by a factor of 10 or more. Investors customize their notional funding of their investment in a Fund by choosing an Effective Funding Factor (which must be no greater than the Maximum Funding Factor). The Effective Funding Factor so chosen is implemented by the applicable Fund by keeping a portion of the capital at the Fund’s bank account or, as the Fund matures, by keeping a certain percentage of an Investor’s investment in the Fund’s bank account rather than allocating such capital to the corresponding Master Fund. All capital allocated by a Fund to its corresponding Master Fund is traded at the Maximum Funding Factor for such Fund. Due to market appreciation/depreciation and other factors, an Investor’s Trading Level to actual capital contributed by such Investor will diverge — potentially materially — from such Investor’s selected Effective Funding Factor. As a result, the Sponsor will from time to time rebalance allocations between the corresponding Master Fund and the Fund’s bank account in an attempt to reflect the desired Effective Funding Factor. Such rebalancing is not done pursuant to any predefined parameters but is done at the Sponsor’s discretion.
Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
Note 6. Financial Instruments with off-balance sheet risk and concentration of credit risk
| Note 6. | Financial Instruments with off-balance sheet risk and concentration of credit risk |
At December 31, 2019,2020, none of the Funds have direct commitments to buy or sell financial instruments, including derivative instruments. Each Fund does have indirect buy and sell commitments that arise through the positions held by the Master Fund in which each respective Fund invests. However, as an investor in a Master Fund, each Fund’s risk at December 31, 2019,2020, is limited to the fair value of its investment in the Master Fund.
Note 7.Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company) Notes to Financial highlightsStatements | Note 7. | Financial highlights |
Financial highlights for each Fund and its respective Class(es) for the yearperiods ended December 31, 20192020 are presented in the table below. The information has been derived from information presented in the financial statements. | | Galaxy Plus Fund LLC - 531 Series | | Galaxy Plus Fund LLC - 532 Series | | Galaxy Plus Fund LLC - 538W Series | | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 510 Series | | Galaxy Plus Fund LLC - 517 Series | | Galaxy Plus Fund LLC - 522 Series | | | | Class EF | | Class EF | | Class EF | | | Class A | | Class C | | Class EF | | Class EF | | Class EF | | | | | | | | | | | | | | | | | | | | | Total return before incentive fee | | | (2.55 | )% | | | 26.19 | % | | | 5.66 | % | | | -2.53 | % | | | -11.51 | % | | | -4.12 | % | | | 26.04 | % | | | -60.13 | % | Incentive fee | | | (0.05 | )% | | | (8.35 | )% | | | (4.34 | )% | | | - | | | | - | | | | -0.07 | % | | | -0.62 | % | | | -0.01 | % | Total return after incentive fee (A) | | | (2.60 | )% | | | 17.84 | % | | | 1.32 | % | | | -2.53 | % | | | -11.51 | % | | | -4.19 | % | | | 25.42 | % | | | -60.14 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average members’ equity (B): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Expenses excluding incentive fee | | | 4.67 | % | | | 6.85 | % | | | 3.09 | % | | | 2.64 | % | | | 7.33 | % | | | 2.68 | % | | | 3.53 | % | | | 23.05 | % | Incentive fee | | | 0.05 | % | | | 8.35 | % | | | 4.34 | % | | | - | | | | - | | | | 0.07 | % | | | 0.62 | % | | | 0.01 | % | Total expenses and incentive fee | | | 4.72 | % | | | 15.20 | % | | | 7.43 | % | | | 2.64 | % | | | 7.33 | % | | | 2.75 | % | | | 4.15 | % | | | 23.06 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net investment loss (C) | | | (3.44 | )% | | | (13.49 | )% | | | (6.04 | )% | | | -2.64 | % | | | -7.33 | % | | | -2.75 | % | | | -4.10 | % | | | -23.06 | % |
| | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 526 Series | | | Galaxy Plus Fund LLC - 532 Series | | | Galaxy Plus Fund LLC - 538W Series | | | | Class A | | | Class C | | | Class EF | | | Class EF | | | Class EF | | | | | | | | | | | | | | | | | | Total return before incentive fee | | | -18.73 | % | | | -10.24 | % | | | -29.84 | % | | | -6.84 | % | | | 57.28 | % | Incentive fee | | | -1.12 | % | | | - | | | | -0.49 | % | | | -0.68 | % | | | -7.97 | % | Total return after incentive fee (A) | | | -19.85 | % | | | -10.24 | % | | | -30.33 | % | | | -7.52 | % | | | 49.31 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Ratios to average members’ equity (B): | | | | | | | | | | | | | | | | | | | | | Expenses excluding incentive fee | | | 1.19 | % | | | 2.82 | % | | | 3.46 | % | | | 7.14 | % | | | 3.21 | % | Incentive fee | | | 1.12 | % | | | - | | | | 0.49 | % | | | 0.68 | % | | | 7.97 | % | Total expenses and incentive fee | | | 2.31 | % | | | 2.82 | % | | | 3.95 | % | | | 7.82 | % | | | 11.18 | % | | | | | | | | | | | | | | | | | | | | | | Net investment loss (C) | | | -2.06 | % | | | -1.94 | % | | | -3.43 | % | | | -7.41 | % | | | -11.15 | % |
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements | | Galaxy Plus Fund LLC - 547 Series | | | Galaxy Plus Fund LLC - 547 Series | | | | Class A | | | Class EF | | | | | | | | | Total return before incentive fee | | | -30.85 | % | | | -32.66 | % | Incentive fee | | | - | | | | - | | Total return after incentive fee (A) | | | -30.85 | % | | | -32.66 | % | | | | | | | | | | Ratios to average members’ equity (B): | | | | | | | | | Expenses excluding incentive fee | | | 4.05 | % | | | 4.20 | % | Incentive fee | | | - | | | | - | | Total expenses and incentive fee | | | 4.05 | % | | | 4.20 | % | | | | | | | | | | Net investment loss (C) | | | -4.05 | % | | | -4.20 | % |
| (A) | Total return is based on the change in average members’ equity during the period of a theoretical investment made at the inception of the Fund. Total return is not annualized for Funds or classes that have been in operations for less than a year as of December 31, 2020. |
| (B) | The total expense and net investment loss ratios are computed based upon weighted-average members’ equity as a whole for the yearperiods ended December 31, 2019.2020. Ratios have been annualized, excluding non-recurring expenses, for Funds and classes that have been in operations for less than a year as of December 31, 2020. |
| (C) | The net investment loss ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each permanent, non-managing class of interest. An individual member’s return and ratios may vary based on different incentive and/or management fee arrangements, and the timing of capital interest transactions. The net investment loss and total expense ratios, excluding nonrecurring expenses, have been annualized for partial periods. Total returns have not been annualized. Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to Financial Statements
Note 8. Subsequent events
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Funds’ financial statements through March 30, 2020,31, 2021, the date the financial statements were available for issuance. Other than the item disclosed below, theThe Sponsor has determined that there are no material events that would require recognition or disclosure in the Funds’ financial statements through this date. On January 30, 2020, the World Health Organization declared the coronavirus outbreak a “Public Health Emergency of International Concern” and on March 10, 2020, declared it to be a pandemic. The coronavirus and actions taken to mitigate it have had and are expected to continue to have an adverse impact on the economies and financial markets of many countries, including the markets in which the Master Funds invest. While the Funds and the Master Funds cannot estimate how long these conditions will last or what the complete financial effect to the Funds will be, the Funds are experiencing and are expected to continue to experience significant impacts to financial performance and the valuation of investments, and are vulnerable to the risk of a severe impact..
Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the yearperiod ended December 31, 2019,2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – TT FORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 20192020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—TTFORT Contrarian Master Fund (531)(510) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2019,2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. THE POWER OF BEING UNDERSTOOD
AUDIT | TAX | CONSULTING
RSM US LLP is the U.S. member firm of RSM International, a global network of independent audit, tax, and consulting firms. Visit rsmus.com/aboutus for more information regarding RSM US LLP and RSM International.
Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—TTFORT Contrarian Master Fund (531)(510) LLC as of December 31, 2019,2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. Emphasis of Matter Regarding Going Concern/s/ RSM US LLP
The accompanying financial statements have been prepared assuming that the Fund will continue as a going concern. As discussed in Note 1 to the financial statements, the Fund’s investor intends to redeem all of its investment in the Fund effective April 1, 2020, which raises substantial doubt about the Fund’s ability to continue as a going concern. Management’s plans with regard to this matter are also described in Note 1 to the financial statements. The financial statements do not include any adjustments that might result from the outcome of this uncertainty. Our opinion is not modified with respect to this matter.
Denver, Colorado March 30, 202031, 2021
Galaxy Plus Fund - TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 20192020
(Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 158,015 | | Restricted cash - margin balance | | | 1,660,488 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 466 | | Receivable from Onshore Feeder Fund | | | 10,424 | | | | | | | Total assets | | $ | 1,829,393 | | | | | | | Liabilities and Member's Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member's equity | | | 1,829,393 | | | | | | | Total liabilities and member's equity | | $ | 1,829,393 | |
See notes to financial statements.
Galaxy Plus Fund - TT Master Fund (531) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2019
(Expressed in U.S. Dollars)
| | | | | | | | Percent of | | | | Number of | | | | | | Member's | | | | Contracts/Units | | | Fair Value | | | Equity | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture | | | 16 | | | $ | 7,336 | | | | 0.40 | % | Currency | | | 91 | | | | 69,987 | | | | 3.83 | | Energy | | | 5 | | | | 11,767 | | | | 0.63 | | Index | | | 158 | | | | 5,883 | | | | 0.32 | | Interest | | | 3 | | | | (8,682 | ) | | | (0.47 | ) | Metals | | | 40 | | | | (14,235 | ) | | | (0.78 | ) | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | | 9 | | | | 10,558 | | | | 0.58 | | Currency | | | 54 | | | | (5,150 | ) | | | (0.28 | ) | Energy | | | 6 | | | | 6,747 | | | | 0.37 | | Index | | | 54 | | | | (3,101 | ) | | | (0.17 | ) | Interest | | | 80 | | | | (14,901 | ) | | | (0.81 | ) | Metals | | | 2 | | | | 3,358 | | | | 0.18 | | | | | | | | | | | | | | | Total long positions | | | | | | $ | 69,567 | | | | 3.80 | % |
(Continued)
Galaxy Plus Fund - TT Master Fund (531) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments (Continued)
December 31, 2019
(Expressed in U.S. Dollars)
| | | | | | | | Percent of | | | | Number of | | | | | | Member's | | | | Contracts/Units | | | Fair Value | | | Equity | | Short positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture | | | 38 | | | $ | (34,237 | ) | | | (1.87 | )% | Currency | | | 78 | | | | (51,289 | ) | | | (2.80 | ) | Energy | | | 15 | | | | 19,200 | | | | 1.05 | | Index | | | 16 | | | | 96 | | | | 0.01 | | Interest | | | 53 | | | | (106 | ) | | | 0.00 | | Metals | | | 23 | | | | (6,662 | ) | | | (0.36 | ) | Futures contracts: | | | | | | | | | | | | | Agriculture | | | 13 | | | | (844 | ) | | | (0.05 | ) | Currency | | | 4 | | | | (2,318 | ) | | | (0.13 | ) | Index | | | 12 | | | | 2,794 | | | | 0.15 | | Interest | | | 31 | | | | 4,265 | | | | 0.23 | | | | | | | | | | | | | | | Total short positions | | | | | | | (69,101 | ) | | | (3.77 | ) | | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | | | $ | 466 | | | | 0.03 | % |
Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | | Cash | | $ | 2,931,858 | | Restricted cash - margin balance | | | 1,288,986 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 119,394 | | | | | | | Total assets | | $ | 4,340,238 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Liabilities | | | | | Payable to Onshore Feeder Fund | | $ | 37,590 | | | | | | | Total liabilities | | | 37,590 | | | | | | | Member’s equity | | | 4,302,648 | | | | | | | Total liabilities and member’s equity | | $ | 4,340,238 | |
See notes to financial statements.
Galaxy Plus Fund - TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) StatementCondensed Schedule of OperationsInvestments
For the year ended December 31, 20192020
(Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 30,956 | | | | | | | Net investment income | | | 30,956 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain from: | | | | | Derivative contracts | | | 261,073 | | Foreign currency transactions | | | 643 | | | | | 261,716 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | (170,395 | ) | Translation of assets and liabilities denominated in foreign currencies | | | 2,209 | | | | | (168,186 | ) | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 93,530 | | | | | | | Net increase in member's equity resulting from operations | | $ | 124,486 | |
| | Number of Contracts/Units | | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Currency | | | 31 | | | $ | 14,868 | | | | 0.35 | % | Index | | | 12 | | | | 57,002 | | | | 1.32 | | Interest | | | 60 | | | | (8,089 | ) | | | (0.19 | ) | Metals | | | 3 | | | | 8,425 | | | | 0.20 | | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | | 1 | | | | (750 | ) | | | (0.02 | ) | Index | | | 69 | | | | 39,629 | | | | 0.92 | | Interest | | | 366 | | | | 14,194 | | | | 0.34 | | | | | | | | | | | | | | | Total long positions | | | | | | | 125,279 | | | | 2.92 | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | | 20 | | | | (3,819 | ) | | | (0.09 | ) | Energy | | | 12 | | | | 1,795 | | | | 0.04 | | Interest | | | 56 | | | | (2,118 | ) | | | (0.05 | ) | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | | 1 | | | | (820 | ) | | | (0.02 | ) | Index | | | 4 | | | | (2,217 | ) | | | (0.05 | ) | Interest | | | 57 | | | | 1,294 | | | | 0.03 | | | | | | | | | | | | | | | Total short positions | | | | | | | (5,885 | ) | | | (0.14 | ) | | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | | | $ | 119,394 | | | | 2.78 | % |
See notes to financial statements.
Galaxy Plus Fund - TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Statement of Changes in Member's EquityOperations For the year ended December 31, 20192020 (Expressed in U.S. Dollars) Investment Income: | | | | Expenses: | | | | Interest expense | | $ | 2,824 | | | | | | | Total expenses | | | 2,824 | | | | | | | Net investment loss | | | (2,824 | ) | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (458,115 | ) | Foreign currency transactions | | | 13,309 | | | | | (444,806 | ) | | | | | | Net increase (decrease) in unrealized depreciation on: | | | | | Derivative contracts | | | 315,892 | | Translation of assets and liabilities denominated in foreign currencies | | | (2,104 | ) | | | | 313,788 | | | | | | | Net realized and unrealized loss on investments and foreign currency transactions | | | (131,018 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (133,842 | ) |
Changes in member's equity from operations: | | | | Net investment income | | $ | 30,956 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 261,716 | | Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | (168,186 | ) | | | | | | Net increase in member's equity resulting from operations | | | 124,486 | | | | | | | Changes in member's equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 851,553 | | Payments for redemptions of capital | | | (1,752,238 | ) | | | | | | Net decrease in member's equity resulting from capital transactions | | | (900,685 | ) | | | | | | Total decrease | | | (776,199 | ) | | | | | | Member's equity, beginning of year | | | 2,605,592 | | | | | | | Member's equity, end of year | | $ | 1,829,393 | |
1 Includes trading costs See notes to financial statements.
Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment loss | | $ | (2,824 | ) | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | (444,806 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 313,788 | | | | | | | Net decrease in member’s equity resulting from operations | | | (133,842 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 401,236 | | Payments for redemptions of capital | | | (1,780,760 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (1,379,524 | ) | | | | | | Total decrease | | | (1,513,366 | ) | | | | | | Member’s equity, beginning of year | | | 5,816,014 | | | | | | | Member’s equity, end of year | | $ | 4,302,648 | |
See notes to financial statements.
