UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

For the fiscal year ended December 31, 20182020

or

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

For the transition period from                to

Commission File Number 000-51274

FRONTIER FUNDS

FRONTIER DIVERSIFIED FUND; 

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER MASTERS FUND;

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

FRONTIER WINTONGLOBAL FUND;

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in Its Charter)

Registrant’s Telephone Number, Including Area Code: (303) 454-5500

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

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

Title of Each Class

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

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

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

Frontier Balanced Fund Class 1, Class 1AP, Class 2, Class 2a and Class 3a Units;

Frontier Select Fund Class 1, Class 1AP, and Class 2 Units;

Frontier WintonGlobal Fund Class 1 Class 1AP, and Class 2 Units;

Frontier Heritage Fund Class 1, Class 1AP, and Class 2 Units

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes☐Yes ☐ No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes☐Yes ☐ No ☒

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No☐

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. ☒No ☐

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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes ☐ No ☒

The Frontier Funds’ units of beneficial interest are not traded on any market and, accordingly, do not have an aggregate market value. Units outstanding as of December 31, 20182020 were: 140,35750,117 for the Frontier Diversified Fund, 26,49016,487 for the Frontier Long/Short Commodity Fund, 56,03815,418 for the Frontier Masters Fund, 254,069139,542 for the Frontier Balanced Fund, 53,31027,766 for the Frontier Select Fund, 61,40825,851 for the Frontier WintonGlobal Fund and 37,45423,977 for the Frontier Heritage Fund.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on January 31, 2019 pursuant to rule 424(b)(3) of the Securities Act (File No. 333-210313) are incorporated by reference into Part I and Part II of this report.

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF DECEMBER 31, 2018,2020, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

Table of Contents

Summary of Risk Factors

Structural Risks

Risks Relating to Trading and the Markets

Risks Relating to the Trading Advisors

Risks Relating to the Galaxy Plus Platform

Operating Risks

Taxation and Benefits Risks

Regulatory Risks

Part I

Overview

Frontier Funds, (formerly Equinox Frontier Funds), which is referred to in this report as “the Trust”, was formed on August 8, 2003, as a Delaware statutory trust. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). The Trust 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 amended from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust.

The Trust has been organized to pool investor funds to 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 WintonGlobal Fund, and Frontier Heritage Fund, (each a “Series” and collectively, the “Series”). 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:

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, 2018, the total Units outstanding were 254,069 for the Frontier Balanced Fund, 140,357 for the Frontier Diversified, 37,454 for the Frontier Heritage Fund, 26,490 for the Frontier Long/Short Commodity Fund, 56,038 for the Frontier Masters Fund, 53,310 for the Frontier Select Fund and 61,408, for the Frontier Winton Fund.

As of December 31, 2018,2020, 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 WintonGlobal Fund, and Frontier Heritage 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 2A2a and Class 3A.3a. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A,1a, Class 2A,2a, Class 2, Class 3A3a and Class 3. 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. Frontier Long/Short Commodity Fund Class 1a was closed effective September 30, 2020. Frontier Global Fund Class 1AP was closed effective November 18, 2020.

As of December 31, 2018,2020, Frontier WintonGlobal 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.

Trading Advisors are responsible for the trading decisions of the respective Trading Companies or Galaxy Plus entities for which they trade. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies or Galaxy Plus entities to be committed as margin for trading positions but from time to time these percentages may be substantially more or less. The remainder of each Series’ assets is maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.

The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors.

The Managing Owner is a Delaware Limited Liability Company formed in November 2016. The Managing Owner has delegated its commodity pool operator responsibilities to Wakefield Advisors LLC pursuant to the Commodity Pool Operator Delegation Agreement between the Managing Owner and Wakefield Advisors LLC, which has been registered with the CFTC as a commodity pool operator since January 7, 2013 and has been a member of the NFA since that date. The Managing Owner remains jointly and severally liable with Wakefield Advisors LLC for violations of the CEACommodity Exchange Act of 1936, as amended (CEA)(the “CEA”), and Commodity Futures Trading Commission regulations thereunder (CPO Regulations)(“CPO Regulations”). However, Wakefield Advisors LLC will indemnify the Managing Owner from and against any and all loss, liability, damage, penalty, fine, cost, and expense (including attorneys’, accountants’, experts’, and other professionals’ fees and expenses incurred in investigation or defense of any and all demands, claims, actions, suits, or arbitrations) actually and reasonably incurred by the Managing Owner, based upon, arising out of or from, or in any way in connection with, any act, activity, conduct, performance, omission, or non-performance by the Wakefield Advisors LLC of any of its functions as CPOa commodity pool operator (“CPO”) or which violates the CEA or CPO Regulations in connection with its functions as CPO.

The Managing Owner’s main business office is located at 25568 Genesee Trail Road, Golden, Colorado 80401, telephone (303) 454-5500. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus filed January 31, 2019, with the SEC and made effective February 1, 2019 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (File No. 333-210313), which is referred to herein as the “Prospectus,” under the section captioned “The Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

Regulation

Under the CEA, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the CEA, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated responsibility to the NFA for the registration of commodity trading advisors, “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective “associated persons” and “floor brokers.” The CEA requires “commodity pool operators,” such as the Managing Owner, “commodity trading advisors,” and commodity brokers or “futures commission merchants,” such as the Trust’s commodity brokers, to be registered and to comply with various reporting and recordkeeping requirements. The Managing Owner and the Trust’s commodity brokers are members of the NFA. The CFTC may suspend a commodity pool operator’s or a commodity trading advisor ‘sadvisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions, or as the result of violations of the CEA or rules and regulations promulgated thereunder. In the event that the Managing Owner’s registration as a commodity pool operator were terminated or suspended, the Managing Owner would be unable to continue to manage the business of the Trust. Should the Managing Owner’s registration be suspended, termination of the Trust may result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long and net short positions that any person, including the Trust, may hold or control in particular commodities. Most exchanges also limit the maximum changes in futures contract prices that may occur during a single trading day. The Trust also trades in dealer markets for forward and swap contracts, which are not regulated by the CFTC. Federal and state banking authorities also do not regulate forward trading or forward dealers. In addition, the Trust trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government agency.

Operations

A description of the business of the Trust, including trading approaches for each Series of Units, rights and obligations of the limited owners, compensation arrangements and fees and expenses is contained in the Prospectus, under the sections captioned “Risk Disclosure Statement,” “Summary,” “Risk Factors,” “Frontier Funds Trust,” “The Offering,” “Trading Limitations, Policies and swaps,” “The Trustee,” “The Managing Owner,” “Actual and Potential Conflicts of Interest,” “Fees and Expenses” and the appendix attached to the Prospectus for each Series of Units, and such description is incorporated herein by reference from the Prospectus.

The Trading Companies and Galaxy Plus entities for each Series of Units engage in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swaps) and may, from time to time, engage in cash and spot transactions. A brief description of the Trust’s main types of investments is set forth below:

Certain of the Trading Companies and Galaxy Plus entities have entered into contractual arrangements with independent commodity trading advisors that will manage all or a portion of such Trading Company’s and Galaxy Plus entity’s assets and make the trading decisions with respect to the assets of such Trading Company or Galaxy Plus entity.

Selection and Replacement of Trading Advisors

The Managing Owner is responsible for the selection, retention and termination of the Trading Advisors and reference programs on behalf of each Series. The actual allocation among Trading Advisors for each Series will vary based upon the relative trading performance of the Trading Advisors and/or reference programs, and the Managing Owner may otherwise vary such percentages from time to time in its sole discretion. The Managing Owner will adjust its allocations and rebalance the portfolio of any Series among Trading Advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant Series.

The Managing Owner utilizes certain quantitative and qualitative analysis in connection with the identification, evaluation and selection of the Trading Advisors. TheManaging Owner’s proprietary and commercial analytical software programs and comprehensive Trading Advisor database provide the quantitative basis for the Trading Advisor selection, portfolio implementation process, and ongoing risk management, monitoring, and review.

The Managing Owner’s research department is continually refining ways to assimilate vast amounts of Trading Advisor performance data and due-diligence information. The proprietary and commercial database of alternative investment programs is always increasing. Research team members regularly interact with Trading Advisors throughout the due diligence and monitoring process. Only those programs that have met strict quantitative and qualitative review are considered as potential managers of client assets. Following is a summary of the quantitative and qualitative analysis:

Quantitative Analysis

The Managing Owner’s analytical software system applies a variety of statistical measures towards the evaluation of current and historical advisor performance data. Statistical measures include but are not limited to: (1) risk/reward analysis, (2) time window analysis, (3) risk analysis, (4) correlation analysis, (5) statistical overlays and (6) performance cycle analysis.