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on May 31, 2016 and commenced operation on May 10, 2017.June 5, 2015. The Master Fund was created to serve as the trading entity managed by Transtrend B.V.Fort L.P. (the “Trading Advisor”) pursuant to its Diversified Trend ProgramGlobal Contrarian program (the “Program”). The Program is a medium-termsystematic, trend-anticipating trading strategy designedprogram that seeks to generate returns across global future markets through quantitative price analysis.capitalize on medium to long-term trends. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fundfunds of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or otherOther Master Funds.funds. Galaxy Plus Fund – TTFORT Contrarian Feeder Fund (531)(510) LLC (“LLC531”LLC510”), a separated series of the Onshore Platform and Galaxy Plus Fund – TTFort Contrarian Offshore Feeder Fund (531)(510) Segregated Portfolio (“SPC531”SPC510”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2019, SPC5312020, SPC510 had not yet commenced operations and LLC531LLC510 is the sole member. In March 2020, the Sponsor was notified that LLC531 intends to redeem its equity from the Master Fund effective April 1, 2020 raising substantial doubt that the Master Fund will be able to continue as a going concern. The financial statements do not include any adjustments that might result from the outcome of this uncertainty. The Sponsor has elected to keep the Master Fund openLLC510 and plans to find new seed capital so that trading can recommence. As a result, and based on the fact that a formal liquidation plan has not been adopted by the Sponsor, the Master Fund has not adopted the liquidation basis of accounting under FASB ASC 205-30 Presentation of Financial Statements-Liquidation Basis of Accounting.
LLC531 and SPC531SPC510 are collectively hereafter referred to as the “Feeder Funds”.
Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $1,841,857$4,204,060 is held in USD and account payablea balance of ($23,354)$16,784 in foreign currencies as of December 31, 2019,2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20192020 included restricted cash for margin requirements of $1,660,488.$1,288,986. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20192020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5). Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition:Depending on the Program and Investments traded, Thethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, Thethe Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/appreciation (depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statementstatement of Operations.operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2019,2020 remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties. Use of estimates:The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the period,year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the period;year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. RecentRecently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impactshas adopted ASU 2018-13 willon January 1, 2020 and related updates have on thebeen incorporated in these financial statements.
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2019.2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2019.2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2019.2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 25,876 | | | $ | 25,876 | | | $ | - | | | $ | - | | Currency | | | 91,537 | | | | 91,537 | | | | - | | | | - | | Energy | | | 39,044 | | | | 39,044 | | | | - | | | | - | | Index | | | 19,841 | | | | 19,841 | | | | - | | | | - | | Interest | | | 8,660 | | | | 8,660 | | | | - | | | | - | | Metals | | | 22,152 | | | | 22,152 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 207,110 | | | | 207,110 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (43,064 | ) | | | (43,064 | ) | | | - | | | | - | | Currency | | | (80,307 | ) | | | (80,307 | ) | | | - | | | | - | | Energy | | | (1,330 | ) | | | (1,330 | ) | | | - | | | | - | | Index | | | (14,169 | ) | | | (14,169 | ) | | | - | | | | - | | Interest | | | (28,083 | ) | | | (28,083 | ) | | | - | | | | - | | Metals | | | (39,691 | ) | | | (39,691 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (206,644 | ) | | | (206,644 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 466 | | | $ | 466 | | | $ | - | | | $ | - | |
| | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | | | | | | | | | | | | | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | $ | 22,199 | | | $ | 22,199 | | | $ | - | | | $ | - | | Energy | | | 7,700 | | | | 7,700 | | | | - | | | | - | | Index | | | 111,681 | | | | 111,681 | | | | - | | | | - | | Interest | | | 38,229 | | | | 38,229 | | | | - | | | | - | | Metals | | | 8,425 | | | | 8,425 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 188,234 | | | | 188,234 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Currency | | | (11,150 | ) | | | (11,150 | ) | | | - | | | | - | | Energy | | | (7,475 | ) | | | (7,475 | ) | | | - | | | | - | | Index | | | (17,267 | ) | | | (17,267 | ) | | | - | | | | - | | Interest | | | (32,948 | ) | | | (32,948 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (68,840 | ) | | | (68,840 | ) | | | - | | | | - | | Total net investments at fair value | | $ | 119,394 | | | $ | 119,394 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2019.2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2019,2020, the Master Fund had open futures contracts with the following notional values by sector: Galaxy Plus Fund – TT Master Fund (531) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
Description | | Quantity | | Notional Value | | Description | | Quantity | | Notional Value | | | Quantity | | Notional Value | | Description | | Quantity | | Notional Value | | Long: | | | | | | Short: | | | | | | | | | Short: | | | | Agriculture | | | 25 | | | $ | 830,612 | | | Agriculture | | | 51 | | | $ | (1,110,463 | ) | | Currency | | | 145 | | | | 5,085,157 | | | Currency | | | 82 | | | | (7,030,407 | ) | | 31 | | $ | 3,432,970 | | | Currency | | 20 | | $ | (1,245,363 | ) | Energy | | | 11 | | | | 595,981 | | | Energy | | | 15 | | | | (331,340 | ) | | 1 | | | 42,300 | | | Energy | | 13 | | | (530,476 | ) | Index | | | 212 | | | | 2,512,568 | | | Index | | | 28 | | | | (157,855 | ) | | 81 | | | 6,463,323 | | | Index | | 4 | | | (140,413 | ) | Interest | | | 83 | | | | 43,990,307 | | | Interest | | | 84 | | | | (44,030,460 | ) | | 426 | | | 168,287,483 | | | Interest | | 113 | | | (105,438,104 | ) | Metals | | | 42 | | | | 1,468,725 | | | Metals | | | 23 | | | | (1,095,513 | ) | | 3 | | | 365,460 | | | | | |
During the year ended December 31, 2019,2020, the Master Fund participated in 15,84914,355 futures contract transaction.transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | Net Trading Gain (Loss)* | | | | Gain (Loss)* | | | | | Futures contracts: | | | | | | | Agriculture | | $ | (181,319 | ) | | Currency | | | (2,901 | ) | | $ | (507,507 | ) | Energy | | | (137,823 | ) | | | (103,311 | ) | Index | | | (19,415 | ) | | | (432,869 | ) | Interest | | | 558,071 | | | | 1,042,480 | | Metals | | | (94,277 | ) | | | (81,455 | ) | Total futures | | | 122,336 | | | Total futures contracts | | | | (82,662 | ) | | | | | | | | | | Trading costs | | | (31,658 | ) | | | (59,561 | ) | | | | | | | | | | Total net trading gain (loss) | | $ | 90,678 | | | $ | (142,223 | ) |
*Includes both realized gainloss of $261,073$(458,115) and unrealized depreciationappreciation of ($170,395)$315,892 and is located in net realized and unrealized gain (loss) on investments and foreign currency transactions on the statement of operations. Amounts exclude foreign currency transactions and translation.
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | Offset in the Statement of Financial Condition | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | Gross Amounts of Recognized Assets (Liabilities) | | Offset in the Statement of Financial Condition | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | | | | | | Futures | | $ | 207,110 | | | $ | (206,644 | ) | | $ | 466 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | | Total | | $ | 207,110 | | | $ | (206,644 | ) | | $ | 466 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | | | | | | | | | | | | | | | | | | Net amount in the Statement of Financial Condition | | Cash Collateral Received by Counterparty | | Net Amount which is not offset in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 466 | | | $ | 1,660,488 | | | $ | 1,660,954 | | | Total | | $ | 466 | | | $ | 1,660,488 | | | $ | 1,660,954 | | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | | Total | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | |
Galaxy Plus Fund – TTFORT Contrarian Master Fund (531)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $37,590 payable to the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On FebruaryAugust 1, 2019, NorthStar Financial Services2020, The Ultimus Group, LLC, the parent company of GAF and its affiliated companies including Gemini Hedge Fund Services, LLC (collectively, the “Gemini Companies”), sold its interest in theGAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini CompaniesHedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent fund administration firm) and its affiliates (collectively, the “Ultimus Companies”).New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 20192020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 2.10(1.64 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment loss (C) | | | (0.06 | )% | Total expenses | | | 0.06 | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment loss ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return would have been lower and the net investment loss and total expense ratios would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of, and for the year ended December 31, 2020 is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Quest Master Fund (517) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Quest Master Fund (517) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 150,395 | | Restricted cash - margin balance | | | 1,303,322 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 181,773 | | Receivable from Onshore Feeder Fund | | | 31,566 | | | | | | | Total assets | | $ | 1,667,056 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member’s equity | | | 1,667,056 | | | | | | | Total liabilities and member’s equity | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 25 | | $ | 46,927 | | | | 2.81 | % | Currency | | 68 | | | 51,869 | | | | 3.11 | | Energy | | 9 | | | 3,978 | | | | 0.24 | | Index | | 3 | | | 6,843 | | | | 0.41 | | Interest | | 109 | | | 9,683 | | | | 0.58 | | Metals | | 4 | | | 11,870 | | | | 0.71 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 3 | | | 2,340 | | | | 0.14 | | Index | | 21 | | | 40,104 | | | | 2.41 | | Interest | | 110 | | | (563 | ) | | | (0.03 | ) | | | | | | | | | | | | Total long positions | | | | | 173,051 | | | | 10.38 | | | | | | | | | | | | | Short positions: | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 5 | | | 7,560 | | | | 0.45 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Interest | | 3 | | | 1,162 | | | | 0.07 | | | | | | | | | | | | | Total short positions | | | | | 8,722 | | | | 0.52 | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | $ | 181,773 | | | | 10.90 | % |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 782 | | | | | | | Total income | | | 782 | | | | | | | Net investment income | | | 782 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | 253,663 | | Foreign currency transactions | | | (5,392 | ) | | | | 248,271 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 127,737 | | Translation of assets and liabilities denominated in foreign currencies | | | (1,687 | ) | | | | 126,050 | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 374,321 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 375,103 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 782 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 248,271 | | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 126,050 | | | | | | | Net increase in member’s equity resulting from operations | | | 375,103 | | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 531,759 | | Payments for redemptions of capital | | | (276,029 | ) | | | | | | Net increase in member’s equity resulting from capital transactions | | | 255,730 | | | | | | | Total increase | | | 630,833 | | | | | | | Member’s equity, beginning of year | | | 1,036,223 | | | | | | | Member’s equity, end of year | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 1. | Organization and Structure |
Galaxy Plus Fund – Quest Master Fund (517) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 12, 2016 and commenced operation on June 29, 2016. The Master Fund was created to serve as the trading entity managed by Quest Partner, L.L.C. (the “Trading Advisor”) pursuant to its Quest Tracker Index “QTI” (the “Program”). The Program is a systematic program that seeks to replicate the performance generated by the broad class of managed futures trading strategies of trend following. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quest Feeder Fund (517) (“LLC517”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quest Offshore Feeder Fund (517) Segregated Portfolio (“SPC517”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC517 had not yet commenced operations and LLC517 is the sole member. LLC517 and SPC517 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. | Note 2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $1,481,320 is held in USD and a payable balance of $(27,603) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $1,303,322. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. | Note 3. | Fair Value Measurements |
The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 47,847 | | | $ | 47,847 | | | $ | - | | | $ | - | | Currency | | | 63,551 | | | | 63,551 | | | | - | | | | - | | Energy | | | 14,407 | | | | 14,407 | | | | - | | | | - | | Index | | | 48,616 | | | | 48,616 | | | | - | | | | - | | Interest | | | 16,158 | | | | 16,158 | | | | - | | | | - | | Metals | | | 12,185 | | | | 12,185 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 202,764 | | | | 202,764 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (920 | ) | | | (920 | ) | | | - | | | | - | | Currency | | | (11,682 | ) | | | (11,682 | ) | | | - | | | | - | | Energy | | | (529 | ) | | | (529 | ) | | | - | | | | - | | Index | | | (1,669 | ) | | | (1,669 | ) | | | - | | | | - | | Interest | | | (5,876 | ) | | | (5,876 | ) | | | - | | | | - | | Metals | | | (315 | ) | | | (315 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (20,991 | ) | | | (20,991 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 181,773 | | | $ | 181,773 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 4. | Derivative Financial Instruments |
Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 25 | | | $ | 831,825 | | | Energy | | | 5 | | | $ | (126,950 | ) | Currency | | | 68 | | | | 7,228,513 | | | Interest | | | 3 | | | | (4,413,286 | ) | Energy | | | 12 | | | | 638,001 | | | | | | | | | | | | Index | | | 24 | | | | 2,410,764 | | | | | | | | | | | | Interest | | | 219 | | | | 149,273,735 | | | | | | | | | | | | Metals | | | 4 | | | | 497,520 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 2,896 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Agriculture | | $ | 160,048 | | Currency | | | (57,005 | ) | Energy | | | 130,950 | | Index | | | 26,138 | | Interest | | | 99,362 | | Metals | | | 36,053 | | Total futures | | | 395,546 | | | | | | | Trading costs | | | (14,146 | ) | | | | | | Total net trading gain (loss) | | $ | 381,400 | |
| * | Includes both realized gain of $253,663 and unrealized appreciation of $127,737 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 5. | Balance Sheet Offsetting |
The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | Futures | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | | Total | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | | Total | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements As of December 31, 2020, the Master Fund had $31,566 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. | Note 7. | Financial Highlights |
Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 30.61 | % | | | | | | Ratios to average member'smember’s equity (B): | | | | | Net investment income(C)income (C) | | | 1.410.06 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member'smember’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member'smember’s equity as a whole for the year ended December 31, 2019.2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income ratio would have been lower and the total expense ratio would have been higher if the management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—LRR Master Fund (522) LLC, which comprise the statement of financial condition, including the schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—LRR Master Fund (522) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 270,212 | | Restricted cash - margin balance | | | 7,425 | | Investments in futures contracts at fair value | | | | | (represents unrealized appreciation on open derivative contracts, net) | | | 43,650 | | Receivable from Onshore Feeder Fund | | | 147,901 | | Other assets | | | 302 | | | | | | | Total assets | | $ | 469,490 | | | | | | | Liabilities and member’s equity | | | | | | | | | | Liabilities | | | | | | | | | | Total liabilities | | | - | | | | | | | Member’s equity | | | 469,490 | | | | | | | Total liabilities and member’s equity | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | | Fair Value | | | Percent of Member’s Equity | | | | | | | | | | | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture | | | | | | | | | | Corn - Maturity July 2021 | | | 18 | | | $ | 85,725 | | | | 18.26 | % | | | | | | | | | | | | | | Total long positions | | | | | | | 85,725 | | | | 18.26 | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | | | | | | | | | | | | Corn - Maturity December 2021 | | | 18 | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Total short positions | | | | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Investments in future contracts, at fair value | | | | | | $ | 43,650 | | | | 9.30 | % |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Operations For the year endedDecember 31, 2020 (Expressed in U.S. Dollars) Net investment income | | $ | - | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (491,764 | ) | | | | (491,764 | ) | | | | | | Net increase (decrease) in unrealized appreciation on: | | | 18,387 | | Derivative contracts | | | 18,387 | | | | | | | Net realized and unrealized gain on investments | | | (473,377 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (473,377 | ) |
1Includes trading costs See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | - | | Net realized gain (loss) from derivative contracts | | | (491,764 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts | | | 18,387 | | | | | | | Net decrease in member’s equity resulting from operations | | | (473,377 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 132,012 | | Payments for redemptions of capital | | | (230,291 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (98,279 | ) | | | | | | Total decrease | | | (571,656 | ) | | | | | | Member’s equity, beginning of year | | | 1,041,146 | | | | | | | Member’s equity, end of year | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – LRR Master Fund (522) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 26, 2016 and commenced operation on April 28, 2016.The Master Fund is a multi-advisor managed futures fund that allocates and reallocates its capital to different trading advisors implementing various trading programs. During the year ended December 31, 2020, these trading advisors were Landmark Trading Company (“Landmark”) and Rosetta Capital Management, LLC (“Rosetta”), (collectively, the “Trading Advisors”). Landmark runs a discretionary programs and Rosetta runs a technical program. Each Trading Advisor runs their Program independently of one another. Landmark stopped trading on April 30, 2020. As of December 31, 2020, Rosetta is the sole trading advisor for LRR. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisors are not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – LRR Feeder Fund (522) (“LLC522”), a separated series of the Onshore Platform and Galaxy Plus Fund – LRR Offshore Feeder Fund (522) Segregated Portfolio (“SPC522”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC522 had not yet commenced operations and LLC522 is the sole member. LLC522 and SPC522 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into tri-party contracts (the “Trading Agreements”) with the Trading Advisors pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisors in accordance with the Program. The Trading Advisors may alter their programs (including their trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisors provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisors (or their affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $277,637 is held in USD and $0 in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $7,425. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 85,725 | | | $ | 85,725 | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 85,725 | | | | 85,725 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 43,650 | | | $ | 43,650 | | | $ | - | | | $ | - | |
Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited. The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and options contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | | Quantity | | | Notional Value | | | Description | | | Quantity | | | Notional Value | | Long: | | | | | | | | | Short: | | | | | | | | Agriculture | | | | 18 | | | $ | 432,225 | | | | Agriculture | | | | 18 | | | $ | (391,275 | ) |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements During the year ended December 31, 2020, the Master Fund participated in 119 futures contracts, and 159 options on futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Options on futures contracts: | | | | Agriculture | | $ | (516,865 | ) | Total options on futures contracts | | | | | | | | (516,865 | ) | Futures contracts: | | | | | Agriculture | | | 57,240 | | Total futures contracts | | | 57,240 | | | | | | | Trading costs | | | (13,752 | ) | | | | | | Total net trading gain (loss) | | $ | (473,377 | ) |
* | Includes both realized loss of $491,764 and unrealized appreciation of $18,387 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: | | | | | | | | Net Amount of | | | | Gross Amounts | | | Offset in the | | | Assets (Liabilities) | | | | of Recognized | | | Statement of | | | in the Statement of | | Description | | Assets (Liabilities) | | | Financial Condition | | | Financial Condition | | | | | | | | | | | | Futures | | $ | 85,725 | | | | (42,075 | ) | | $ | 43,650 | | Total | | $ | 85,725 | | | $ | (42,075 | ) | | $ | 43,650 | |
| | Net amount in | | | Cash Collateral | | | Net Amount | | | | the Statement of | | | Received by | | | in the Statement of | | | | Financial Condition | | | Counterparty | | | Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | | Total | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $147,901 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (48.56 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | - | % | Total expenses | | | - | % |
(A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
(B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
(C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and net investment income ratio would have been lower, and total expense ratiosratio would have been higher if the management and incentive fees, as well as sponsor fee,fees, had been charged to the Master Fund instead of the Feeder Fund. Galaxy Plus Fund – TT Master Fund (531) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Funds’Master Fund’s financial statements through March 30, 2020,31, 2021, the date the financial statements were available for issuance. Other than the items already disclosed and the item disclosed below,in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Funds’Master Fund’s financial statements through this date. On January 30, 2020, the World Health Organization declared the coronavirus outbreak a “Public Health Emergency of International Concern” and on March 10, 2020, declared it to be a pandemic. The coronavirus and actions taken to mitigate it have had and are expected to continue to have an adverse impact on the economies and financial markets of many countries, including the markets in which the Master Funds invest. While the Funds and the Master Funds cannot estimate how long these conditions will last or what the complete financial effect to the Funds will be, the Funds are experiencing and are expected to continue to experience significant impacts to financial performance and the valuation of investments, and are vulnerable to the risk of a severe impact.
Galaxy Plus Fund – TTLRR Master Fund (531)(522) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the yearperiod ended December 31, 2019,2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Aspect FORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2019 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus FundsFund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—AspectFORT Contrarian Master Fund (532)(510) LLC, (the Fund), which comprise the statementsstatement of financial condition, including the condensed schedule of investments, as of December 31, 2019,2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. THE POWER OF BEING UNDERSTOOD
AUDIT | TAX | CONSULTING
RSM US LLP is the U.S. member firm of RSM International, a global network of independent audit, tax, and consulting firms. Visit rsmus.com/aboutus for more information regarding RSM US LLP and RSM International.
Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—AspectFORT Contrarian Master Fund (532)(510) LLC as of December 31, 2019,2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP
Denver, Colorado March 30, 2020 31, 2021 Galaxy Plus Fund - AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 20192020
(Expressed in U.S. Dollars) Assets | | | | | | | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | | | | | Cash | | $ | 6,250,401 | | | $ | 2,931,858 | | Restricted cash - margin balance | | | 5,735,166 | | | | 1,288,986 | | Investments in futures contracts at fair value | | | | | | (represents unrealized appreciation on open derivative contracts, net) | | | 142,372 | | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | | 119,394 | | | | | | | | | | | Total assets | | $ | 12,127,939 | | | $ | 4,340,238 | | | | | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | | | | | | | | | Total liabilities | | | | | | Liabilities | | | | | | Payable to Onshore Feeder Fund | | $ | 47,752 | | | $ | 37,590 | | | | | | | | Total liabilities | | | 47,752 | | | | 37,590 | | | | | | | | | | | Member’s equity | | | 12,080,187 | | | | 4,302,648 | | | | | | | | | | | Total liabilities and member’s equity | | $ | 12,127,939 | | | $ | 4,340,238 | |
See notes to financial statements.
Galaxy Plus Fund - AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 20192020 (Expressed in U.S. Dollars) | | Number of | | | | Percent of | | | | | Contracts/Units | | Fair Value | | Member’s Equity | | | Number of Contracts/Units | | Fair Value | | Percent of Member’s Equity | | Long positions: | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | Agriculture | | | 47 | | | $ | 7,559 | | | | 0.06 | % | | Currency | | | 312 | | | | 180,196 | | | | 1.49 | | | | 31 | | | $ | 14,868 | | | | 0.35 | % | Energy | | | 40 | | | | 87,324 | | | | 0.72 | | | Index | | | 47 | | | | 108,101 | | | | 0.89 | | | | 12 | | | | 57,002 | | | | 1.32 | | Interest | | | 55 | | | | (45,956 | ) | | | (0.38 | ) | | | 60 | | | | (8,089 | ) | | | (0.19 | ) | Metals | | | 55 | | | | (40,450 | ) | | | (0.33 | ) | | | 3 | | | | 8,425 | | | | 0.20 | | Foreign: | | | | | | | | | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | Energy | | | 25 | | | | 45,845 | | | | 0.38 | | | | 1 | | | | (750 | ) | | | (0.02 | ) | Index | | | 252 | | | | (42,593 | ) | | | (0.35 | ) | | | 69 | | | | 39,629 | | | | 0.92 | | Interest | | | 280 | | | | (85,180 | ) | | | (0.71 | ) | | | 366 | | | | 14,194 | | | | 0.34 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total long positions | | | | | | | 214,846 | | | | 1.78 | | | | | | | | 125,279 | | | | 2.92 | | | | | | | | | | | | | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | Agriculture | | | 32 | | | | (33,468 | ) | | | (0.28 | ) | | Currency | | | 116 | | | | (146,831 | ) | | | (1.22 | ) | | | 20 | | | | (3,819 | ) | | | (0.09 | ) | Energy | | | 86 | | | | 136,780 | | | | 1.13 | | | | 12 | | | | 1,795 | | | | 0.04 | | Metals | | | 31 | | | | (47,167 | ) | | | (0.39 | ) | | Interest | | | | 56 | | | | (2,118 | ) | | | (0.05 | ) | Foreign: | | | | | | | | | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | Energy | | | | 1 | | | | (820 | ) | | | (0.02 | ) | Index | | | 2 | | | | 1,118 | | | | 0.01 | | | | 4 | | | | (2,217 | ) | | | (0.05 | ) | Interest | | | 123 | | | | 17,094 | | | | 0.14 | | | | 57 | | | | 1,294 | | | | 0.03 | | | | | | | | | | | | | | | | | | | | | | | | | | | Total short positions | | | | | | | (72,474 | ) | | | (0.60 | ) | | | | | | | (5,885 | ) | | | (0.14 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | | | $ | 142,372 | | | | 1.18 | % | | | | | | $ | 119,394 | | | | 2.78 | % |
See notes to financial statements.
Galaxy Plus Fund - AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 20192020 (Expressed in U.S. Dollars) Investment Income: | | | | | | | Interest income | | $ | 198,474 | | | Expenses: | | | | | Interest expense | | | $ | 2,824 | | | | | | | | | | | Net investment income | | | 198,474 | | | Total expenses | | | | 2,824 | | | | | | | | Net investment loss | | | | (2,824 | ) | | | | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | | | | | Net realized gain from: | | | | | | Net realized gain (loss) from: | | | | | | Derivative contracts1 | | | 3,997,582 | | | | (458,115 | ) | Foreign currency transactions | | | 21,847 | | | | 13,309 | | | | | 4,019,429 | | | | (444,806 | ) | | | | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | | Net increase (decrease) in unrealized depreciation on: | | | | | | Derivative contracts | | | 79,117 | | | | 315,892 | | Translation of assets and liabilities denominated in foreign currencies | | | (1,579 | ) | | | (2,104 | ) | | | | 77,538 | | | | 313,788 | | | | | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 4,096,967 | | | Net realized and unrealized loss on investments and foreign currency transactions | | | | (131,018 | ) | | | | | | | | | | Net increase in member’s capital resulting from operations | | $ | 4,295,441 | | | Net decrease in member’s equity resulting from operations | | | $ | (133,842 | ) |
1Includes trading costs See notes to financial statements.
Galaxy Plus Fund - AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 20192020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | | | | Net investment income | | $ | 198,474 | | | Net investment loss | | | $ | (2,824 | ) | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 4,019,429 | | | | (444,806 | ) | Net increase in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 77,538 | | | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | | 313,788 | | | | | | | | | | | Net increase in member’s capital resulting from operations | | | 4,295,441 | | | Net decrease in member’s equity resulting from operations | | | | (133,842 | ) | | | | | | | | | | Changes in member’s equity from capital transactions: | | | | | | | | | Proceeds from issuance of capital | | | 10,556,506 | | | | 401,236 | | Payments for redemptions of capital | | | (3,880,046 | ) | | | (1,780,760 | ) | | | | | | | | | | Net increase in member’s equity resulting from capital transactions | | | 6,676,460 | | | Net decrease in member’s equity resulting from capital transactions | | | | (1,379,524 | ) | | | | | | | | | | Total increase | | | 10,971,901 | | | Total decrease | | | | (1,513,366 | ) | | | | | | | | | | Member’s equity, beginning of year | | | 1,108,286 | | | | 5,816,014 | | | | | | | | | | | Member’s equity, end of year | | $ | 12,080,187 | | | $ | 4,302,648 | |
See notes to financial statements.
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 20, 2016 and commenced operations on December 16, 2016.June 5, 2015. The Master Fund was created to serve as the trading entity managed by Aspect Capital Limited, L.L.C.Fort L.P. (the “Trading Advisor”) pursuant to its Aspect Core Diversified ProgramGlobal Contrarian program (the “Program”). The Program appliesis a proprietary and systematic, quantitative investment approachtrend-anticipating trading program that seeks to generate profit from trends in both rising and falling markets.capitalize on medium to long-term trends. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fundfunds of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or Other Master Funds.funds. Galaxy Plus Fund – AspectFORT Contrarian Feeder Fund (532)(510) LLC (“LLC532”LLC510”), a separated series of the Onshore Platform and Galaxy Plus Fund – AspectFort Contrarian Offshore Feeder Fund (532)(510) Segregated Portfolio (“SPC532”SPC510”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2019, SPC5322020, SPC510 had not yet commenced operations and LLC532LLC510 is the sole member. LLC532LLC510 and SPC532SPC510 are collectively hereafter referred to as the “Feeder Funds”.
Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $12,081,085$4,204,060 is held in USD and a payable balance of ($95,518)$16,784 in foreign currencies as of December 31, 2019,2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20192020 included restricted cash for margin requirements of $5,735,166.$1,288,986. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20192020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (see(See Note 5).
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition:Depending on the Program and Investments traded, Thethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, Thethe Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/appreciation (depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statementstatement of Operations.operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 20162017 through 2019,2020 remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
Use of estimates:The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. RecentRecently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impactshas adopted ASU 2018-13 willon January 1, 2020 and related updates have on the consolidatedbeen incorporated in these financial statements.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.
Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2019.2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2019.2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2019.2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | Fair Value Measurements at Reporting Date Using | | | | | Fair Value Measurements at Reporting Date Using | | | | | | Quoted Prices | | Significant Other | | Significant | | | | | Quoted Prices | | Significant Other | | Significant | | | | | | in Active | | Observable | | Unobservable | | | | | in Active | | Observable | | Unobservable | | | | | | Markets | | Inputs | | Inputs | | | | | Markets | | Inputs | | Inputs | | Description | | Fair Value | | (Level 1) | | (Level 2) | | (Level 3) | | | Fair Value | | (Level 1) | | (Level 2) | | (Level 3) | | | | | | | | | | | | | Assets: | | | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | | | Agriculture | | $ | 28,365 | | | $ | 28,365 | | | $ | - | | | $ | - | | | Currency | | | 182,748 | | | | 182,748 | | | | - | | | | - | | | $ | 22,199 | | | $ | 22,199 | | | $ | - | | | $ | - | | Energy | | | 276,679 | | | | 276,679 | | | | - | | | | - | | | | 7,700 | | | | 7,700 | | | | - | | | | - | | Index | | | 154,765 | | | | 154,765 | | | | - | | | | - | | | | 111,681 | | | | 111,681 | | | | - | | | | - | | Interest | | | 26,040 | | | | 26,040 | | | | - | | | | - | | | | 38,229 | | | | 38,229 | | | | - | | | | - | | Metals | | | 79,600 | | | | 79,600 | | | | - | | | | - | | | | 8,425 | | | | 8,425 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 748,197 | | | | 748,197 | | | | - | | | | - | | | | 188,234 | | | | 188,234 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Agriculture | | | (54,275 | ) | | | (54,275 | ) | | | - | | | | - | | | Currency | | | (149,383 | ) | | | (149,383 | ) | | | - | | | | - | | | | (11,150 | ) | | | (11,150 | ) | | | - | | | | - | | Energy | | | (6,730 | ) | | | (6,730 | ) | | | - | | | | - | | | | (7,475 | ) | | | (7,475 | ) | | | - | | | | - | | Index | | | (88,139 | ) | | | (88,139 | ) | | | - | | | | - | | | | (17,267 | ) | | | (17,267 | ) | | | - | | | | - | | Interest | | | (140,082 | ) | | | (140,082 | ) | | | - | | | | - | | | | (32,948 | ) | | | (32,948 | ) | | | - | | | | - | | Metals | | | (167,216 | ) | | | (167,216 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (605,825 | ) | | | (605,825 | ) | | | - | | | | - | | | | (68,840 | ) | | | (68,840 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 142,372 | | | $ | 142,372 | | | $ | - | | | $ | - | | | Total net investments at fair value | | | $ | 119,394 | | | $ | 119,394 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2019.2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.
Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2019,2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | | | Short: | | | | | | | | | Agriculture | | | 47 | | | $ | 1,868,397 | | | Agriculture | | | 32 | | | $ | (872,923 | ) | Currency | | | 312 | | | | 17,681,290 | | | Currency | | | 116 | | | | (14,877,315 | ) | Energy | | | 65 | | | | 4,401,746 | | | Energy | | | 86 | | | | (1,873,860 | ) | Index | | | 299 | | | | 25,014,699 | | | Index | | | 2 | | | | (73,485 | ) | Interest | | | 335 | | | | 163,172,931 | | | Interest | | | 123 | | | | (75,010,963 | ) | Metals | | | 55 | | | | 4,845,176 | | | Metals | | | 31 | | | | (2,336,863 | ) |
Description | | Quantity | | Notional Value | | | Description | | Quantity | | Notional Value | | Long: | | | | | | | Short: | | | | | | Currency | | 31 | | $ | 3,432,970 | | | Currency | | 20 | | $ | (1,245,363 | ) | Energy | | 1 | | | 42,300 | | | Energy | | 13 | | | (530,476 | ) | Index | | 81 | | | 6,463,323 | | | Index | | 4 | | | (140,413 | ) | Interest | | 426 | | | 168,287,483 | | | Interest | | 113 | | | (105,438,104 | ) | Metals | | 3 | | | 365,460 | | | | | | | | | |
During the year ended December 31, 2019,2020, the Master Fund participated in 31,13614,355 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | Net Trading Gain (Loss)* | | | | Gain (Loss)* | | | | | Futures contracts: | | | | | | | Agriculture | | $ | (1,092,898 | ) | | Currency | | | 330,229 | | | $ | (507,507 | ) | Energy | | | (388,762 | ) | | | (103,311 | ) | Index | | | 479,715 | | | | (432,869 | ) | Interest | | | 4,903,200 | | | | 1,042,480 | | Metals | | | (98,227 | ) | | | (81,455 | ) | Total futures contracts | | | 4,133,257 | | | | (82,662 | ) | | | | | | | | | | Trading costs | | | (56,558 | ) | | | (59,561 | ) | | | | | | | | | | Total net trading gain (loss) | | $ | 4,076,699 | | | $ | (142,223 | ) |
| * | Includes both realized gain of $3,997,582 and unrealized appreciation of $79,117 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
*Includes both realized loss of $(458,115) and unrealized appreciation of $315,892 and is located in net realized and unrealized gain (loss) on investments and foreign currency transactions on the statement of operations. Amounts exclude foreign currency transactions and translation.
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: | | | | | | | Net Amount of | | | | | Gross Amounts | | Offset in the | | Assets (Liabilities) | | | | | of Recognized | | Statement of | | in the Statement of | | | Description | | Assets (Liabilities) | | | Financial Condition | | | Financial Condition | | | Gross Amounts of Recognized Assets (Liabilities) | | Offset in the Statement of Financial Condition | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | | | | | | Futures | | $ | 748,197 | | | $ | (605,825 | ) | | $ | 142,372 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | | Total | | $ | 748,197 | | | $ | (605,825 | ) | | $ | 142,372 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | |
| | | | | | | Net Amount | | | | | Net amount in | | Cash Collateral | | which is not offset | | | | | the Statement of | | Received by | | in the Statement of | | | | | Financial Condition | | | Counterparty | | | Financial Condition | | | Net amount in the Statement of Financial Condition | | Cash Collateral Received by Counterparty | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | | | | | | Counterparty A | | $ | 142,372 | | | $ | 5,735,166 | | | $ | 5,877,538 | | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | | Total | | $ | 142,372 | | | $ | 5,735,166 | | | $ | 5,877,538 | | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | |
Galaxy Plus Fund – AspectFORT Contrarian Master Fund (532)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $37,590 payable to the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On FebruaryAugust 1, 2019, NorthStar Financial Services2020, The Ultimus Group, LLC, the parent company of GAF and its affiliated companies including Gemini Hedge Fund Services, LLC (collectively, the “Gemini Companies”), sold its interest in theGAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini CompaniesHedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent fund administration firm) and its affiliates (collectively, the “Ultimus Companies”).New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 20192020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 35.44(1.64 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment loss (C) | | | (0.06 | )% | Total expenses | | | 0.06 | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment loss ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return would have been lower and the net investment loss and total expense ratios would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of, and for the year ended December 31, 2020 is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Quest Master Fund (517) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Quest Master Fund (517) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 150,395 | | Restricted cash - margin balance | | | 1,303,322 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 181,773 | | Receivable from Onshore Feeder Fund | | | 31,566 | | | | | | | Total assets | | $ | 1,667,056 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member’s equity | | | 1,667,056 | | | | | | | Total liabilities and member’s equity | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 25 | | $ | 46,927 | | | | 2.81 | % | Currency | | 68 | | | 51,869 | | | | 3.11 | | Energy | | 9 | | | 3,978 | | | | 0.24 | | Index | | 3 | | | 6,843 | | | | 0.41 | | Interest | | 109 | | | 9,683 | | | | 0.58 | | Metals | | 4 | | | 11,870 | | | | 0.71 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 3 | | | 2,340 | | | | 0.14 | | Index | | 21 | | | 40,104 | | | | 2.41 | | Interest | | 110 | | | (563 | ) | | | (0.03 | ) | | | | | | | | | | | | Total long positions | | | | | 173,051 | | | | 10.38 | | | | | | | | | | | | | Short positions: | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 5 | | | 7,560 | | | | 0.45 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Interest | | 3 | | | 1,162 | | | | 0.07 | | | | | | | | | | | | | Total short positions | | | | | 8,722 | | | | 0.52 | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | $ | 181,773 | | | | 10.90 | % |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 782 | | | | | | | Total income | | | 782 | | | | | | | Net investment income | | | 782 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | 253,663 | | Foreign currency transactions | | | (5,392 | ) | | | | 248,271 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 127,737 | | Translation of assets and liabilities denominated in foreign currencies | | | (1,687 | ) | | | | 126,050 | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 374,321 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 375,103 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 782 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 248,271 | | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 126,050 | | | | | | | Net increase in member’s equity resulting from operations | | | 375,103 | | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 531,759 | | Payments for redemptions of capital | | | (276,029 | ) | | | | | | Net increase in member’s equity resulting from capital transactions | | | 255,730 | | | | | | | Total increase | | | 630,833 | | | | | | | Member’s equity, beginning of year | | | 1,036,223 | | | | | | | Member’s equity, end of year | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 1. | Organization and Structure |
Galaxy Plus Fund – Quest Master Fund (517) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 12, 2016 and commenced operation on June 29, 2016. The Master Fund was created to serve as the trading entity managed by Quest Partner, L.L.C. (the “Trading Advisor”) pursuant to its Quest Tracker Index “QTI” (the “Program”). The Program is a systematic program that seeks to replicate the performance generated by the broad class of managed futures trading strategies of trend following. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quest Feeder Fund (517) (“LLC517”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quest Offshore Feeder Fund (517) Segregated Portfolio (“SPC517”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC517 had not yet commenced operations and LLC517 is the sole member. LLC517 and SPC517 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. | Note 2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $1,481,320 is held in USD and a payable balance of $(27,603) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $1,303,322. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. | Note 3. | Fair Value Measurements |
The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 47,847 | | | $ | 47,847 | | | $ | - | | | $ | - | | Currency | | | 63,551 | | | | 63,551 | | | | - | | | | - | | Energy | | | 14,407 | | | | 14,407 | | | | - | | | | - | | Index | | | 48,616 | | | | 48,616 | | | | - | | | | - | | Interest | | | 16,158 | | | | 16,158 | | | | - | | | | - | | Metals | | | 12,185 | | | | 12,185 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 202,764 | | | | 202,764 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (920 | ) | | | (920 | ) | | | - | | | | - | | Currency | | | (11,682 | ) | | | (11,682 | ) | | | - | | | | - | | Energy | | | (529 | ) | | | (529 | ) | | | - | | | | - | | Index | | | (1,669 | ) | | | (1,669 | ) | | | - | | | | - | | Interest | | | (5,876 | ) | | | (5,876 | ) | | | - | | | | - | | Metals | | | (315 | ) | | | (315 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (20,991 | ) | | | (20,991 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 181,773 | | | $ | 181,773 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 4. | Derivative Financial Instruments |
Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 25 | | | $ | 831,825 | | | Energy | | | 5 | | | $ | (126,950 | ) | Currency | | | 68 | | | | 7,228,513 | | | Interest | | | 3 | | | | (4,413,286 | ) | Energy | | | 12 | | | | 638,001 | | | | | | | | | | | | Index | | | 24 | | | | 2,410,764 | | | | | | | | | | | | Interest | | | 219 | | | | 149,273,735 | | | | | | | | | | | | Metals | | | 4 | | | | 497,520 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 2,896 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Agriculture | | $ | 160,048 | | Currency | | | (57,005 | ) | Energy | | | 130,950 | | Index | | | 26,138 | | Interest | | | 99,362 | | Metals | | | 36,053 | | Total futures | | | 395,546 | | | | | | | Trading costs | | | (14,146 | ) | | | | | | Total net trading gain (loss) | | $ | 381,400 | |
| * | Includes both realized gain of $253,663 and unrealized appreciation of $127,737 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 5. | Balance Sheet Offsetting |
The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | Futures | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | | Total | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | | Total | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements As of December 31, 2020, the Master Fund had $31,566 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. | Note 7. | Financial Highlights |
Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 30.61 | % | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | 1.680.06 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2019.2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income ratio would have been lower and the total expense ratiosratio would have been higher if the management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – AspectQuest Master Fund (532)(517) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—LRR Master Fund (522) LLC, which comprise the statement of financial condition, including the schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—LRR Master Fund (522) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 270,212 | | Restricted cash - margin balance | | | 7,425 | | Investments in futures contracts at fair value | | | | | (represents unrealized appreciation on open derivative contracts, net) | | | 43,650 | | Receivable from Onshore Feeder Fund | | | 147,901 | | Other assets | | | 302 | | | | | | | Total assets | | $ | 469,490 | | | | | | | Liabilities and member’s equity | | | | | | | | | | Liabilities | | | | | | | | | | Total liabilities | | | - | | | | | | | Member’s equity | | | 469,490 | | | | | | | Total liabilities and member’s equity | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | | Fair Value | | | Percent of Member’s Equity | | | | | | | | | | | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture | | | | | | | | | | Corn - Maturity July 2021 | | | 18 | | | $ | 85,725 | | | | 18.26 | % | | | | | | | | | | | | | | Total long positions | | | | | | | 85,725 | | | | 18.26 | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | | | | | | | | | | | | Corn - Maturity December 2021 | | | 18 | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Total short positions | | | | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Investments in future contracts, at fair value | | | | | | $ | 43,650 | | | | 9.30 | % |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Operations For the year endedDecember 31, 2020 (Expressed in U.S. Dollars) Net investment income | | $ | - | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (491,764 | ) | | | | (491,764 | ) | | | | | | Net increase (decrease) in unrealized appreciation on: | | | 18,387 | | Derivative contracts | | | 18,387 | | | | | | | Net realized and unrealized gain on investments | | | (473,377 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (473,377 | ) |
1Includes trading costs See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | - | | Net realized gain (loss) from derivative contracts | | | (491,764 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts | | | 18,387 | | | | | | | Net decrease in member’s equity resulting from operations | | | (473,377 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 132,012 | | Payments for redemptions of capital | | | (230,291 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (98,279 | ) | | | | | | Total decrease | | | (571,656 | ) | | | | | | Member’s equity, beginning of year | | | 1,041,146 | | | | | | | Member’s equity, end of year | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – LRR Master Fund (522) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 26, 2016 and commenced operation on April 28, 2016.The Master Fund is a multi-advisor managed futures fund that allocates and reallocates its capital to different trading advisors implementing various trading programs. During the year ended December 31, 2020, these trading advisors were Landmark Trading Company (“Landmark”) and Rosetta Capital Management, LLC (“Rosetta”), (collectively, the “Trading Advisors”). Landmark runs a discretionary programs and Rosetta runs a technical program. Each Trading Advisor runs their Program independently of one another. Landmark stopped trading on April 30, 2020. As of December 31, 2020, Rosetta is the sole trading advisor for LRR. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisors are not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – LRR Feeder Fund (522) (“LLC522”), a separated series of the Onshore Platform and Galaxy Plus Fund – LRR Offshore Feeder Fund (522) Segregated Portfolio (“SPC522”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC522 had not yet commenced operations and LLC522 is the sole member. LLC522 and SPC522 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into tri-party contracts (the “Trading Agreements”) with the Trading Advisors pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisors in accordance with the Program. The Trading Advisors may alter their programs (including their trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisors provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisors (or their affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $277,637 is held in USD and $0 in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $7,425. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 85,725 | | | $ | 85,725 | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 85,725 | | | | 85,725 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 43,650 | | | $ | 43,650 | | | $ | - | | | $ | - | |
Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited. The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and options contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | | Quantity | | | Notional Value | | | Description | | | Quantity | | | Notional Value | | Long: | | | | | | | | | Short: | | | | | | | | Agriculture | | | | 18 | | | $ | 432,225 | | | | Agriculture | | | | 18 | | | $ | (391,275 | ) |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements During the year ended December 31, 2020, the Master Fund participated in 119 futures contracts, and 159 options on futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Options on futures contracts: | | | | Agriculture | | $ | (516,865 | ) | Total options on futures contracts | | | | | | | | (516,865 | ) | Futures contracts: | | | | | Agriculture | | | 57,240 | | Total futures contracts | | | 57,240 | | | | | | | Trading costs | | | (13,752 | ) | | | | | | Total net trading gain (loss) | | $ | (473,377 | ) |
* | Includes both realized loss of $491,764 and unrealized appreciation of $18,387 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: | | | | | | | | Net Amount of | | | | Gross Amounts | | | Offset in the | | | Assets (Liabilities) | | | | of Recognized | | | Statement of | | | in the Statement of | | Description | | Assets (Liabilities) | | | Financial Condition | | | Financial Condition | | | | | | | | | | | | Futures | | $ | 85,725 | | | | (42,075 | ) | | $ | 43,650 | | Total | | $ | 85,725 | | | $ | (42,075 | ) | | $ | 43,650 | |
| | Net amount in | | | Cash Collateral | | | Net Amount | | | | the Statement of | | | Received by | | | in the Statement of | | | | Financial Condition | | | Counterparty | | | Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | | Total | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $147,901 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (48.56 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | - | % | Total expenses | | | - | % |
(A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
(B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
(C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and net investment income ratio would have been lower, and total expense ratio would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Funds’Master Fund’s financial statements through March 30, 2020,31, 2021, the date the financial statements were available for issuance. Other than the items already disclosed and the item disclosed below,in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Funds’Master Fund’s financial statements through this date. On January 30, 2020, the World Health Organization declared the coronavirus outbreak a “Public Health Emergency of International Concern” and on March 10, 2020, declared it to be a pandemic. The coronavirus and actions taken to mitigate it have had and are expected to continue to have an adverse impact on the economies and financial markets of many countries, including the markets in which the Master Funds invest. While the Funds and the Master Funds cannot estimate how long these conditions will last or what the complete financial effect to the Funds will be, the Funds are experiencing and are expected to continue to experience significant impacts to financial performance and the valuation of investments, and are vulnerable to the risk of a severe impact.