Qualitative Analysis

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

Multi-Manager Approach

A multi-manager approach to portfolio management provides diversification of Trading Advisors and access to broader global markets. Portfolios comprised of multiple trading advisors can provide diversification across trading methodologies, trading time horizons, and markets traded, resulting in more consistent performance returns and overall lower volatility.

The trading system of each of the major Trading Advisors and the means by which the Series access those Trading Advisors are as follows:

A commodity trading advisor (“CTA”) that may be allocated at least 10% of the notional assets of any Series is referred to herein as a major CTA. A non-major CTA in respect of any Series is a CTA whose allocation will be less than 10% of such Series’ notional assets.

As of December 31, 2018,2020, the allocation of the assets of each applicable Series of the Trust among the Trading Advisors was as follows:

Allocation as of December 31, 20182020 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

A description of the trading strategies of the major commodity trading advisors, including general trading focus and registration as a commodity pool operator and/or an investment adviser, and a description of the advisory agreements with the commodity trading advisors is contained in the Prospectus, under the section captioned “Summary of Agreements—Advisory Agreements” and the appendix attached to the Prospectus for each Series of Units, containing a description of each major commodity trading advisor and its trading program, and such description is incorporated herein by reference from the Prospectus.

Financial Information about Geographic AreasEffective March 12, 2020, Emil Van Essen accessed through Galaxy Plus Fund – Emil Van Essen STP Feeder Fund (516) LLC and Transtrend BV accessed through Galaxy Plus Fund – TT Feeder Fund (531) LLC ceased to act as commodity trading advisors to the Trust.

AlthoughEffective April 1, 2020, Landmark Trading Company accessed through Galaxy Plus Fund – LRR Feeder Fund (522) LLC ceased to act as a commodity trading advisor to the Trust trades in the global futures and forward markets, it does not have operations outside of the United States, and therefore this item is not applicable.Trust.

Effective May 30, 2020, BH-DG Systematic Trading LLP accessed through the Frontier Brevan Howard Swap 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 accessed through Frontier XXXVII, LLC L/S Select Swap, H2O AM LLP and Crabel Capital Management, LLC (both accessed through Frontier XXXIV, LLC Balanced Select Swap and Frontier XXXV, LLC Select Swap) ceased to act as commodity trading advisors to the Trust.

Effective January 4, 2021, Volt Capital Management AB accessed through Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC became a new commodity trading advisor for Frontier Long/Short Commodity Fund.

Employees

The Trust has no employees. The Trust is managed solely by the Managing Owner in its capacity as the managing owner of the Trust pursuant to the Trust Agreement.

Available Information

The Trust files quarterly, annual and current reports, and all amendments to these reports, with the Securities and Exchange Commission (“SEC”). TheseThe Trust and the Series do not maintain an internet website for their filings; however, the SEC maintains an internet site that contains reports, proxy and information statements, and other information regarding issuers that file electronically with the SEC. The Trust’s SEC filings are available atto the public from the EDGAR database on the SEC’s Public Reference Facilities in Washington, D.C.website at 450 Fifth Street, N.W., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information or visit http://www.sec.gov. The Trust’s CIK number is 0001261379. The Trust will provide electronic or paper copies of its filings to its investors free of charge upon request. 

Any forward-looking statements herein are based on expectations of the Managing Owner at this time. Whether or not actual results and developments will conform to the Managing Owner’s expectations and predictions, however, is subject to a number of risks and uncertainties, including the special considerations discussed in the Series’ prospectuses, general economic, market and business conditions, changes in laws or regulations or other actions made by governmental authorities or regulatory bodies, and other world economic and political developments. The Series and the Managing Owner undertake no duty to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

The Trust is a venture in a high-risk business. An investment in the Units of each Series is very speculative. You should make an investment in one or more of the Series only after consulting with independent, qualified sources of investment and tax advice and only if your financial condition will permit you to bear the risk of a total loss of your investment. You should consider an investment in the Units only as a long-term investment. Moreover, to evaluate the risks of this investment properly, you must familiarize yourself with the relevant terms and concepts relating to commodities trading and the regulation of commodities trading, which are discussed in the Prospectus in the Statement of Additional Information below, in the section captioned “The Futures Markets,” which is incorporated herein by reference.

You should carefully consider all the information we have included or incorporated by reference in this Form 10-K and our subsequent periodic filings with the SEC. In particular, you should carefully consider the risk factors described below and read the risks and uncertainties as set forth in the “Management’s Discussion and Analysis of Financial Condition and Results of Operations” Section of this Form 10-K. Any of the following risks and uncertainties could materially adversely affect the Trust, its trading activities, operating results, financial condition and NAV and therefore could negatively impact the value of your investment. The information contained herein does not constitute investment, legal or tax advice. You should not invest in the Units unless you can afford to lose all of your investment.

Market RisksAll trading and investment activities take place at the Trading Company level or through a Series’ investment in one or more Galaxy Plus entities Platform, and since the Trust invests substantially all of the assets of each Series in one or more Trading Companies and/or Galaxy Plus entities, each of the risks applicable to the Trading Companies and/or Galaxy Plus entities flows through to the Series.

Structural Risks

Neither the Trust nor any of the Trading Companies nor any of the Galaxy Plus entities is a registered investment company.

Neither the Trust nor any of the Trading Companies nor any of the Galaxy Plus entities is an investment company subject to the Investment Company Act. Accordingly, Unitholders do not have the protections afforded by that statute. For example, the Investment Company Act requires investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment adviser.

Certain restrictions on redemption and transfer of the Units apply.

Unitholders generally may redeem Units daily on one business day notice, but certain restrictions on redemption and transfer will apply. For example, if a Unitholder invests in class 1 or 1a Units and redeem all or a portion of such Units on or before the end of the 12 full months following the purchase of such Units, a Unitholder will be charged a redemption fee of up to a percentage of the purchase price of any such Units being redeemed. Also, transfers of Units are permitted only with the prior written consent of the Managing Owner and provided that conditions specified in the trust agreement are satisfied. There is no secondary market for the Units and none is expected to develop.

Redemptions may be temporarily suspended.

The commodity interestManaging Owner may temporarily suspend redemptions for some or all of the Series for up to 30 days if the effect of any redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets. During any suspension of redemptions, a redeeming limited owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.

An unanticipated number of redemption requests over a short period of time could result in losses.

Substantial redemptions of Units could require a Series to liquidate investments more rapidly than otherwise desirable in order to raise the necessary cash to fund the redemptions, which could result in losses. Illiquidity in the markets could make it difficult to liquidate positions on favorable terms, which could result in additional losses. It may also be difficult for the Series to achieve a market position appropriately reflecting a smaller equity base.

Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of a Unitholder’s redemption amount.

When a Unitholder redeems its Units, the Trust may find it necessary to set up a reserve for undetermined or contingent liabilities and withhold a certain portion of a Unitholder’s redemption amount. This could occur, for example, if (i) some of the positions of the Series in which a Unitholder is invested were illiquid, (ii) there are any assets which cannot be properly valued on the Trading Advisors trade are highly volatile,redemption date, or (iii) there is any pending transaction or claim by or against the Trust involving, or which may affect, a Unitholder’s capital account or a Unitholder’s obligations.

Unitholders have limited rights and cannot prevent the Trust from taking actions which could cause substantiallosses.

Unitholders exercise no control over the Trust’s day-to-day business. Therefore, the Trust will take certain actions and enter into certain transactions or agreements without the Unitholders’ approval. For example, the Trust may retain a trading advisor for a Series in which a Unitholder is invested, and such trading advisor may ultimately incur losses for the Series. As a limited owner, a Unitholder will have no ability to influence the hiring, retention or firing of such trading advisor. However, certain actions, such as termination or dissolution of a Series, may only be taken upon the affirmative vote of Unitholders holding Units representing at least a majority (over 50%) of the net asset value of the Series (excluding Units owned by the Managing Owner and may cause you to lose your entire investment.its affiliates).

Commodity interest contractsUnitholders will not be able to review any Series’ holdings on a daily basis and may suffer unanticipated losses.