Galaxy Plus Fund – AspectLRR Master Fund (532)(522) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the yearperiod ended December 31, 2019,2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 20192020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Welton GDPFORT Contrarian Master Fund (538)(510) LLC, (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2019,2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. THE POWER OF BEING UNDERSTOOD
AUDIT | TAX | CONSULTING
RSM US LLP is the U.S. member firm of RSM International, a global network of independent audit, tax, and consulting firms. Visit rsmus.com/aboutus for more information regarding RSM US LLP and RSM International.
Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Welton GDPFORT Contrarian Master Fund (538)(510) LLC as of December 31, 2019,2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP
Denver, Colorado March 30, 2020
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC | (A Delaware Limited Liability Company) | | Statement of Financial Condition | December 31, 2019 | (Expressed in U.S. Dollars) |
Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 3,704,100 | | Restricted cash - margin balance | | | 2,754,612 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 42,868 | | Receivable from Onshore Feeder Fund | | | 71,053 | | | | | | | Total assets | | $ | 6,572,633 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member’s equity | | | 6,572,633 | | | | | | | Total liabilities member’s equity | | $ | 6,572,633 | |
See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC | | (A Delaware Limited Liability Company) | | | | Condensed Schedule of Investments | | December 31, 2019 | | (Expressed in U.S. Dollars) | |
| | | | | | | Percent of | | | | Number of | | | | | Member’s | | | | Contracts/Units | | Fair Value | | | Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 268 | | $ | 248,041 | | | | 3.77 | % | Currency | | 84 | | | 26,445 | | | | 0.40 | | Energy | | 111 | | | 159,745 | | | | 2.44 | | Index | | 38 | | | 99,044 | | | | 1.51 | | Interest | | 93 | | | (20,253 | ) | | | (0.31 | ) | Metals | | 45 | | | 30,277 | | | | 0.46 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 6 | | | 12,460 | | | | 0.19 | | Index | | 137 | | | (44,724 | ) | | | (0.68 | ) | Interest | | 74 | | | (21,686 | ) | | | (0.33 | ) | | | | | | | | | | | | Total long positions | | | | $ | 489,349 | | | | 7.45 | % |
(Continued)31, 2021
Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC Galaxy Plus Fund - Welton GDP Master Fund (538) LLC | | (A Delaware Limited Liability Company) | | | | Condensed Schedule of Investments (Continued) | | December 31, 2019 | | (Expressed in U.S. Dollars) | |
(A Delaware Limited Liability Company) | | | | | | | Percent of | | | | Number of | | | | | Member’s | | | | Contracts/Units | | Fair Value | | | Equity | | Short positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 292 | | $ | (312,048 | ) | | | (4.75 | )% | Currency | | 76 | | | (53,977 | ) | | | (0.82 | ) | Energy | | 120 | | | (70,923 | ) | | | (1.08 | ) | Metals | | 56 | | | (21,245 | ) | | | (0.32 | ) | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Agriculture | | 6 | | | 1,029 | | | | 0.02 | | Interest | | 25 | | | 10,683 | | | | 0.16 | | | | | | | | | | | | | Total short positions | | | | | (446,481 | ) | | | (6.79 | ) | | | | | | | | | | | | Investments in future contracts, at fair value | | | | $ | 42,868 | | | | 0.66 | % |
Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | | Cash | | $ | 2,931,858 | | Restricted cash - margin balance | | | 1,288,986 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 119,394 | | | | | | | Total assets | | $ | 4,340,238 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Liabilities | | | | | Payable to Onshore Feeder Fund | | $ | 37,590 | | | | | | | Total liabilities | | | 37,590 | | | | | | | Member’s equity | | | 4,302,648 | | | | | | | Total liabilities and member’s equity | | $ | 4,340,238 | |
See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC | (A Delaware Limited Liability Company) | | Statement of Operations | For the year ended December 31, 2019 | (Expressed in U.S. Dollars) |
Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Investment Income: | | | | Interest income | | $ | 159,430 | | | | | | | Net investment income | | | 159,430 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain from: | | | | | Derivative contracts | | | 2,731,876 | | Foreign currency transactions | | | 11,734 | | | | | 2,743,610 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | (1,138,459 | ) | Translation of assets and liabilities denominated in foreign currencies | | | (7,213 | ) | | | | (1,145,672 | ) | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 1,597,938 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 1,757,368 | |
Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Currency | | | 31 | | | $ | 14,868 | | | | 0.35 | % | Index | | | 12 | | | | 57,002 | | | | 1.32 | | Interest | | | 60 | | | | (8,089 | ) | | | (0.19 | ) | Metals | | | 3 | | | | 8,425 | | | | 0.20 | | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | | 1 | | | | (750 | ) | | | (0.02 | ) | Index | | | 69 | | | | 39,629 | | | | 0.92 | | Interest | | | 366 | | | | 14,194 | | | | 0.34 | | | | | | | | | | | | | | | Total long positions | | | | | | | 125,279 | | | | 2.92 | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | | 20 | | | | (3,819 | ) | | | (0.09 | ) | Energy | | | 12 | | | | 1,795 | | | | 0.04 | | Interest | | | 56 | | | | (2,118 | ) | | | (0.05 | ) | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | | 1 | | | | (820 | ) | | | (0.02 | ) | Index | | | 4 | | | | (2,217 | ) | | | (0.05 | ) | Interest | | | 57 | | | | 1,294 | | | | 0.03 | | | | | | | | | | | | | | | Total short positions | | | | | | | (5,885 | ) | | | (0.14 | ) | | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | | | $ | 119,394 | | | | 2.78 | % |
See notes to financial statements.
Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Expenses: | | | | Interest expense | | $ | 2,824 | | | | | | | Total expenses | | | 2,824 | | | | | | | Net investment loss | | | (2,824 | ) | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (458,115 | ) | Foreign currency transactions | | | 13,309 | | | | | (444,806 | ) | | | | | | Net increase (decrease) in unrealized depreciation on: | | | | | Derivative contracts | | | 315,892 | | Translation of assets and liabilities denominated in foreign currencies | | | (2,104 | ) | | | | 313,788 | | | | | | | Net realized and unrealized loss on investments and foreign currency transactions | | | (131,018 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (133,842 | ) |
1 Includes trading costs See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC | (A Delaware Limited Liability Company) | | Statement of Changes in Member’s Equity | For the year ended December 31, 2019 | (Expressed in U.S. Dollars) |
Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Changes in member’s equity from operations: | | | | Net investment income | | $ | 159,430 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 2,743,610 | | Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | (1,145,672 | ) | | | | | | Net increase in member’s equity resulting from operations | | | 1,757,368 | | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 1,555,297 | | Payments for redemptions of capital | | | (15,179,068 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (13,623,771 | ) | | | | | | Total decrease | | | (11,866,403 | ) | | | | | | Member’s equity, beginning of year | | | 18,439,036 | | | | | | | Member’s equity, end of year | | $ | 6,572,633 | |
Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment loss | | $ | (2,824 | ) | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | (444,806 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 313,788 | | | | | | | Net decrease in member’s equity resulting from operations | | | (133,842 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 401,236 | | Payments for redemptions of capital | | | (1,780,760 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (1,379,524 | ) | | | | | | Total decrease | | | (1,513,366 | ) | | | | | | Member’s equity, beginning of year | | | 5,816,014 | | | | | | | Member’s equity, end of year | | $ | 4,302,648 | |
See notes to financial statements.
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 27, 2017 and commenced operation on March 28, 2017.June 5, 2015. The Master Fund was created to serve as the trading entity managed by Welton Investment Partners, L.L.C.Fort L.P. (the “Trading Advisor”) pursuant to its Global Directional PortfolioContrarian program (the “Program”). The Program is designeda systematic, trend-anticipating trading program that seeks to provide investors with non-correlated returns andcapitalize on medium to long-term capital appreciation through the global futures and FX Markets.trends. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fundfunds of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or otherOther Master Funds.funds. Galaxy Plus Fund – Welton GDPFORT Contrarian Feeder Fund (538W)(510) LLC (“LLC538W”LLC510”), a separated series of the Onshore Platform and Galaxy Plus Fund – Welton GDPFort Contrarian Offshore Feeder Fund (538W)(510) Segregated Portfolio (“SPC538W”SPC510”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2019, SPC538W2020, SPC510 had not yet commenced operations and LLC538WLLC510 is the sole member. LLC538WLLC510 and SPC538WSPC510 are collectively hereafter referred to as the “Feeder Funds”.
Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $6,500,557$4,204,060 is held in USD and a payable balance of ($41,845)$16,784 in foreign currencies as of December 31, 2019,2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20192020 included restricted cash for margin requirements of $2,754,612.$1,288,986. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20192020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition:Depending on the Program and Investments traded, Thethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, Thethe Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/appreciation (depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions:The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the .fairfair value of margin collateral assets and liabilities resulting from changes in exchange rates.
Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statementstatement of Operations.operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2019,2020 remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
Use of estimates:The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the period,year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the period;year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. RecentRecently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impactshas adopted ASU 2018-13 willon January 1, 2020 and related updates have on thebeen incorporated in these financial statements.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2019.2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2019.2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2019.2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 313,423 | | | $ | 313,423 | | | $ | - | | | $ | - | | Currency | | | 39,212 | | | | 39,212 | | | | - | | | | - | | Energy | | | 215,447 | | | | 215,447 | | | | - | | | | - | | Index | | | 113,092 | | | | 113,092 | | | | - | | | | - | | Interest | | | 14,357 | | | | 14,357 | | | | - | | | | - | | Metals | | | 140,286 | | | | 140,286 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 835,817 | | | | 835,817 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (376,400 | ) | | | (376,400 | ) | | | - | | | | - | | Currency | | | (66,743 | ) | | | (66,743 | ) | | | - | | | | - | | Energy | | | (114,165 | ) | | | (114,165 | ) | | | - | | | | - | | Index | | | (58,774 | ) | | | (58,774 | ) | | | - | | | | - | | Interest | | | (45,613 | ) | | | (45,613 | ) | | | - | | | | - | | Metals | | | (131,254 | ) | | | (131,254 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (792,949 | ) | | | (792,949 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 42,868 | | | $ | 42,868 | | | $ | - | | | $ | - | |
| | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | | | | | | | | | | | | | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | $ | 22,199 | | | $ | 22,199 | | | $ | - | | | $ | - | | Energy | | | 7,700 | | | | 7,700 | | | | - | | | | - | | Index | | | 111,681 | | | | 111,681 | | | | - | | | | - | | Interest | | | 38,229 | | | | 38,229 | | | | - | | | | - | | Metals | | | 8,425 | | | | 8,425 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 188,234 | | | | 188,234 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Currency | | | (11,150 | ) | | | (11,150 | ) | | | - | | | | - | | Energy | | | (7,475 | ) | | | (7,475 | ) | | | - | | | | - | | Index | | | (17,267 | ) | | | (17,267 | ) | | | - | | | | - | | Interest | | | (32,948 | ) | | | (32,948 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (68,840 | ) | | | (68,840 | ) | | | - | | | | - | | Total net investments at fair value | | $ | 119,394 | | | $ | 119,394 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2019.2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2019,2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 268 | | | $ | 8,109,427 | | | Agriculture | | | 298 | | | $ | (7,883,871 | ) | Currency | | | 84 | | | | 5,073,485 | | | Currency | | | 76 | | | | (8,915,972 | ) | Energy | | | 117 | | | | 7,359,851 | | | Energy | | | 120 | | | | (5,484,198 | ) | Index | | | 175 | | | | 17,258,464 | | | Interest | | | 25 | | | | (13,208,681 | ) | Interest | | | 167 | | | | 85,429,457 | | | Metals | | | 56 | | | | (4,119,850 | ) | Metals | | | 45 | | | | 4,179,908 | | | | | | | | | | | |
Description | | Quantity | | Notional Value | | | Description | | Quantity | | Notional Value | | Long: | | | | | | | Short: | | | | | | Currency | | 31 | | $ | 3,432,970 | | | Currency | | 20 | | $ | (1,245,363 | ) | Energy | | 1 | | | 42,300 | | | Energy | | 13 | | | (530,476 | ) | Index | | 81 | | | 6,463,323 | | | Index | | 4 | | | (140,413 | ) | Interest | | 426 | | | 168,287,483 | | | Interest | | 113 | | | (105,438,104 | ) | Metals | | 3 | | | 365,460 | | | | | | | | | |
During the year ended December 31, 2019,2020, the Master Fund participated in 16,97614,355 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | | Net Trading Gain (Loss)* | | | | Net Trading Gain (Loss)* | | | | | Futures contracts: | | | | | | | Agriculture | | $ | (387,359 | ) | | Currency | | | 8,777 | | | $ | (507,507 | ) | Energy | | | (1,211,744 | ) | | | (103,311 | ) | Index | | | (1,221,698 | ) | | | (432,869 | ) | Interest | | | 4,632,006 | | | | 1,042,480 | | Metals | | | (35,973 | ) | | | (81,455 | ) | Total futures | | | 1,784,009 | | | Total futures contracts | | | | (82,662 | ) | | | | | | | | | | Trading costs | | | (190,592 | ) | | | (59,561 | ) | | | | | | | | | | Total net trading gain (loss) | | $ | 1,593,417 | | | $ | (142,223 | ) |
| * | Includes both realized gain of $2,731,876 and unrealized depreciation of ($1,138,459) and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
*Includes both realized loss of $(458,115) and unrealized appreciation of $315,892 and is located in net realized and unrealized gain (loss) on investments and foreign currency transactions on the statement of operations. Amounts exclude foreign currency transactions and translation.
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | Offset in the Statement of Financial Condition | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | Gross Amounts of Recognized Assets (Liabilities) | | Offset in the Statement of Financial Condition | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | | | | | | Futures | | $ | 835,817 | | | $ | (792,949 | ) | | $ | 42,868 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | | Total | | $ | 835,817 | | | $ | (792,949 | ) | | $ | 42,868 | | | $ | 188,234 | | | $ | (68,840 | ) | | $ | 119,394 | |
| | Net amount in the Statement of Financial Condition | | Cash Collateral Received by Counterparty | | Net Amount which is not offset in the Statement of Financial Condition | | | Net amount in the Statement of Financial Condition | | Cash Collateral Received by Counterparty | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | | | | | | Counterparty A | | $ | 42,868 | | | $ | 2,754,612 | | | $ | 2,797,480 | | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | | Total | | $ | 42,868 | | | $ | 2,754,612 | | | $ | 2,797,480 | | | $ | 119,394 | | | $ | 1,288,986 | | | $ | 1,408,380 | |
Galaxy Plus Fund – Welton GDPFORT Contrarian Master Fund (538)(510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $37,590 payable to the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On FebruaryAugust 1, 2019, NorthStar Financial Services2020, The Ultimus Group, LLC, the parent company of GAF and its affiliated companies including Gemini Hedge Fund Services, LLC (collectively, the “Gemini Companies”), sold its interest in theGAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini CompaniesHedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent fund administration firm) and its affiliates (collectively, the “Ultimus Companies”).New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 20192020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 8.34(1.64 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment loss (C) | | | (0.06 | )% | Total expenses | | | 0.06 | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment loss ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return would have been lower and the net investment loss and total expense ratios would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of, and for the year ended December 31, 2020 is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Quest Master Fund (517) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Quest Master Fund (517) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 150,395 | | Restricted cash - margin balance | | | 1,303,322 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 181,773 | | Receivable from Onshore Feeder Fund | | | 31,566 | | | | | | | Total assets | | $ | 1,667,056 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member’s equity | | | 1,667,056 | | | | | | | Total liabilities and member’s equity | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 25 | | $ | 46,927 | | | | 2.81 | % | Currency | | 68 | | | 51,869 | | | | 3.11 | | Energy | | 9 | | | 3,978 | | | | 0.24 | | Index | | 3 | | | 6,843 | | | | 0.41 | | Interest | | 109 | | | 9,683 | | | | 0.58 | | Metals | | 4 | | | 11,870 | | | | 0.71 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 3 | | | 2,340 | | | | 0.14 | | Index | | 21 | | | 40,104 | | | | 2.41 | | Interest | | 110 | | | (563 | ) | | | (0.03 | ) | | | | | | | | | | | | Total long positions | | | | | 173,051 | | | | 10.38 | | | | | | | | | | | | | Short positions: | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 5 | | | 7,560 | | | | 0.45 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Interest | | 3 | | | 1,162 | | | | 0.07 | | | | | | | | | | | | | Total short positions | | | | | 8,722 | | | | 0.52 | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | $ | 181,773 | | | | 10.90 | % |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 782 | | | | | | | Total income | | | 782 | | | | | | | Net investment income | | | 782 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | 253,663 | | Foreign currency transactions | | | (5,392 | ) | | | | 248,271 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 127,737 | | Translation of assets and liabilities denominated in foreign currencies | | | (1,687 | ) | | | | 126,050 | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 374,321 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 375,103 | |
See notes to financial statements.
Galaxy Plus Fund - Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 782 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 248,271 | | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 126,050 | | | | | | | Net increase in member’s equity resulting from operations | | | 375,103 | | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 531,759 | | Payments for redemptions of capital | | | (276,029 | ) | | | | | | Net increase in member’s equity resulting from capital transactions | | | 255,730 | | | | | | | Total increase | | | 630,833 | | | | | | | Member’s equity, beginning of year | | | 1,036,223 | | | | | | | Member’s equity, end of year | | $ | 1,667,056 | |
See notes to financial statements.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 1. | Organization and Structure |
Galaxy Plus Fund – Quest Master Fund (517) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 12, 2016 and commenced operation on June 29, 2016. The Master Fund was created to serve as the trading entity managed by Quest Partner, L.L.C. (the “Trading Advisor”) pursuant to its Quest Tracker Index “QTI” (the “Program”). The Program is a systematic program that seeks to replicate the performance generated by the broad class of managed futures trading strategies of trend following. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quest Feeder Fund (517) (“LLC517”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quest Offshore Feeder Fund (517) Segregated Portfolio (“SPC517”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC517 had not yet commenced operations and LLC517 is the sole member. LLC517 and SPC517 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. | Note 2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $1,481,320 is held in USD and a payable balance of $(27,603) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $1,303,322. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. | Note 3. | Fair Value Measurements |
The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 47,847 | | | $ | 47,847 | | | $ | - | | | $ | - | | Currency | | | 63,551 | | | | 63,551 | | | | - | | | | - | | Energy | | | 14,407 | | | | 14,407 | | | | - | | | | - | | Index | | | 48,616 | | | | 48,616 | | | | - | | | | - | | Interest | | | 16,158 | | | | 16,158 | | | | - | | | | - | | Metals | | | 12,185 | | | | 12,185 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 202,764 | | | | 202,764 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (920 | ) | | | (920 | ) | | | - | | | | - | | Currency | | | (11,682 | ) | | | (11,682 | ) | | | - | | | | - | | Energy | | | (529 | ) | | | (529 | ) | | | - | | | | - | | Index | | | (1,669 | ) | | | (1,669 | ) | | | - | | | | - | | Interest | | | (5,876 | ) | | | (5,876 | ) | | | - | | | | - | | Metals | | | (315 | ) | | | (315 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (20,991 | ) | | | (20,991 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 181,773 | | | $ | 181,773 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 4. | Derivative Financial Instruments |
Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 25 | | | $ | 831,825 | | | Energy | | | 5 | | | $ | (126,950 | ) | Currency | | | 68 | | | | 7,228,513 | | | Interest | | | 3 | | | | (4,413,286 | ) | Energy | | | 12 | | | | 638,001 | | | | | | | | | | | | Index | | | 24 | | | | 2,410,764 | | | | | | | | | | | | Interest | | | 219 | | | | 149,273,735 | | | | | | | | | | | | Metals | | | 4 | | | | 497,520 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 2,896 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Agriculture | | $ | 160,048 | | Currency | | | (57,005 | ) | Energy | | | 130,950 | | Index | | | 26,138 | | Interest | | | 99,362 | | Metals | | | 36,053 | | Total futures | | | 395,546 | | | | | | | Trading costs | | | (14,146 | ) | | | | | | Total net trading gain (loss) | | $ | 381,400 | |
| * | Includes both realized gain of $253,663 and unrealized appreciation of $127,737 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements | Note 5. | Balance Sheet Offsetting |
The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | Futures | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | | Total | | $ | 202,764 | | | $ | (20,991 | ) | | $ | 181,773 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | | Total | | $ | 181,773 | | | $ | 1,303,322 | | | $ | 1,485,095 | |
Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements As of December 31, 2020, the Master Fund had $31,566 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. | Note 7. | Financial Highlights |
Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 30.61 | % | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | 1.380.06 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2019.2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income ratio would have been lower and the total expense ratiosratio would have been higher if the management and incentive fees, andas well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC
(A Delaware Limited Liability Company)
Notes to Financial Statements
Note 8. Subsequent Events
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Funds’Master Fund’s financial statements through March 30, 2020,31, 2021, the date the financial statements were available for issuance. Other than the item disclosed below,in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Funds’Master Fund’s financial statements through this date. On January 30, 2020, the World Health Organization declared the coronavirus outbreak a “Public Health Emergency of International Concern” and on March 10, 2020, declared it to be a pandemic. The coronavirus and actions taken to mitigate it have had and are expected to continue to have an adverse impact on the economies and financial markets of many countries, including the markets in which the Master Funds invest. While the Funds and the Master Funds cannot estimate how long these conditions will last or what the complete financial effect to the Funds will be, the Funds are experiencing and are expected to continue to experience significant impacts to financial performance and the valuation of investments, and are vulnerable to the risk of a severe impact.
Galaxy Plus Fund – Welton GDPQuest Master Fund (538)(517) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 20192020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
Contents
Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—LRR Master Fund (522) LLC, which comprise the statement of financial condition, including the schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—LRR Master Fund (522) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 270,212 | | Restricted cash - margin balance | | | 7,425 | | Investments in futures contracts at fair value | | | | | (represents unrealized appreciation on open derivative contracts, net) | | | 43,650 | | Receivable from Onshore Feeder Fund | | | 147,901 | | Other assets | | | 302 | | | | | | | Total assets | | $ | 469,490 | | | | | | | Liabilities and member’s equity | | | | | | | | | | Liabilities | | | | | | | | | | Total liabilities | | | - | | | | | | | Member’s equity | | | 469,490 | | | | | | | Total liabilities and member’s equity | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | | Fair Value | | | Percent of Member’s Equity | | | | | | | | | | | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture | | | | | | | | | | Corn - Maturity July 2021 | | | 18 | | | $ | 85,725 | | | | 18.26 | % | | | | | | | | | | | | | | Total long positions | | | | | | | 85,725 | | | | 18.26 | | | | | | | | | | | | | | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | | | | | | | | | | | | Corn - Maturity December 2021 | | | 18 | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Total short positions | | | | | | | (42,075 | ) | | | (8.96 | ) | | | | | | | | | | | | | | Investments in future contracts, at fair value | | | | | | $ | 43,650 | | | | 9.30 | % |
See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Operations For the year endedDecember 31, 2020 (Expressed in U.S. Dollars) Net investment income | | $ | - | | | | | | | Realized and unrealized gain (loss) on investments: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (491,764 | ) | | | | (491,764 | ) | | | | | | Net increase (decrease) in unrealized appreciation on: | | | 18,387 | | Derivative contracts | | | 18,387 | | | | | | | Net realized and unrealized gain on investments | | | (473,377 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (473,377 | ) |
1Includes trading costs See notes to financial statements.
Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | - | | Net realized gain (loss) from derivative contracts | | | (491,764 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts | | | 18,387 | | | | | | | Net decrease in member’s equity resulting from operations | | | (473,377 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 132,012 | | Payments for redemptions of capital | | | (230,291 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (98,279 | ) | | | | | | Total decrease | | | (571,656 | ) | | | | | | Member’s equity, beginning of year | | | 1,041,146 | | | | | | | Member’s equity, end of year | | $ | 469,490 | |
See notes to financial statements.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – LRR Master Fund (522) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 26, 2016 and commenced operation on April 28, 2016.The Master Fund is a multi-advisor managed futures fund that allocates and reallocates its capital to different trading advisors implementing various trading programs. During the year ended December 31, 2020, these trading advisors were Landmark Trading Company (“Landmark”) and Rosetta Capital Management, LLC (“Rosetta”), (collectively, the “Trading Advisors”). Landmark runs a discretionary programs and Rosetta runs a technical program. Each Trading Advisor runs their Program independently of one another. Landmark stopped trading on April 30, 2020. As of December 31, 2020, Rosetta is the sole trading advisor for LRR. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisors are not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – LRR Feeder Fund (522) (“LLC522”), a separated series of the Onshore Platform and Galaxy Plus Fund – LRR Offshore Feeder Fund (522) Segregated Portfolio (“SPC522”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC522 had not yet commenced operations and LLC522 is the sole member. LLC522 and SPC522 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into tri-party contracts (the “Trading Agreements”) with the Trading Advisors pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisors in accordance with the Program. The Trading Advisors may alter their programs (including their trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisors provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisors (or their affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $277,637 is held in USD and $0 in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $7,425. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 85,725 | | | $ | 85,725 | | | $ | - | | | $ | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 85,725 | | | | 85,725 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (42,075 | ) | | | (42,075 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | 43,650 | | | $ | 43,650 | | | $ | - | | | $ | - | |
Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited. The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and options contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | | Quantity | | | Notional Value | | | Description | | | Quantity | | | Notional Value | | Long: | | | | | | | | | Short: | | | | | | | | Agriculture | | | | 18 | | | $ | 432,225 | | | | Agriculture | | | | 18 | | | $ | (391,275 | ) |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements During the year ended December 31, 2020, the Master Fund participated in 119 futures contracts, and 159 options on futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Options on futures contracts: | | | | Agriculture | | $ | (516,865 | ) | Total options on futures contracts | | | | | | | | (516,865 | ) | Futures contracts: | | | | | Agriculture | | | 57,240 | | Total futures contracts | | | 57,240 | | | | | | | Trading costs | | | (13,752 | ) | | | | | | Total net trading gain (loss) | | $ | (473,377 | ) |
* | Includes both realized loss of $491,764 and unrealized appreciation of $18,387 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: | | | | | | | | Net Amount of | | | | Gross Amounts | | | Offset in the | | | Assets (Liabilities) | | | | of Recognized | | | Statement of | | | in the Statement of | | Description | | Assets (Liabilities) | | | Financial Condition | | | Financial Condition | | | | | | | | | | | | Futures | | $ | 85,725 | | | | (42,075 | ) | | $ | 43,650 | | Total | | $ | 85,725 | | | $ | (42,075 | ) | | $ | 43,650 | |
| | Net amount in | | | Cash Collateral | | | Net Amount | | | | the Statement of | | | Received by | | | in the Statement of | | | | Financial Condition | | | Counterparty | | | Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | | Total | | $ | 43,650 | | | $ | 7,425 | | | $ | 51,075 | |
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $147,901 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (48.56 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | - | % | Total expenses | | | - | % |
(A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
(B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
(C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and net investment income ratio would have been lower, and total expense ratio would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020, is accurate and complete.
/s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
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Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—QIM Master Fund (526) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—QIM Master Fund (526) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 1,037,799 | | Restricted cash - margin balance | | | 1,333,830 | | Receivable from Onshore Feeder Fund | | | 408,675 | | | | | | | Total assets | | $ | 2,780,304 | | Liabilities and Member’s Equity | | | | | | | | | | Liabilities | | | | | Deficit in in commodity trading accounts at clearing brokers: | | | | | | | | | | Investments in futures contracts at fair value (represents unrealized depreciation on open derivative contracts, net) | | $ | 10,323 | | Total liabilities | | | 10,323 | | | | | | | Member’s equity | | | 2,769,981 | | | | | | | Total liabilities and member’s equity | | $ | 2,780,304 | |
See notes to financial statements.
Galaxy Plus Fund - QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars)
| | Number of | | | | | | Percent of | | | | Contracts/Units | | | Fair Value | | | Member’s Equity | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Currency | | 26 | | | $ | 10,846 | | | | 0.39 | % | Energy | | 8 | | | | 3,062 | | | | 0.11 | | Interest | | 42 | | | | 6,692 | | | | 0.24 | | Metals | | 6 | | | | 1,423 | | | | 0.05 | | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | 1 | | | | 1,170 | | | | 0.04 | | Index | | 69 | | | | 59,490 | | | | 2.15 | | Interest | | 17 | | | | (2,391 | ) | | | (0.09 | ) | Total long positions | | | | | | | 80,292 | | | | 2.89 | | Short positions: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Index | | 33 | | | | (105,531 | ) | | | (3.81 | ) | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Index | | 74 | | | | 14,238 | | | | 0.51 | | Interest | | 1 | | | | 678 | | | | 0.02 | | Total short positions | | | | | | | (90,615 | ) | | | (3.28 | ) | | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | | | $ | (10,323 | ) | | | (0.39 | )% |
See notes to financial statements.