The trading advisors make trading decisions on behalf of the assets of each Series. While the trading advisors receive daily trade confirmations from the clearing brokers of each transaction entered into on behalf of each Series for which they manage the trading, each Series’ trading results are highly volatileonly reported to investors monthly in summary fashion. Accordingly, an investment in the Units does not offer investors the same transparency that a personal trading account offers. As a result, you may suffer unanticipated losses.

Unitholders will not be aware of changes to trading programs or investments into, or divestments from, any Galaxy Plus entities.

Because of the proprietary nature of each trading advisor’s trading programs, you generally will not be advised if adjustments are made to a trading program or to allocations made to one or more Galaxy Plus entities in order to accommodate additional assets under management or for any other reason.

The Trust could terminate before a Unitholder achieves its investment objective, causing potential loss of its investment or upsetting its investment portfolio.

Unforeseen circumstances, including substantial losses or withdrawal of the Trust’s Managing Owner, could cause the Trust to terminate before its stated termination date of December 31, 2053. The Trust’s termination would cause the liquidation and potential loss of your investment and could upset the overall maturity and timing of your investment portfolio.

The Managing Owner may allocate nominal assets in respect of a Series that are subjectin excess of the Net Asset Value of such Series.

At any given time, the nominal assets of a Series may exceed the net asset value of such Series depending on the amount of notional equity that is being utilized, including through investments in the Galaxy Plus entities. The Managing Owner expects that the nominal 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 occasional rapidthe extent the Managing Owner deems necessary to achieve the desired level of volatility. The Managing Owner also expects each of the trading advisors to the Galaxy Plus entities to maintain nominal assets at a level in excess of the net asset value of such Galaxy Plus entity. To the extent that nominal assets of a Series or Galaxy Plus entity are in excess of net asset value, investors should understand that the applicable Series or Galaxy Plus entity will experience greater volatility as measured by net asset value than it would if the nominal assets were maintained at a level equal to net asset value. In such case, any losses to the Series or Galaxy Plus entity will be greater as measured by a percentage of net asset value, as compared to the percentage loss incurred in respect of nominal assets. Consequently, the allocation of nominal assets in excess of a Series’ or Galaxy Plus entity’s net asset value will magnify exposure to the swings in market prices of futures, forwards, options or other assets held by a Trading Company, Galaxy Plus entity or referenced by a swap or other derivative instrument and substantial fluctuations. Consequently, you couldresult in increased volatility, and potentially greater losses. You may lose all or substantially all of your investment in the Units of any Series should such Series’ trading positions suddenly turn unprofitable. The profitability of any Series depends primarily on the ability of its Trading Advisor(s) to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:

The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the Trading Advisors.a Series.

The Managing Owner may adjust the leverage employed by a Trading Advisor through a Trading Company to maintain the target rate of volatility.

In addition, governments fromits sole discretion, the Managing Owner may modify the allocations between the trading advisors used by a particular Series at any time, including adding new trading advisors or terminating current trading advisor relationships, and the Managing Owner may also increase or decrease the amount of leverage employed by a specific trading advisor by allocating notional funds to time intervene, directly and by regulation,a particular trading advisor in certain markets, oftenaccordance with the intent to influence prices directly.Managing Owner’s proprietary management program. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

Futures, forward and options trading is volatile and may cause large losses.

A principal risk in futures, forward and options trading is volatile performance. Because the trading decisions for the Frontier Winton Fund will be made by a single Trading Advisor, the trading for Frontier Winton Fund is similar to a single advisor fund in which one Trading Advisor makes all the trading decisions. In single advisor funds, volatilityManaging Owner may increase as comparedor decrease the notional equity allocated to one or more individual trading advisors over time in order to adjust the annual volatility for a fund with several Trading Advisors who, collectively, can diversify risk to a greater extent (assuming those advisors are non-correlated with each other).Series within the target volatility range disclosed for such Series.

OptionsTo the extent that the Managing Owner increases the leverage employed by a particular trading canadvisor to maintain the target volatility of a Series, either by increasing the actual funds which are traded by the trading advisor at a leverage of greater than 1x or by allocating notional amounts to one or more trading advisors, the specific risks associated with the relevant trading advisors will be more volatilegreater for the affected Series. As the notional equity under management of a specific trading advisor increases, the diversification benefits attributable to a multi-advisor pool will be decreased to an extent, since the trading advisor will manage a greater percentage of the notional exposure of the Series. Since the Managing Owner may change the applicable leverage used by a particular trading advisor at any time, the diversification of risks between the trading advisors is variable.

Each Series may be charged substantial fees and expensiveexpenses regardless of profitability.

Each Series is charged brokerage charges, over-the-counter (“OTC”) dealer spreads and related transaction fees and expenses, and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, the Managing Owner charges each Series an incentive fee based on a percentage of the new trading profits generated by each trading advisor for such Series or the profits generated by such Series’ investment in Galaxy Plus entities. Such incentive fee is reduced by an amount equal to any performance fees paid by the Galaxy Plus entity to its trading advisors, and to the extent any related incentive fee is paid by the Series to a trading advisor, the Managing Owner will pay all or a portion of its incentive fee to the Series. As a result of the fact that incentive fees are calculated separately for each trading advisor and Galaxy Plus entity to which the Series has allocated assets and each Series allocates assets to multiple trading advisors and/or Galaxy Plus entities, it is possible that substantial incentive fees may be paid out of the net assets of a Series during periods in which such Series has no net new trading profits or in which such Series actually loses money. In addition, each Series must earn new trading profits and interest income sufficient to cover these fees and expenses in order for it to be profitable.

Investors should note that the management fee payable to the Managing Owner is based on nominal assets rather than futures trading.net asset value. Therefore, the management fee will be greater as a percentage of a Series’ net asset value to the extent that the nominal assets of such Series exceed its net asset value. The Managing Owner expects that the nominal 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. In addition, basing the management fee on nominal assets may result in the Managing Owner receiving a higher management fee than if it was based on net asset value. This method of calculating the management fee payable to the Managing Owner may differ from how other commodity pools that are similar to the Trust calculate their management fees.

There are certain risks associated with investments in Trading Companies and Galaxy Plus entities.

Certain Trading Advisors may trade options on futures. Although successful options trading requires many of the same skillstrading companies and Galaxy Plus entities may be organized as successful futuresseries limited liability companies. This means that, under the Delaware Limited Liability Company Act, the assets of one series are not available to pay the liabilities of another series or the trading the risks involved are somewhat different. Successful options trading requirescompany as a trader to accurately assess near-term market volatility because that volatility is immediately reflectedwhole. This statute has not been tested in a court of law in the priceUnited States. In the event series limited liability is not enforceable, a segregated series could be obligated to pay the liabilities of outstanding options. Correct assessmentanother series or the trading company. In addition, each of market volatility can therefore be of much greater significance in trading options than it is in many long-term futures strategies. If market volatility is incorrectly predicted, the use of options can be extremely expensive.

The Trading Advisors’ tradingTrust’s Series is subject to, execution risks.and invests a portion of its assets in Galaxy Plus entities that are subject to, risks related to the operation and administration of the Galaxy Plus Platform by officers and employees of Gemini.

AlthoughEach Series invests in trading companies that, although they are organized as series limited liability companies, allocate assets to more than one commodity trading advisor without the establishment of separate series with segregated liabilities. For these trading companies, losses incurred by one commodity trading advisor may negatively impact the trading company as a whole, as the assets allocated to a different commodity trading advisor may be made available to pay the liabilities of the commodity trading advisor that has incurred the loss. Since each of the Frontier Diversified Fund, the Frontier Masters Fund and the Frontier Long/Short Commodity Fund currently invests in such trading companies, this could indirectly cause the assets of one Series to be used to pay the liabilities of another Series. For trading companies that allocate assets to more than one commodity trading advisor, a series may be allowed to allocate a portion of its assets to a particular commodity trading advisor accessed by the trading company, rather than to the trading company as a whole.

Conflicts of interest exist in the structure and operation of the Trust.

A number of actual and potential conflicts of interest exist in the operation of the Trust’s business. The Managing Owner, the trading advisors, the independent administrator, the independent transfer agent, the clearing brokers, the Trustee and their respective principals are all engaged in other investment activities and are not required to devote substantially all of their time to the Trust’s business.

Each Series may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.

The clearing agreements between the clearing brokers and the trading companies generally will purchase and sell actively traded contracts, ordersare terminable by the clearing brokers once the clearing broker has given the trading company the required notice. Upon termination of a clearing agreement, the Managing Owner may be required to renegotiate that agreement or make other arrangements for obtaining clearing. The services of the clearing brokers may not be executed atavailable, or neareven if available, these services may not be available on the desired price, particularlyterms as favorable as those contained in thinly traded markets,the expired or terminated clearing agreements.

Each Series may be subject to indirect fees and expenses associated with investments in markets that lack trading liquidity,swaps or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, major losses could result.other derivative instruments.

A portion of each Series’ assets may be used to enter into principal-to-principal OTC derivative contracts, including swaps, which are individually negotiated by the parties and priced by the counterparty and may include fees and expenses that are accounted for in the pricing under the applicable contract. Such indirect embedded expenses may not be identifiable or enumerated explicitly in confirms or other transaction documentation. Each Series may pay a fee to a counterparty in respect of any swap or derivative instruments of up to 0.50% of the notional amount of such swap or derivative instrument. Any management fee or incentive fees embedded in a swap or other derivative instrument may be greater or less than the management fee or incentive fees that would otherwise be charged to the Series by the Managing Owner. During the periods covered in this report, 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 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. During the periods covered by this report, 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, (iv) swaps owned by Frontier Select Fund was 15% per annum, and (v) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. These embedded management and incentive fees may be higher or lower in the future.

The swaps owned by Frontier Heritage Fund and Frontier Select Fund (through its investment in an unconsolidated trading company) were terminated effective May 30, 2020, and the swaps owned by Frontier Balanced Fund, Frontier Long/Short Commodity Fund and Frontier Diversified Fund were terminated effective December 21, 2020.

The failure or bankruptcy of one of its futures clearing brokers, central clearing brokers, banks, counterparties or other custodians could result in a substantial loss of one or more Series’ assets.

The Trust is subject to the risk of insolvency of an exchange, clearinghouse, central clearing broker, commodity broker, and counterparties with whom the trading companies trade. Trust assets could be lost or impounded in such an insolvency during lengthy bankruptcy proceedings. Were a substantial portion of the Trust’s capital tied up in a bankruptcy, the Managing Owner might suspend or limit trading, perhaps causing a Series to miss significant profit opportunities. The Trust is subject to the risk of the inability or refusal to perform on the part of the counterparties with whom contracts are traded. In the event that the clearing brokers are unable to perform their obligations, the Trust’s assets are at risk and investors may only recover a pro rata share of their investment, or nothing at all.

Exchange-traded futures and futures-styled option contracts are marked to market on a daily basis, with variations in value credited or charged to the Trust’s account on a daily basis. The clearing brokers, as futures commission merchants for the Trust’s exchange-traded contracts, are required, pursuant to CFTC regulations, to segregate from their own assets, and for the sole benefit of its commodity customers, all funds held by such clients with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts. Similar requirements apply with respect to funds held in connection with cleared swap contracts. Bankruptcy law applicable to all U.S. futures brokers requires that, in the event of the bankruptcy of such a broker, all property held by the broker, including certain property specifically traceable to the Trust, will be returned, transferred, or distributed to the broker’s customers only to the extent of each customer’s pro rata share of the assets held by such futures broker. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt.

In the event of a shortfall in segregated customer funds held by the futures commission merchant, the Series’ assets on account with the futures commission merchant may be at risk in the event of the futures commission merchant’s bankruptcy or insolvency, and in such event, the Series may only recover a portion of the available customer funds. If no property is available for distribution, the Series would not recover any of its assets. With respect to a Series’ OTC uncleared swaps, prior to the implementation of the provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act, as amended (the “Dodd-Frank Act”), there was no requirement to segregate funds held with respect to such contracts. There is now a requirement to segregate funds held as variation margin posted by a party engaging in uncleared swaps with a swap dealer or major swap participant; moreover, a party engaging in uncleared swaps with a swap dealer or major swap participant can ask that the initial margin posted by such party be held with an independent third-party custodian. Generally, the party requesting segregation will pay the costs of such custodial arrangement. There may also be costs and delays involved in negotiating the custodial arrangement and related contractual terms.

With respect to transactions a Series enters into that are not traded on an exchange, there are no daily settlements of variations in value and there is no requirement to segregate funds held with respect to such accounts. Thus, the funds that a Series invests in such transactions may not have the same protections as funds used as margin or to guarantee exchange-traded futures and options contracts. If the counterparty becomes insolvent and a Series has a claim for amounts deposited or profits earned on transactions with the counterparty, the Series’ claim may not receive a priority. Without a priority, the Trust is a general creditor and its claim will be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even funds of the Trust that the counterparty keeps separate from its own operating funds may not be safe from the claims of other general and priority creditors. There are no limitations on the amount of allocated assets a portfolio manager can trade on foreign exchanges or in forward contracts.

A Unitholder may not be able to establish a basis for liability against a Trading Advisor, a clearing broker or a swap counterparty.

Each trading advisor, clearing broker, and swap counterparty acts only as a trading advisor, clearing broker or swap counterparty, respectively, to the applicable Series and/or trading company. These parties do not act as trading advisors, clearing brokers, or swap counterparties to you. Therefore, you have no contractual privity with the trading advisors, the clearing brokers, or any swap counterparty. Due to this lack of contractual privity, you may not be able to establish a basis for liability against a trading advisor, clearing broker, or swap counterparty.

The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities. The loss of such personnel could adversely affect the Trust.

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, although there are back-up personnel for every key function. If any of the Managing Owner’s key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.

Risks Relating to Trading and the Markets

Futures interests trading is speculative and volatile.

The rapid fluctuations in the market prices of futures, forwards, and options make an investment in any of the Series volatile. Volatility is caused by, among other things: changes in supply and demand relationships; weather; agriculture, trade, fiscal, monetary and exchange control programs; domestic and foreign political and economic events and policies; and changes in interest rates. The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the Trading Advisors. In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

Each Series’ performance will be volatile, and a Series could lose all or substantially all of its assets. The multi-advisor feature of each Series, except for Frontier WintonGlobal Fund, along with its investments in Galaxy Plus entities, may reduce the return volatility relative of the performance of single-advisor investment funds.

Options trading can be more volatile and expensive than futures trading.

Options are volatilederivatives that give the purchaser the option to buy (call) or sell (put) an underlying asset from or to a counterparty at a specified price (the strike price) on or before an expiration date. Certain trading advisors may purchase or write (i.e., sell) put and inherently leveraged,call options on an underlying reference it is otherwise permitted to invest in. By investing in options, the series are exposed to the risk that it may be required to buy or sell the underlying reference at a disadvantageous price on or before the expiration date. If a series sells a put option, the series may be required to buy the underlying reference at a strike price that is above market price, resulting in a loss. If a series sells a call option, the series may be required to sell the underlying reference at a strike price that is below market price, resulting in a loss. If a series sells a call option that is not covered (it does not own the underlying reference), the series’ losses are potentially unlimited. Options may involve economic leverage, which could result in greater volatility in price movement. Options may be traded on a securities exchange or in the over-the-counter market. At or prior to maturity of an options contract, a series may enter into an offsetting contract and sharp movementsmay incur a loss to the extent there has been adverse movement in prices could causeoptions prices. Options can increase a series’ risk exposure to underlying references and their attendant risks such as credit risk, market risk, foreign currency risk and interest rate risk, while also exposing the TrustFund to incur large losses.correlation risk, counterparty risk, hedging risk, leverage risk, liquidity risk, pricing risk and volatility risk.

Certain Trading Advisors may trade options on futures. Although successful options trading requires many of the same skills as successful futures trading, the risks involved are somewhat different. Successful options trading requires a trader to accurately assess near-term market volatility, because that volatility is immediately reflected in the price of outstanding options. Correct assessment of market volatility can therefore be of much greater significance in trading options than it is in many long-term futures strategies. If market volatility is incorrectly predicted, the use of options can be extremely expensive.

Exchanges of futures for physicals may adversely affect performance.Trading Swaps Creates Distinctive Risks.

Certain Trading Advisors may engage in exchanges of futures for physicals for client accounts. An exchange of futures for physicals is a transaction permitted under the rules of many futures exchanges in which two parties holding futures positions may close out their positions without making an open, competitive trade on the exchange. Generally, the holder of a short futures position buys the physical commodity, while the holder of a long futures position sells the physical commodity. The prices at which such transactions are executed are negotiated between the parties. If a Trading Advisor engaging in exchanges of futures for physicals were prevented from such trading as a result of regulatory changes, the performance of client accounts of such Trading Advisor could be adversely affected.