Galaxy Plus Fund - QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 15,840 | | Total income | | | 15,840 | | | | | | | Net investment income | | | 15,840 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (589,548 | ) | Foreign currency transactions | | | 32,956 | | | | | (556,592 | ) | Net decrease in unrealized depreciation on: | | | | | Derivative contracts | | | (261,070 | ) | Translation of assets and liabilities denominated in foreign currencies | | | (4,179 | ) | | | | | | | | | (265,249 | ) | | | | | | Net realized and unrealized loss on investments and foreign currency transactions | | | (821,841 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (806,001 | ) |
1Includes trading costs See notes to financial statements.
Galaxy Plus Fund - QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 15,840 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | (556,592 | ) | Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | (265,249 | ) | | | | | | Net decrease in member’s equity resulting from operations | | | (806,001 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 739,775 | | Payments for redemptions of capital | | | (2,146,790 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (1,407,015 | ) | | | | | | Total decrease | | | (2,213,016 | ) | | | | | | Member’s equity, beginning of year | | | 4,982,997 | | | | | | | Member’s equity, end of year | | $ | 2,769,981 | |
See notes to financial statements.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1.Organization and Structure Galaxy Plus Fund – QIM Master Fund (526) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 19, 2016 and commenced operation on June 22, 2016. The Master Fund was created to serve as the trading entity managed by Quantitative Investment Management, L.L.C. (the “Trading Advisor”) pursuant to its Global Program (the “Program”). The Program is a short to medium-term trading strategy designed to capitalize on market inefficiencies across a wide array of futures markets. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – QIM Feeder Fund (526) (“LLC526”), a separated series of the Onshore Platform and Galaxy Plus Fund – QIM Offshore Feeder Fund (526) Segregated Portfolio (“SPC526”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC526 had not yet commenced operations and LLC526 is the sole member. LLC526 and SPC526 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2.Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $2,396,757 is held in USD and a payable balance of $(25,128) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $1,333,830. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund��s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the statement of operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3.Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | $ | 12,022 | | | $ | 12,022 | | | $ | - | | | $ | - | | Energy | | | 7,687 | | | | 7,687 | | | | - | | | | - | | Index | | | 92,898 | | | | 92,898 | | | | - | | | | - | | Interest | | | 9,065 | | | | 9,065 | | | | - | | | | - | | Metals | | | 2,244 | | | | 2,244 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 123,916 | | | | 123,916 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Currency | | | (1,176 | ) | | | (1,176 | ) | | | - | | | | - | | Energy | | | (3,454 | ) | | | (3,454 | ) | | | - | | | | - | | Index | | | (124,699 | ) | | | (124,699 | ) | | | - | | | | - | | Interest | | | (4,087 | ) | | | (4,087 | ) | | | - | | | | - | | Metals | | | (823 | ) | | | (823 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (134,239 | ) | | | (134,239 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investments at fair value | | $ | (10,323 | ) | | $ | (10,323 | ) | | $ | - | | | $ | - | |
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4.Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | | Quantity | | | | Notional Value | | | Description | | | Quantity | | | Notional Value | | Long: | | | | | | | | | | Short: | | | | | | | | | Currency | | | 26 | | | $ | 3,173,325 | | | Index | | | 107 | | | $ | (11,445,726) | | Energy | | | 9 | | | | 278,050 | | | Interest | | | 1 | | | | (1,471,095) | | Index | | | 69 | | | | 2,299,241 | | | | | | | | | | | | Interest | | | 59 | | | | 8,951,455 | | | | | | | | | | | | Metals | | | 6 | | | | 978,075 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 10,393 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | | | | | Currency | | $ | 91,083 | | Energy | | | 381,299 | | Index | | | (1,346,749 | ) | Interest | | | (190,075 | ) | Metals | | | 271,330 | | Total futures contracts | | | (793,112 | ) | | | | | | Trading costs | | | (57,506 | ) | | | | | | Total net trading gain (loss) | | $ | (850,618 | ) |
* Includes both realized loss of $(589,548) and unrealized depreciation of $(261,070) and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5.Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable at law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | | | | Futures | | $ | (134,239 | ) | | $ | 123,916 | | | $ | (10,323 | ) | Total | | $ | (134,239 | ) | | $ | 123,916 | | | $ | (10,323 | ) |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | (10,323 | ) | | $ | 1,333,830 | | | $ | 1,323,507 | | Total | | $ | (10,323 | ) | | $ | 1,333,830 | | | $ | 1,323,507 | |
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6.Related Parties As of December 31, 2020 the Master Fund had $408,675 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7.Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (27.90 | )% | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | 0.47 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and the net investment income ratio would have been lower and the total expense ratio would have been higher if the management, incentive fees, and sponsor fee, had been charged to the Master Fund instead of the Feeder Fund. Note 8.Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
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Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Aspect Master Fund (532) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Aspect Master Fund (532) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets | | | | | | | | Equity in commodity trading accounts at clearing brokers: | | | | | Cash | | $ | 3,021,078 | | Restricted cash - margin balance | | | 3,499,917 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 871,842 | | Receivable from Onshore Feeder Fund | | | 66,656 | | | | | | | Total assets | | $ | 7,459,493 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | | - | | | | | | | Member’s equity | | | 7,459,493 | | | | | | | Total liabilities and member’s equity | | $ | 7,459,493 | |
See notes to financial statements.
Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | Number of Contracts/Units | | Fair Value | | | Percent of Member’s Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Agriculture | | 76 | | $ | 229,713 | | | | 3.08 | % | Currency | | 200 | | | 260,158 | | | | 3.49 | | Index | | 6 | | | 32,134 | | | | 0.43 | | Interest | | 190 | | | 25,783 | | | | 0.35 | | Metals | | 56 | | | 195,150 | | | | 2.62 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Energy | | 2 | | | 709 | | | | 0.01 | | Index | | 76 | | | 62,628 | | | | 0.84 | | Interest | | 623 | | | 82,522 | | | | 1.11 | | Total long positions | | | | | 888,797 | | | | 11.93 | | | | | | | | | | | | | Short positions: | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Agriculture | | 7 | | | (13,190 | ) | | | (0.18 | ) | Energy | | 27 | | | 308 | | | | 0.00 | | Metals | | 19 | | | (1,263 | ) | | | (0.02 | ) | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Agriculture | | 2 | | | (1,026 | ) | | | (0.01 | ) | Energy | | 1 | | | (1,375 | ) | | | (0.02 | ) | Index | | 1 | | | (397 | ) | | | (0.01 | ) | Interest | | 2 | | | (12 | ) | | | (0.00 | ) | Total short positions | | | | | (16,955 | ) | | | (0.24 | ) | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | $ | 871,842 | | | | 11.69 | % |
See notes to financial statements.
Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 37,693 | | | | | | | Net investment income | | | 37,693 | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized loss from: | | | | | Derivative contracts1 | | | (610,245 | ) | Foreign currency transactions | | | (19,576 | ) | | | | (629,821 | ) | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 729,470 | | Translation of assets and liabilities denominated in foreign currencies | | | (2,558 | ) | | | | 726,912 | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 97,091 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 134,784 | |
See notes to financial statements.
Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 37,693 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | (629,821 | ) | Net increase in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 726,912 | | Net increase in member’s equity resulting from operations | | | 134,784 | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 1,127,849 | | Payments for redemptions of capital | | | (5,883,327 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (4,755,478 | ) | | | | | | Total decrease | | | (4,620,694 | ) | | | | | | Member’s equity, beginning of year | | | 12,080,187 | | | | | | | Member’s equity, end of year | | $ | 7,459,493 | |
See notes to financial statements.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – Aspect Master Fund (532) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 20, 2016 and commenced operations on December 16, 2016. The Master Fund was created to serve as the trading entity managed by Aspect Capital Limited, L.L.C. (the “Trading Advisor”) pursuant to its Aspect Core Diversified Program (the “Program”). The Program applies a proprietary and systematic quantitative investment approach to generate profit from trends in both rising and falling markets. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or Other Master Funds. Galaxy Plus Fund – Aspect Feeder Fund (532) (“LLC532”), a separated series of the Onshore Platform and Galaxy Plus Fund – Aspect Offshore Feeder Fund (532) Segregated Portfolio (“SPC532”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC532 had not commenced operations and LLC532 is the sole member. LLC532 and SPC532 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $6,610,487 is held in USD and a payable balance of ($89,492) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $3,499,917. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (see Note 5).
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions, and are included in net realized gain/loss from derivative contracts on the Statement of Operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 231,033 | | | $ | 231,033 | | | $ | - | | | $ | - | | Currency | | | 262,238 | | | | 262,238 | | | | - | | | | - | | Energy | | | 11,533 | | | | 11,533 | | | | - | | | | - | | Index | | | 97,821 | | | | 97,821 | | | | - | | | | - | | Interest | | | 131,306 | | | | 131,306 | | | | - | | | | - | | Metals | | | 235,500 | | | | 235,500 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 969,431 | | | | 969,431 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (15,536 | ) | | | (15,536 | ) | | | - | | | | - | | Currency | | | (2,080 | ) | | | (2,080 | ) | | | - | | | | - | | Energy | | | (11,891 | ) | | | (11,891 | ) | | | - | | | | - | | Index | | | (3,456 | ) | | | (3,456 | ) | | | - | | | | - | | Interest | | | (23,013 | ) | | | (23,013 | ) | | | - | | | | - | | Metals | | | (41,613 | ) | | | (41,613 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (97,589 | ) | | | (97,589 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 871,842 | | | $ | 871,842 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 76 | | | $ | 2,599,442 | | | Agriculture | | | 9 | | | $ | (318,183 | ) | Currency | | | 200 | | | | 20,653,331 | | | Energy | | | 28 | | | | (784,237 | ) | Energy | | | 2 | | | | 80,066 | | | Index | | | 1 | | | | (87,794 | ) | Index | | | 82 | | | | 3,868,216 | | | Interest | | | 2 | | | | (274,737 | ) | Interest | | | 813 | | | | 388,588,926 | | | Metals | | | 19 | | | | (1,502,194 | ) | Metals | | | 56 | | | | 4,813,971 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 20,632 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Agriculture | | $ | (199,182 | ) | Currency | | | (113,364 | ) | Energy | | | 443,025 | | Index | | | (3,158,361 | ) | Interest | | | 3,200,757 | | Metals | | | (14,704 | ) | Total futures contracts | | | 158,171 | | | | | | | Trading costs | | | (38,946 | ) | | | | | | Total net trading gain (loss) | | $ | 119,225 | |
| * | Includes both realized loss of $(610,245) and unrealized appreciation of $729,470 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | Futures | | $ | 969,431 | | | $ | (97,589 | ) | | $ | 871,842 | | Total | | $ | 969,431 | | | $ | (97,589 | ) | | $ | 871,842 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | Counterparty A | | $ | 871,842 | | | $ | 3,499,917 | | | $ | 4,371,759 | | Total | | $ | 871,842 | | | $ | 3,499,917 | | | $ | 4,371,759 | |
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $66,656 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (0.11 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | 0.41 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and net investment income would have been lower, and total expense ratios would have been higher if the management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020, is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
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Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—Welton GDP Master Fund (538) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—Welton GDP Master Fund (538) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 2,637,514 | | Restricted cash - margin balance | | | 2,371,524 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 457,265 | | Receivable from Onshore Feeder Fund | | | 120,307 | | | | | | | Total assets | | $ | 5,586,610 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Total liabilities | | $ | - | | | | | | | Member’s equity | | | 5,586,610 | | | | | | | Total liabilities member’s equity | | $ | 5,586,610 | |
See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | | | | | | | Percent of | | | | Number of | | | | | | Member’s | | | | Contracts/Units | | | Fair Value | | | Equity | | Long positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture1 | | | 234 | | | $ | 410,125 | | | | 7.34 | % | Currency | | | 79 | | | | 64,077 | | | | 1.15 | | Energy | | | 61 | | | | 64,185 | | | | 1.16 | | Index | | | 24 | | | | 24,360 | | | | 0.44 | | Interest | | | 100 | | | | 11,794 | | | | 0.21 | | Metals | | | 38 | | | | 186,562 | | | | 3.34 | | Foreign: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Energy | | | 12 | | | | 21,882 | | | | 0.39 | | Index | | | 58 | | | | 67,384 | | | | 1.21 | | Interest | | | 177 | | | | 22,079 | | | | 0.40 | | | | | | | | | | | | | | | Total long positions | | | | | | $ | 872,448 | | | | 15.64 | % |
| 1 | No individual contract exceeds 5% of member’s equity |
(Continued)
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments (Continued) December 31, 2020 (Expressed in U.S. Dollars) | | | | | | | | Percent of | | | | Number of | | | | | | Member’s | | | | Contracts/Units | | | Fair Value | | | Equity | | Short positions: | | | | | | | | | | Derivative contracts: | | | | | | | | | | Domestic (United States): | | | | | | | | | | Futures contracts: | | | | | | | | | | Agriculture1 | | | 148 | | | $ | (289,879 | ) | | | (5.19 | )% | Energy | | | 52 | | | | (44,853 | ) | | | (0.80 | ) | Interest | | | 2 | | | | 188 | | | | 0.00 | | Metals | | | 24 | | | | (79,259 | ) | | | (1.42 | ) | Futures contracts: | | | | | | | | | | | | | Agriculture | | | 2 | | | | (411 | ) | | | (0.01 | ) | Energy | | | 1 | | | | (425 | ) | | | (0.01 | ) | Interest | | | 5 | | | | (544 | ) | | | (0.01 | ) | | | | | | | | | | | | | | Total short positions | | | | | | | (415,183 | ) | | | (7.44 | ) | | | | | | | | | | | | | | Investments in future contracts, at fair value | | | | | | $ | 457,265 | | | | 8.20 | % |
| 1 | No individual contract exceeds 5% of member’s equity |
See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2020 (Expressed in U.S. Dollars) Investment Income: | | | | Interest income | | $ | 1,986 | | | | | | | Net investment income | | | 1,986 | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain from: | | | | | Derivative contracts1 | | | 2,763,528 | | Foreign currency transactions | | | 20,584 | | | | | 2,784,112 | | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 414,397 | | Translation of assets and liabilities denominated in foreign currencies | | | (8,203 | ) | | | | 406,194 | | | | | | | Net realized and unrealized gain on investments and foreign currency transactions | | | 3,190,306 | | | | | | | Net increase in member’s equity resulting from operations | | $ | 3,192,292 | |
See notes to financial statements.