Cash flow needs may cause positions to be closed which may cause substantial losses.

Certain Trading Advisorsseries may trade options on futures. Futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions generally are not marked-to-market daily, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment betweencertain swaps. Unlike futures and options there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle relationship, then a substantial loss could occur.

The Trading Companies or Galaxy Plus entities and Trust may enter intofutures contracts, most swap and similar transactions which may create risks.

Swapscontracts currently are not traded on exchangesor cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and are not subjectcredit default swaps) to the same type of government regulation asbe cleared and executed on an exchange markets. As a result, many of the protections afforded to participants onor other organized exchanges and in a regulated environment are not available in connectiontrading platform. In accordance with these transactions.

The Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, the CFTC will affectdetermine in the manner infuture which over-the-counter (“OTC”)other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are tradedcleared, the series will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the credit risk associated with such trading. Any changes will likely impact the way swaps are traded and could impact the trading strategycurrent market value of the Trust,contract. Swap dealers and major swap participants require the series to deposit initial margin and variation margin as collateral to support such series’ obligation under the swap agreement but may not themselves provide collateral for the benefit of any series. If the counterparty to such a swap defaults, the series would be a general unsecured creditor for any termination amounts owed by the counterparty to the series as well as make it more expensivefor any collateral deposits in excess of the amounts owed by the series to trade swaps.the counterparty, which would result in losses to the series.

There are no limitations on daily price movements in swaps. Speculative position limits are not currently applicable to swaps, althoughbut in the counterparties tofuture, may be applicable for swaps may limit the size or duration of positions as a consequence of credit considerations. Participantson certain commodities. In addition, participants in the swap markets are not required to make continuous markets in the swaps they trade. Participants could refusetrade and determining a market value for calculation of termination amounts can lead to quote pricesuncertain results.

Trading of swaps has been and will continue to be subject to substantial change under the Dodd-Frank Act and related regulatory action. Under the Dodd-Frank Act, many commodity swaps will be required to be cleared through central clearing parties and executed on exchanges or other organized trading platforms. Security-based swaps will be subject to similar requirements. Additional regulatory requirements will apply to all swaps, whether subject to mandatory clearing or not. These include margin, collateral and capital requirements, reporting obligations, speculative position limits for certain swaps, or quote prices with an unusually wide spread between the price atand other regulatory requirements. Swaps which they are prepared to buy and the price at which they are prepared to sell. In the case of any swap that references a fund or program managednot offered for clearing by a Trading Advisor, certain or allclearinghouse will continue to be traded bi-laterally. Such bi-lateral transactions will remain subject to many of the risks discloseddiscussed in this reportthe preceding paragraphs.

Swap counterparties may hold collateral in relationU.S. or non-U.S. depositories. Non-U.S. depositories are not subject to U.S. regulation. The series’ assets held in these depositories are subject to the Trading Advisors alsorisk that events could occur which would hinder or prevent the availability of these funds for distribution to customers, including the series. Such events may apply, indirectly,include actions by the government of the jurisdiction in relation towhich the relevant Series’ investment in such swap.depository is located including expropriation, taxation, moratoria and political or diplomatic events.

The trading on behalf of each Series will be margined, which means that sharp declines in prices could lead to large losses.

Because the amount of margin funds necessary to be deposited with a futures clearing broker to enter into a futures, forward contract or option position is typically about 2% to 10% of the total value of the contract, each Trading Advisor may take positions on behalf of a Series with face values equal to several times such Series’ NAV. These low margin requirements provide a large amount of leverage. As a result of margining, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract or option position may result in losses that substantially exceed the amount invested. If severe short-term price declines occur, such declines could force the liquidation of open positions with large losses. Margin is normally monitored through the margin-to-equity ratio employed by each Trading Advisor. Under normal circumstances, the Trading Advisors will vary between a 10% to 30% margin-to-equity ratio. In addition, OTC transactions present risks in addition to those associated with exchange-traded contracts, as discussed immediately below.

OTC transactions are subject to little, if any, regulation and may be subject to the riskThe unregulated nature of counterparty default.

A portion of each Series’ assets may be used to trade OTC derivative contracts, such as forward contracts, option contracts, or swaps, or spot contracts. OTC contracts are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are essentially unregulated by the CFTC. You therefore do not receive the protection of CFTC regulation or the statutory scheme of the CEA in connection with this trading activity. The markets for OTC contracts rely upon the integrity of market participants in lieu of the additional regulation imposed by the CFTC on participants in the futures markets. The lack of regulation in these markets could expose a Series in certain circumstances to significant losses in the event of trading abuses or financial failure by participants.

Each Series also faces the risk of non-performance by the counterparties to the OTC contracts. Unlike in futures contracts, the counterparty to these contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, there will be greater counterparty credit risk in these transactions. The clearing member, clearing organization or other counterparty may not be able to meet its obligations, in which case the applicable Series could suffer significant losses on these contracts.

The Dodd-Frank Act will affect the manner in which OTC swap transactions are traded and the credit risk associated with such trading. Depending upon actions taken by regulatory authorities, these changes may also affect the manner of trading of OTC foreign currency transactions. Transactions that have been entered into prior to implementation of the provisions of the Dodd-Frank Act may remain in effect. Accordingly, even after the new regulatory framework is fully implemented, the risks of OTC foreign exchange transactions may continue to exist with respect to transactions entered into prior to the implementation of the provisions of the Dodd-Frank Act. Additionally, any changes will likely impact the way swaps are traded and could impact the trading strategy of the trust, as well as make it more expensive to trade swaps.

Assets Held in Accounts at U.S. Banks May Not Be Fully Insured.

The assets of each Trading Company or Galaxy Plus entity that are deposited with commodity brokers or their affiliates may be placed in deposit accounts at U.S. banks. The Federal Deposit Insurance Corporation (FDIC) insures deposit accounts at insured banks for up to $250,000 for each accountholder, and, if the funds in an account can be traced back to multiple individual co-owners, then each co-owner may be entitled to $250,000 in coverage. This amount of deposit insurance coverage was made permanent by the Dodd-Frank Act.  Uninsured depositors also may receive funds in the event of a receivership of the bank holding the deposit accounts, but uninsured depositors have a lower priority in respect of payment than insured depositors or certain other creditors, and frequently there are insufficient funds in a receivership estate to pay off uninsured depositors fully or at all. If the FDIC were to become receiver of an insured U.S. bank holding deposit accounts that were established by a commodity broker or one of its affiliates, then it is uncertain whether the commodity broker, the affiliate involved, the Trading Company or Galaxy Plus entity, the Series involved, or the investor would be able to reclaim cash in the deposit accounts in the full amount.

Your investment could be illiquid.

A Trading Advisor may not always be able to liquidate its commodity interest positions at the desired time or price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as a foreign government taking political actions that disrupt the market in its currency or in a major export, can also make it difficult to liquidate a position. Alternatively, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests. There is no secondary market for the Units, and none is expected to develop.

Certain Restrictions on Redemption and Transfer of the Units Will Apply.

Investors may redeem units daily on one business day notice, but certain restrictions on redemption and transfer will apply. For example, if you invest in Class 1 or 1a Units and redeem all or a portion of such Units on or before the end of the 12 full months following the purchase of such Units, you will be charged a redemption fee of up to 2.0% of the purchase price of any such units being redeemed. Also, transfers of Units are permitted only with the prior written consent of the Managing Owner and provided that conditions specified in the trust agreement are satisfied. There is no secondary market for the Units, and none is expected to develop.

Redemptions may be temporarily suspended.

The Managing Owner may temporarily suspend redemptions for some or all of the Series for up to 30 days if the effect of any redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets. During any suspension of redemptions, a redeeming Limited Owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.

An investment in Units may not diversify an overall portfolio.

Historically, managed futures have performed in a manner largely independent from the general equity and debt markets. If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. An investment in any Series of the Trust could increase, rather than reduce your overall portfolio losses during periods when the Trust and the equity and debt markets decline in value. There is no way of predicting whether the Trust will lose more or less than stocks and bonds in declining markets. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios. Past performance is not indicative of future results.

Trading Risks

There are disadvantages to making trading decisions based on technical analysis.

Many of the Trading Advisors, except certain Trading Advisors trading for the Frontier Long/Short Commodity Fund may base their trading decisions on trading strategies that use mathematical analyses of technical factors relating to past market performance rather than fundamental analysis. The buy and sell signals generated by a technical, trend-following trading strategy are derived from a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded. A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend- following trading strategy will be profitable in the future.

There are disadvantages to making trading decisions based on fundamental analysis.

Certain Trading Advisors will base their decisions on trading strategies which utilize in whole or in part fundamental analysis of underlying market forces. Fundamental analysis attempts to examine factors external to the trading market which affect the supply and demand for a particular commodity interest in order to predict future prices. Such analysis may not result in profitable trading because certain Trading Advisors may not have knowledge of all factors affecting supply and demand or may incorrectly interpret the information they do have. Furthermore, prices may often be affected by unrelated or unexpected factors and fundamental analysis may not enable the Trading Advisor to determine whether its previous decisions were incorrect in sufficient time to avoid substantial losses. In addition, fundamental analysis assumes that commodity markets are inefficient—i.e., that commodity prices do not always reflect all available information—which some market analysts dispute.

Increased competition from other systematic traders could reduce the Trading Advisors’ profitability.

There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed pursuant to trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisors using technical systems are attempting to initiate or liquidate commodity interest positions at the same time as the Trading Advisors. The more competition there is for the same positions, the more costly and harder they will be to acquire.

Discretionary decision-making may result in missed opportunities or losses.

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

The Trading Companies or Galaxy Plus entities are subject to speculative position limits.

The U.S. futures exchanges have established speculative position limits (referred to as “position limits”) on the maximum net long or net short position which any person or group of persons may hold or control in particular futures and options on futures. Most exchanges also limit the amount of fluctuation in commodity futures contract prices on a single trading day. Therefore, a Trading Advisor may have to modify its trading instructions or reduce the size of its positions in one or more futures or options contracts in order to avoid exceeding such position limits, which could adversely affect the profitability of the Trading Companies or Galaxy Plus entities. The futures exchange may amend or adjust these position limits or the interpretation of how such limits are applied and adversely affect the profitability of the Trading Companies or Galaxy Plus entities. In addition, in October 2011, the CFTC adopted rules governing position limits on futures (and options on futures) on a number of agricultural, energy and metals commodities, as well as on swaps that perform a significant price discovery function with respect to those futures and options. In September 2012, the CFTC’s rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. The CFTC initially proposed revised position limits rules late in 2013 and reproposed further revised position limits rules late in 2016 with respect to speculative positions in 25 core physical commodity futures contracts and their “economically equivalent” futures, options, and swaps. The comment period for the rules closed in February 2017. The date for the CFTC’s final rules is unknown. It is possible that these rules may take effect in some form. If so, these rules could have an adverse effect on the Trading Companies’ or Galaxy Plus entities’ trading.

In December 2016, the CFTC voted unanimously to re-propose regulations implementing limits on speculative positions in 25 core physical commodity futures contracts and their economically equivalent futures, options and swaps. Comments on these regulations were due by the end of February 2017. These rules could have an adverse effect on Trading Advisors’ trading for the Trading Companies and Galaxy Plus entities.

Increases in assets under management of any of the Trading Advisors could lead to diminished returns.

We believe that none of the Trading Advisors intend to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. However, the rates of returns achieved by a Trading Advisor often diminish as the assets under its management increase. This can occur for many reasons, including the inability of the Trading Advisor to execute larger position sizes at desired prices and because of the need to adjust the Trading Advisor’s trading program to avoid exceeding speculative position limits. These limits are established by the CFTC and the exchanges on the number of speculative futures and options contracts in a commodity that one trader may own or control. Furthermore, if the Trading Advisors for a Series cannot manage any additional allocation from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.

The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.

The use of multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may result in developments or positions that adversely affect the respective Series’ NAV. For example, because the Trading Advisors trading for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or transactions or causing some of them to be foregone altogether. Even though the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, or Frontier Long/Short Commodity Fund may incur losses of such magnitude that such Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, the clearing brokers for the Trading Company(ies) or Galaxy Plus entity(ies) in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.

The Trading Advisors’ trading programs bear some similarities and, therefore, may lessen the benefits to the Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund and Frontier Masters Fund of having multiple Trading Advisors.

Each Trading Advisor has, over time, developed and modified the program it will use in trading. Nevertheless, the Trading Advisors’ trading programs have some similarities. These similarities may, in fact, mitigate the positive effect of having multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund and Frontier Long/Short Commodity Fund. For example, in periods where one Trading Advisor experiences a draw-down, it is possible that these similarities will cause the other Trading Advisors to also experience a draw-down.

Each Series relies on its Trading Advisor(s) for success, and if a Trading Advisor’s trading is unsuccessful, the Series may incur losses.

The Trading Advisor(s) for each Series will make the commodity trading decisions for that Series. Therefore, the success of each Series depends on the judgment and ability of the Trading Advisors. A Trading Advisor’s trading for any Series may not prove successful under all or any market conditions. If a Trading Advisor’s trading is unsuccessful, the applicable Series may incur losses. Similarly, the success of each Series that invests in swaps largely depends on the judgment and ability of the Trading Advisors whose trading programs are referenced by swaps in which such Series invests.

There are disadvantages associated with terminating or replacing Trading Advisors, Trading Programs, or Reference Trading Programs

A Trading Advisor generally is required to recoup previous trading losses in its trading program or a reference trading program, as applicable, before it can earn performance-based compensation. However, the Managing Owner may elect to replace a Trading Advisor, or any trading program or reference trading program, that has a “loss carryforward.” In that case, the trust would lose the “free ride” of any potential recoupment of the prior losses of such Trading Advisor, trading program or reference trading program. In addition, the new Trading Advisor, trading program or reference trading program, or an existing Trading Advisor in respect of a new trading program or reference program, would earn performance-based compensation on the first dollars of investment profits.

It is also possible that (i)  if assets of any Series allocated to a particular Trading Advisor, trading program or reference trading program are reallocated to a new or different Trading Advisor, trading program or reference trading program, the new or different Trading Advisor, with respect to its applicable trading program or reference trading program, will not manage the assets on terms as favorable to the Series as those previously negotiated, (ii) the addition of a new Trading Advisor, trading program or reference trading program and/or the removal of one of the current Trading Advisors, trading programs or reference trading programs may cause disruptions in trading as assets are reallocated, or (iii) the services of a replacement Trading Advisor, in respect of a trading program, reference program or otherwise, may not be available. There is severe competition for the services of qualified Trading Advisors, and the Managing Owner may not be able to retain replacement or additional Trading Advisors on acceptable terms. The effect of the replacement of, or the reallocation of assets away from, a Trading Advisor, trading program or reference trading program therefore could be significant.

Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts.

Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than the Series for which it trades.

A Trading Advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from managing the account of the Series for which it trades. Because records with respect to other accounts are not accessible to investors in the Units, investors will not be able to determine if any Trading Advisor is favoring other accounts.

The Trading Advisors’ positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the positions were more diversified.

One or more of the Trading Advisors may from time to time cause a Series to hold a few, relatively large positions in relation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to such Series than if the Series’ assets had been spread among a wider number of instruments.

Markets or positions may be correlated and may expose a Series to significant risk of loss.

Different markets traded or individual positions held by a Series of Units may be highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.

Turnover in each Series’ portfolio may be high which could result in higher brokerage commissions and transaction fees and expenses.

Each Trading Advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to market conditions, and this could result in one or more Series incurring substantial brokerage commissions and other transaction fees and expenses.

Stop-loss Orders May Not Prevent Large Losses.

Certain of the Trading Advisors may use stop-loss orders. Such stop-loss orders may not effectively prevent substantial losses, and depending on market factors at the time, may not be able to be executed at such stop-loss levels. No risk control technique can assure that large losses will be avoided. 

The Unregulated Nature of Uncleared Trades in the OTC Markets Creates Counterparty Risksmarkets creates counterparty risks that Do Not Existdo not exist in Futures Tradingfutures trading on Exchangesexchanges or in Cleared Swaps.cleared swaps.

Unlike futures contracts and cleared swaps, uncleared trades, such as forward contracts, some swaps and some OTC “spot” contracts, are entered into between private parties off an exchange or other trading platform and are not subject to clearing. As a result, the performance of those contracts is not guaranteed by an exchange or its clearinghouse and the Series is at risk with respect to the ability of the counterparty to perform on the contract, including the creditworthiness of the counterparty. Trading of foreign exchange spot contracts of foreign exchange forwards and foreign exchange swaps (as such terms are defined in the Dodd-Frank Act), and of uncleared swaps is not regulated or is subject to limited regulation; therefore, there are limited or no specific standards or regulatory supervision of trade pricing and other trading activities that occur in those markets.