Galaxy Plus Fund - Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net investment income | | $ | 1,986 | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | | 2,784,112 | | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 406,194 | | | | | | | Net increase in member’s equity resulting from operations | | | 3,192,292 | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 343,687 | | Payments for redemptions of capital | | | (4,522,002 | ) | | | | | | Net decrease in member’s equity resulting from capital transactions | | | (4,178,315 | ) | | | | | | Total decrease | | | (986,023 | ) | | | | | | Member’s equity, beginning of year | | | 6,572,633 | | | | | | | Member’s equity, end of year | | $ | 5,586,610 | |
See notes to financial statements.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1.Organization and Structure Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 27, 2017 and commenced operation on March 28, 2017. The Master Fund was created to serve as the trading entity managed by Welton Investment Partners, L.L.C. (the “Trading Advisor”) pursuant to its Global Directional Portfolio (the “Program”). The Program is designed to provide investors with non-correlated returns and long-term capital appreciation through the global futures and FX Markets. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Welton GDP Feeder Fund (538W) (“LLC538W”), a separated series of the Onshore Platform and Galaxy Plus Fund – Welton GDP Offshore Feeder Fund (538W) Segregated Portfolio (“SPC538W”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC538W had not yet commenced operations and LLC538W is the sole member. LLC538W and SPC538W are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements
The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2.Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $4,873,261 is held in USD and a balance of $135,777 in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $2,371,524. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements
Valuation and Revenue Recognition: Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2017 through 2020, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the year; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Recently Adopted Accounting Pronouncement: In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has adopted ASU 2018-13 on January 1, 2020 and related updates have been incorporated in these financial statements. Note 3.Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | | | | | | Quoted Prices | | | Significant Other | | | Significant | | | | | | | in Active | | | Observable | | | Unobservable | | | | | | | Markets | | | Inputs | | | Inputs | | Description | | Fair Value | | | (Level 1) | | | (Level 2) | | | (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Agriculture | | $ | 453,505 | | | $ | 453,505 | | | $ | - | | | $ | - | | Currency | | | 65,614 | | | | 65,614 | | | | - | | | | - | | Energy | | | 99,637 | | | | 99,637 | | | | - | | | | - | | Index | | | 109,438 | | | | 109,438 | | | | - | | | | - | | Interest | | | 37,560 | | | | 37,560 | | | | - | | | | - | | Metals | | | 203,718 | | | | 203,718 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 969,472 | | | | 969,472 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Agriculture | | | (333,669 | ) | | | (333,669 | ) | | | - | | | | - | | Currency | | | (1,538 | ) | | | (1,538 | ) | | | - | | | | - | | Energy | | | (58,848 | ) | | | (58,848 | ) | | | - | | | | - | | Index | | | (17,694 | ) | | | (17,694 | ) | | | - | | | | - | | Interest | | | (4,043 | ) | | | (4,043 | ) | | | - | | | | - | | Metals | | | (96,415 | ) | | | (96,415 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (512,207 | ) | | | (512,207 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 457,265 | | | $ | 457,265 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4.Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | Short: | | | | | | | Agriculture | | | 234 | | | $ | 6,649,318 | | | Agriculture | | | 150 | | | $ | (4,061,968 | ) | Currency | | | 79 | | | | 6,753,818 | | | Energy | | | 53 | | | | (2,294,959 | ) | Energy | | | 73 | | | | 3,591,232 | | | Interest | | | 7 | | | | (989,072 | ) | Index | | | 82 | | | | 11,448,497 | | | Metals | | | 24 | | | | (1,997,118 | ) | Interest | | | 277 | | | | 125,896,014 | | | | | | | | | | | | Metals | | | 38 | | | | 3,309,029 | | | | | | | | | | | |
During the year ended December 31, 2020, the Master Fund participated in 9,277 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Agriculture | | $ | 279,613 | | Currency | | | 356,961 | | Energy | | | 575,625 | | Index | | | (78,107 | ) | Interest | | | 1,545,231 | | Metals | | | 574,084 | | Total futures | | | 3,253,407 | | | | | | | Trading costs | | | (75,482 | ) | | | | | | Total net trading gain (loss) | | $ | 3,177,925 | |
* Includes both realized gain of $2,763,528 and unrealized appreciation of $414,397 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5.Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | Futures | | $ | 969,472 | | | $ | (512,207 | ) | | $ | 457,265 | | Total | | $ | 969,472 | | | $ | (512,207 | ) | | $ | 457,265 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 457,265 | | | $ | 2,371,524 | | | $ | 2,828,789 | | Total | | $ | 457,265 | | | $ | 2,371,524 | | | $ | 2,828,789 | |
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6.Related Parties As of December 31, 2020, the Master Fund had $120,307 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7.Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | 65.72 | % | Ratios to average member’s equity (B): | | | | | Net investment income(C) | | | 0.03 | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2020. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income ratio would have been lower, and total expense ratios would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. Note 8.Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year ended December 31, 2020 is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) The attached annual report is filed under exemption pursuant to Section 4.7 of the regulations under the Commodity Exchange Act. Financial Report December 31, 2020
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Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Report on the Financial Statements We have audited the accompanying financial statements of Galaxy Plus Fund—JL Cyril Systematic Master Fund (547) LLC, which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2020, and the related statements of operations and changes in member’s equity for the period from August 1, 2020 (Commencement of Operations) to December 31, 2020, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor’s Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund—JL Cyril Systematic Master Fund (547) LLC as of December 31, 2020, and the results of its operations and changes in member’s equity for the period from August 1, 2020 (Commencement of Operations) to December 31, 2020 in accordance with accounting principles generally accepted in the United States of America. /s/ RSM US LLP Denver, Colorado March 31, 2021
Galaxy Plus Fund - JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2020 (Expressed in U.S. Dollars) Assets Equity in commodity trading accounts at clearing brokers: | | | | Cash | | $ | 1,670,142 | | Restricted cash - margin balance | | | 1,802,053 | | Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net) | | | 307,533 | | Receivable from Onshore Feeder Fund | | | 16,406 | | | | | | | Total assets | | $ | 3,796,134 | | | | | | | Liabilities and Member’s Equity | | | | | | | | | | Liabilities | | | | | Total liabilities | | | - | | | | | | | Member’s equity | | | 3,796,134 | | | | | | | Total liabilities and member’s equity | | $ | 3,796,134 | |
See notes to financial statements.
Galaxy Plus Fund - JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2020 (Expressed in U.S. Dollars) | | | | | | | Percent of | | | | Number of Contracts/Units | | Fair Value | | | Member’s Equity | | Long positions: | | | | | | | | | Derivative contracts: | | | | | | | | | Domestic (United States): | | | | | | | | | Futures contracts: | | | | | | | | | Currency | | 131 | | $ | 76,036 | | | | 2.00 | % | Index | | 24 | | | 83,201 | | | | 2.19 | | Interest | | 267 | | | 48,773 | | | | 1.28 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Index | | 41 | | | 32,689 | | | | 0.86 | | Interest | | 88 | | | 43,750 | | | | 1.15 | | | | | | | | | | | | | Total long positions | | | | | 284,449 | | | | 7.48 | | | | | | | | | | | | | Short positions: | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | Domestic (United States): | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Currency | | 36 | | | 20,323 | | | | 0.54 | | Foreign: | | | | | | | | | | | Futures contracts: | | | | | | | | | | | Index | | 1 | | | 2,719 | | | | 0.07 | | Interest | | 66 | | | 42 | | | | 0.00 | | | | | | | | | | | | | Total short positions | | | | | 23,084 | | | | 0.61 | | | | | | | | | | | | | Investments in futures contracts, at fair value | | | | $ | 307,533 | | | | 8.09 | % |
See notes to financial statements.
Galaxy Plus Fund - JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Statement of Operations For the period from August 1, 2020 (Commencement of Operations) to December 31, 2020 (Expressed in U.S. Dollars) Net investment income | | $ | - | | | | | | | Realized and unrealized gain (loss) on investments and foreign currency transactions: | | | | | Net realized gain (loss) from: | | | | | Derivative contracts1 | | | (2,047,586 | ) | Foreign currency transactions | | | 7,380 | | | | | (2,040,206 | ) | | | | | | Net increase (decrease) in unrealized appreciation on: | | | | | Derivative contracts | | | 307,533 | | Translation of assets and liabilities denominated in foreign currencies | | | (5 | ) | | | | 307,528 | | | | | | | Net realized and unrealized loss on investments and foreign currency transactions | | | (1,732,678 | ) | | | | | | Net decrease in member’s equity resulting from operations | | $ | (1,732,678 | ) |
See notes to financial statements.
Galaxy Plus Fund - JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the period from August 1, 2020 (Commencement of Operations) to December 31, 2020 (Expressed in U.S. Dollars) Changes in member’s equity from operations: | | | | Net realized gain (loss) from derivative contracts and foreign currency transactions | | $ | (2,040,206 | ) | Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies | | | 307,528 | | | | | | | Net decrease in member’s equity resulting from operations | | | (1,732,678 | ) | | | | | | Changes in member’s equity from capital transactions: | | | | | Proceeds from issuance of capital | | | 5,639,000 | | Payments for redemptions of capital | | | (110,188 | ) | | | | | | Net increase in member’s equity resulting from capital transactions | | | 5,528,812 | | | | | | | Total increase | | | 3,796,134 | | | | | | | Member’s equity, beginning of year | | | - | | | | | | | Member’s equity, end of year | | $ | 3,796,134 | |
See notes to financial statements.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – JL Cyril Systemic Master Fund (547) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on June 25, 2020 and commenced operations on August 1, 2020. The Master Fund was created to serve as the trading entity managed by John Locke Investments SA (the “Trading Advisor”) pursuant to its JL Cyril Systematic Program (the “Program”). The Program is a short-term liquid strategy that manages an uncorrelated portfolio of futures markets. The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA). Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – JL Cyril Systemic Feeder Fund (547) (“LLC547”), a separated series of the Onshore Platform and Galaxy Plus Fund – JL Cyril Systemic Offshore Feeder Fund (547) Segregated Portfolio (“SPC547”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2020, SPC547 had not commenced operations and LLC547 is the sole member. LLC547 and SPC547 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums. The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund. Note 2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. Principles of accounting: The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946. Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $3,472,212 is held in USD and a payable balance of ($17) in foreign currencies as of December 31, 2020, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2020 included restricted cash for margin requirements of $1,802,053. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2020 included amounts due to the broker for unsettled trades of $0. Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (see Note 5).
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3. Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method. Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of margin collateral assets and liabilities resulting from changes in exchange rates. Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions, and are included in net realized gain/loss from derivative contracts on the Statement of Operations. Interest income/expense: Interest income and expense is recognized on an accrual basis. Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the period. Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2020, remains open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Use of estimates: The preparation of financial statements in accordance with GAAP requires management 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 income and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications: The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met: | ● | During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820; |
| ● | The Master Fund had little or no debt during the period; |
| ● | The Master Fund’s financial statements include a statement of changes in member’s equity. |
Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor. Note 3. Fair Value Measurements The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2020. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. �� Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2020. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2020. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. | | | | | Fair Value Measurements at Reporting Date Using | | Description | | Fair Value | | | Quoted Prices in Active Markets (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | | Assets: | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | Currency | | $ | 101,693 | | | $ | 101,693 | | | $ | - | | | $ | - | | Index | | | 134,034 | | | | 134,034 | | | | - | | | | - | | Interest | | | 115,627 | | | | 115,627 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment assets at fair value | | | 351,354 | | | | 351,354 | | | | - | | | | - | | | | | | | | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative contracts: | | | | | | | | | | | | | | | | | Futures contracts: | | | | | | | | | | | | | | | | | Currency | | | (5,333 | ) | | | (5,333 | ) | | | - | | | | - | | Index | | | (15,426 | ) | | | (15,426 | ) | | | - | | | | - | | Interest | | | (23,062 | ) | | | (23,062 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total investment liabilities at fair value | | | (43,821 | ) | | | (43,821 | ) | | | - | | | | - | | | | | | | | | | | | | | | | | | | Total net investment at fair value | | $ | 307,533 | | | $ | 307,533 | | | $ | - | | | $ | - | |
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 4. Derivative Financial Instruments Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and options on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2020. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’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 total cash and other property deposited.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2020, the Master Fund had open futures contracts with the following notional values by sector: Description | | Quantity | | | Notional Value | | | Description | | Quantity | | | Notional Value | | Long: | | | | | | | | | | Short: | | | | | | | | | Currency | | | 131 | | | $ | 16,417,010 | | | Currency | | | 36 | | | $ | (3,454,714 | ) | Index | | | 65 | | | | 9,873,966 | | | Index | | | 1 | | | | (126,050 | ) | Interest | | | 355 | | | | 54,606,285 | | | Interest | | | 66 | | | | (11,733,772 | ) |
During the period ended December 31, 2020, the Master Fund participated in 3,361 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: | | Net Trading | | | | Gain (Loss)* | | Futures contracts: | | | | Currency | | $ | (333,139 | ) | Index | | | (223,985 | ) | Interest | | | (1,162,124 | ) | Total futures | | | (1,719,248 | ) | | | | | | Trading costs | | | (20,805 | ) | | | | | | Total net trading gain (loss) | | $ | (1,740,053 | ) |
| * | Includes both realized loss of $(2,047,586) and unrealized appreciation of $307,533 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation. |
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Master Fund’s right of set-off is enforceable by law. The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. The following tables summarize the Master Fund’s netting arrangements: Description | | Gross Amounts of Recognized Assets (Liabilities) | | | Offset in the Statement of Financial Condition | | | Net Amount of Assets (Liabilities) in the Statement of Financial Condition | | | | | | | | | | | | Futures | | $ | 351,354 | | | $ | (43,821 | ) | | $ | 307,533 | | Total | | $ | 351,354 | | | $ | (43,821 | ) | | $ | 307,533 | |
| | Net amount in the Statement of Financial Condition | | | Cash Collateral Received by Counterparty | | | Net Amount in the Statement of Financial Condition | | | | | | | | | | | | Counterparty A | | $ | 307,553 | | | $ | 1,802,053 | | | $ | 2,109,586 | | Total | | $ | 307,553 | | | $ | 1,802,053 | | | $ | 2,109,586 | |
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2020, the Master Fund had $16,406 receivable from the Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund. On August 1, 2020, The Ultimus Group, LLC, the parent company of GAF and Gemini Hedge Fund Services, LLC sold its interest in GAF to New Hyde Park Alternatives, LLC. Effective August 1, 2020, GAF and Gemini Hedge Fund Services, LLC are no longer affiliates. On February 1, 2021 GAF changed their name to New Hyde Park Alternative Funds, LLC. Note 7. Financial Highlights Financial highlights of the Master Fund for the period ended December 31, 2020 are presented in the table below. The information has been derived from information presented in the financial statements. Total return (A) | | | (29.66 | )% | | | | | | Ratios to average member’s equity (B): | | | | | Net investment income (C) | | | - | % | Total expenses | | | - | % |
| (A) | Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund. Total return has not been annualized. |
| (B) | The total expense and net investment income ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2020. | | | | | | These ratios, excluding nonrecurring expenses, have been annualized for the partial period. |
| (C) | The net investment income ratio excludes net realized and unrealized gains (losses) on investments. |
Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total negative return and net investment income ratios would have been lower, and the total expense ratio would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master instead of the Feeder Fund. Note 8. Subsequent Events In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 31, 2021, the date the financial statements were available for issuance. Other than the item disclosed in Note 6, the Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.
Galaxy Plus Fund – JL Cyril Systematic Master Fund (547) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the period from August 1, 2020 (Commencement of Operations) to December 31, 2020 is accurate and complete. /s/ David Young | | David Young, President | | Gemini Alternative Funds, LLC — Sponsor | |
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 Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick J. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Balanced Fund, | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick J. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Heritage Fund, | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ PatrickJ. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Global Fund,
(Formerly Frontier Winton Fund), | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick J. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Select Fund, | | a Series of Frontier Funds (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick J. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Long/Short Commodity Fund, | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick J. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Diversified Fund, | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ PatrickJ. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. | Frontier Masters Fund, | | a Series of Frontier Funds | | (Registrant) | | | | Date: March 30, 2020July 8, 2021 | By: | /s/ PatrickJ. Kane | | | Patrick J. Kane | | | Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | | | |
Date: March 30, 2020July 8, 2021 | By: | /s/ Patrick F. Hart III | | | Patrick F. Hart | | | President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds |
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