Foreign Currencycurrency and Spot Contracts Historically Were Not Regulated When Traded Between Certain “Eligible Contract Participants”spot contracts historically were not regulated when traded between certain “eligible contract participants” and Are Subjectare subject to Credit Risk.credit risk.

Each Series may trade forward contracts in foreign currencies and may engage in spot commodity transactions (transactions in physical commodities). These contracts, unlike futures contracts and options on futures, historically were not regulated by the CFTC when traded between certain “eligible contract participants,” as defined in the CEA. On July 21, 2010, the President signed into law major financial services reform legislation in the form of the Dodd-Frank Act. The Dodd-Frank Act includes foreign currency forwards and foreign currency swaps (as such terms are defined in the Dodd-Frank Act) in the definition of “swap.” The CFTC has been granted authority to regulate all swaps but grants the U.S. Treasury Department the discretion to exempt foreign currency forwards and foreign currency swaps from all aspects of the Dodd-Frank Act other than reporting, recordkeeping and business conduct rules for swap dealers and major swap participants. In November 2012, Treasury determined that those transactions can be carved out of the swap category, and they are subject only to the noted categories of the Dodd-Frank Act requirements. Therefore, the Series will not receive the full benefit of CFTC regulation for certain of their foreign currency trading activities.

The percentage of each Series’ positions that are expected to constitute foreign currency forwards and foreign currency swaps can vary substantially from month to month.

Trading on Foreign Exchanges Presents Greater Risksforeign exchanges presents greater risks to the Series than Tradingtrading on U.S. Exchanges.exchanges.

Each Series trades on exchanges located outside the United States. Trading on U.S. exchanges is subject to CFTC regulation and oversight, including, for example, minimum capital requirements for commodity brokers, segregation of customer funds, regulation of trading practices on the exchanges, prohibitions against trading ahead of customer orders, prohibitions against filling orders off exchanges, prescribed risk disclosure statements, testing and licensing of industry sales personnel and other industry professionals, and recordkeeping requirements, and other requirements and restrictions for the purpose of preventing price manipulation and other disruptions to market integrity, avoiding systemic risk, preventing fraud and promoting innovation, competition and financial integrity of transactions. Trading on foreign exchanges is not regulated by the CFTC or any other U.S. governmental agency or instrumentality and may be subject to regulations that are different from those to which U.S. exchange trading is subject, provide less protection to investors than trading on U.S. exchanges, and may be less vigorously enforced than regulations in the U.S. The CFTC has no power to compel the enforcement of the rules of a foreign exchange or applicable foreign laws. Therefore, the Series will not receive any benefit of U.S. government regulation for these trading activities.

Trading on foreign exchanges involves some risks that trading on U.S. exchanges does not, such as:

Lack of Investor Protection Regulation

The rights of the Series in the event of the insolvency or bankruptcy of a non-U.S. market or broker are likely to differ from rights that the Series would have in the United States and these rights may be more limited than in the case of failures of U.S. markets or brokers.

Possible Governmental Intervention

Generally, foreign brokers are not subject to the jurisdiction of the CFTC or any other U.S. regulator. In addition, the Series’ assets held outside of the United States to margin transactions on foreign exchanges are held in accordance with the client assets protection regime and the insolvency laws of the applicable jurisdiction. A foreign government might halt trading in a market and/or take possession of the Series’ assets maintained in its country in which case the assets may never be recovered. The Managing Owner and the Series might have little or no notice that such events were happening. In such circumstances, the Managing Owner may not be able to obtain the Series’ assets.

Relatively New Markets

Some foreign exchanges on which the Series trade may be in developmental stages so that prior price histories may not be indicative of current price patterns.

Exchange-Rate Exposure

The Series are valued in U.S. dollars. Contracts on foreign exchanges are usually traded in the local currency. The Series’ assets held in connection with contracts priced and settled in a foreign currency may be held in a foreign depository in accounts denominated in a foreign currency. Changes in the value of the local currency relative to the U.S. dollar could cause losses to the Series even if the contract traded is profitable.

InvestmentsAssets held in Reference Programs Throughaccounts at U.S. banks may not be fully insured.

The assets of each Trading Company or Galaxy Plus entity that are deposited with commodity brokers or their affiliates may be placed in deposit accounts at U.S. banks. The Federal Deposit Insurance Corporation (“FDIC”) generally insures all deposit accounts of any one accountholder held at any one insured U.S. bank for up to $250,000 in the aggregate. If the funds in an account can be traced back to multiple individual co-owners, then each co-owner may be separately entitled to up to $250,000 in coverage. This $250,000 maximum amount of deposit insurance coverage was made permanent by the Dodd-Frank Act.  Uninsured depositors also may receive funds in the event of a Swap or Other Derivative Instrument May Not Always Replicate Exactly Performancereceivership of the Relevant CTAbank holding the deposit accounts, but uninsured depositors have a lower priority in respect of payment than insured depositors or certain other creditors, and frequently there are insufficient funds in a receivership estate to pay off uninsured depositors fully or at all. If the FDIC were to become receiver of an insured U.S. bank holding deposit accounts that were established by a commodity broker or one of its affiliates, then it is uncertain whether the commodity broker, the affiliate involved, the Trading Program(s).Company or Galaxy Plus entity, the Series involved, or the investor would be able to reclaim cash in the deposit accounts in the full amount.

Exchanges of futures for physicals may adversely affect performance.

Certain Series investTrading Advisors may engage in reference programs through total return swaps with Deutsche Bank AG. Such swaps referenceexchanges of futures for physicals for client accounts. An exchange of futures for physicals is a transaction permitted under the rules of many futures exchanges in which two parties holding futures positions may close out their positions without making an index comprisedopen, competitive trade on the exchange. Generally, the holder of sharesa short futures position buys the physical commodity, while the holder of a long futures position sells the physical commodity. The prices at which such transactions are executed are negotiated between the parties. If a Trading Advisor engaging in segregatedexchanges of futures for physicals were prevented from such trading as a result of regulatory changes, the performance of client accounts of such Trading Advisor could be adversely affected.

Cash flow needs may cause positions to be closed which may cause substantial losses.

Certain Trading Advisors may trade options on futures. Futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions generally are not marked-to-market daily, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment between futures and options, there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle relationship, then a substantial loss could occur.

Your investment portfolios directed by CTAs selected bycould be illiquid.

A Trading Advisor may not always be able to liquidate its commodity interest positions at the Managing Owner.desired time or price. It is possibledifficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as a foreign government taking political actions that disrupt the underlying indexmarket in its currency or in a major export, can also make it difficult to liquidate a position. Alternatively, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests. There is no secondary market for the Units, and none is expected to develop.

The Trading Advisors’ trading is subject to execution risks.

Although each Series generally will purchase and sell actively traded contracts, orders may not be executed at or near the desired price, particularly in thinly traded markets, in markets that lack trading liquidity, or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, major losses could result.

An investment in Units may not diversify an overall portfolio.

Historically, managed futures have performed in a manner largely independent from the general equity and debt markets. If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. An investment in any swap ownedSeries of the Trust could increase, rather than reduce your overall portfolio losses during periods when the Trust and the equity and debt markets decline in value. There is no way of predicting whether the Trust will lose more or less than stocks and bonds in declining markets. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios. Past performance is not indicative of future results.

Markets or positions may be correlated and may expose a Series to significant risk of loss.

Different markets traded or individual positions held by a Series of Units may not fully replicatebe highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.

The Trading Advisors’ positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the performancepositions were more diversified.

One or more of the relevant CTA programsTrading Advisors may from time to time cause a Series to hold a few, relatively large positions in respectrelation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to such Series than if the Series’ assets had been spread among a wider number of other accounts traded by such CTAs. Further, the calculation of the underlying index for such swaps will include a deduction for a fee payable to the swap counterparty. Each of these deductions will mean that the return of such investment will be less than would be the case if no fees were deducted.instruments.

Turnover in each Series’ portfolio may be high which could result in higher brokerage commissions and transaction fees and expenses.

Each Trading Advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to market conditions, and this could result in one or more Series incurring substantial brokerage commissions and other transaction fees and expenses.

There Are Certain Risks Associatedare certain risks associated with the Trust’s Investmentinvestment in U.S. Government Debt Securities.government debt securities.

With respect to the portion of the Trust’s assets apportioned for cash management, the Trust may invest in U.S. government securities which include any security issued or guaranteed as to principal or interest by the United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress of the United States or any certificate of deposit for any of the foregoing, including U.S. Treasury bonds, U.S. Treasury bills and issues of agencies of the U.S. government (such as Ginnie Mae, Fannie Mae, or Freddie Mac). U.S. government securities are subject to market risk, interest rate risk and credit risk. Securities, such as those issued or guaranteed by Ginnie Mae or the U.S. Treasury, that are backed by the full faith and credit of the United States are guaranteed only as to the timely payment of interest and principal when held to maturity and the market prices for such securities will fluctuate. Notwithstanding that these securities are backed by the full faith and credit of the United States, circumstances could arise that would prevent the payment of interest or principal. This would result in losses to the Trust. Securities issued or guaranteed by U.S. government-related organizations, such as Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the U.S. government and no assurance can be given that the U.S. government would provide financial support. Therefore, U.S. government-related organizations may not have the funds to meet their payment obligations in the future.

The Trust’s Investmentinvestment in U.S. Government Debt Securities Will Be Subjectgovernment debt securities will be subject to Interest Rate Risk.interest rate risk.

The Trust’s cash management pool includes investments in U.S. government debt securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. On the other hand, if rates fall, the value of these investments generally increases. U.S. government securities with greater interest rate sensitivity and longer maturities tend to produce higher yields but are subject to greater fluctuations in value. Usually, the changes in the value of fixed income securities will not affect cash income generated but may affect the value of your investment. Given the current low interest rate environment, the risk associated with rising rates is heightened.

Investments in reference programs through a swap or other derivative instrument may not always replicate exact exactly the performance of the relevant CTA trading program(s).

During the periods covered by this report, certain Series invested in reference programs through total return swaps with Deutsche Bank AG. Such swaps reference an index comprised of shares in segregated investment portfolios directed by CTAs selected by the Managing Owner. It is possible that the underlying index in respect of any swap owned by a Series may not fully replicate the performance of the relevant CTA programs in respect of other accounts traded by such CTAs. Further, the calculation of the underlying index for such swaps will include a deduction for a fee payable to the swap counterparty. Each of these deductions will mean that the return of such investment will be less than would be the case if no fees were deducted.

The continuing spread of a new strain of coronavirus, which causes the viral disease known as COVID-19, may adversely affect our investments and operations.

Since its discovery in December 2019, a new strain of coronavirus, which causes the viral disease known as COVID-19, has spread from China to many other countries, including the United States. The outbreak has been declared a pandemic by the World Health Organization, and the U.S. Health and Human Services Secretary has declared a public health emergency in the United States in response to the outbreak. 

The outbreak of the novel coronavirus in many countries is having and will likely continue to have an adverse impact on global commercial activity, which has contributed to significant volatility in financial markets. The global impact of the outbreak has been rapidly evolving, and as cases of the virus have been identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel. These actions are creating disruption in supply chains, and adversely impacting a number of industries, including but not limited to transportation, hospitality, and entertainment.

The impact of COVID-19 on the U.S. and world economies, and the extent of and effectiveness of any responses taken on a national and local level, is uncertain and could result in a world-wide economic downturn and disrupt financial markets that impact trading programs in unanticipated and unintended ways.

The rapid development of this situation precludes any prediction as to the ultimate adverse impact of the novel coronavirus. Nevertheless, the novel coronavirus presents material uncertainty and risk with respect to the Series’ investments and operations.

Risks Relating to the Trading Advisors

There are disadvantages to making trading decisions based on technical analysis.

Many of the Trading Advisors, except certain Trading Advisors trading for the Frontier Long/Short Commodity Fund may base their trading decisions on trading strategies that use mathematical analyses of technical factors relating to past market performance rather than fundamental analysis. The buy and sell signals generated by a technical, trend-following trading strategy are derived from a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded.

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A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend- following trading strategy will be profitable in the future.

There are disadvantages to making trading decisions based on fundamental analysis.

Certain Trading Advisors will base their decisions on trading strategies which utilize in whole or in part fundamental analysis of underlying market forces. Fundamental analysis attempts to examine factors external to the trading market which affect the supply and demand for a particular commodity interest in order to predict future prices. Such analysis may not result in profitable trading because certain Trading Advisors may not have knowledge of all factors affecting supply and demand or may incorrectly interpret the information they do have. Furthermore, prices may often be affected by unrelated or unexpected factors and fundamental analysis may not enable the Trading Advisor to determine whether its previous decisions were incorrect in sufficient time to avoid substantial losses. In addition, fundamental analysis assumes that commodity markets are inefficient—i.e., that commodity prices do not always reflect all available information—which some market analysts dispute.

Discretionary decision-making may result in missed opportunities or losses.

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

Increased competition from other systematic traders could reduce the Trading Advisors’ profitability.

There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed pursuant to trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisors using technical systems are attempting to initiate or liquidate commodity interest positions at the same time as the Trading Advisors. The more competition there is for the same positions, the more costly and harder they will be to acquire.

The incentive fees could be an incentive to the Trading Advisors to make riskier investments.

The Managing Owner pays each Trading Advisor incentive fees based on the trading profits earned by it for the applicable Series, including unrealized appreciation on open positions. Accordingly, it is possible that the Managing Owner will pay an incentive fee on trading profits that do not become realized. Also, because the Trading Advisors are compensated based on the trading profits earned, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation.

The risk management approaches of one or all of the Trading Advisors may not be fully effective, and a Series may incur losses.

The mechanisms employed by each Trading Advisor to monitor and manage the risks associated with its trading activities on behalf of the Series for which it trades may not succeed in mitigating all identified risks. Even if a Trading Advisor’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. If one or more of the Trading Advisors fails to identify and adequately monitor and manage all of the risks associated with its trading activities, the Series for which it trades may suffer losses. 

Increases in assets under management of any of the Trading Advisors could lead to diminished returns.

We believe that none of the Trading Advisors intend to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. However, the rates of returns achieved by a Trading Advisor often diminish as the assets under its management increase. This can occur for many reasons, including the inability of the Trading Advisor to execute larger position sizes at desired prices and because of the need to adjust the Trading Advisor’s trading program to avoid exceeding speculative position limits.

These limits are established by the CFTC and the exchanges on the number of speculative futures and options contracts in a commodity that one trader may own or control. Furthermore, if the Trading Advisors for a Series, including through a Galaxy Plus entity, cannot manage any additional allocations from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.

Each Series relies on its Trading Advisor(s) for success, and if a Trading Advisor’s trading is unsuccessful, the Series may incur losses.

The Trading Advisor(s) for each Series will make the commodity trading decisions for that Series. Therefore, the success of each Series depends on the judgment and ability of the Trading Advisors. A Trading Advisor’s trading for any Series may not prove successful under all or any market conditions. If a Trading Advisor’s trading is unsuccessful, the applicable Series may incur losses. Similarly, the success of each Series that invests in swaps largely depends on the judgment and ability of the Trading Advisors whose trading programs are referenced by swaps in which such Series invests.

There are disadvantages associated with terminating or replacing Trading Advisors, Trading Programs, or Reference Trading Programs

A Trading Advisor generally is required to recoup previous trading losses in its trading program or a reference trading program, as applicable, before it can earn performance-based compensation. However, the Managing Owner and/or the commodity pool operator may elect to replace a Trading Advisor, or any trading program or reference trading program, that has a “loss carryforward.” In that case, the trust would lose the “free ride” of any potential recoupment of the prior losses of such Trading Advisor, trading program or reference trading program. In addition, the new Trading Advisor, trading program or reference trading program, or an existing Trading Advisor in respect of a new trading program or reference program, would earn performance-based compensation on the first dollars of investment profits.

It is also possible that (i) the advisory agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current advisory agreement for that Trading Advisor, (ii) if assets of any Series allocated to a particular Trading Advisor, trading program or reference trading program are reallocated to a new or different Trading Advisor, trading program or reference trading program, the new or different Trading Advisor, with respect to its applicable trading program or reference trading program, will not manage the assets on terms as favorable to the Series as those previously negotiated, (iii) the addition of a new Trading Advisor, trading program or reference trading program and/or the removal of one of the current Trading Advisors, trading programs or reference trading programs may cause disruptions in trading as assets are reallocated, or (iv) the services of a replacement Trading Advisor, in respect of a trading program, reference program or otherwise, may not be available. There is severe competition for the services of qualified Trading Advisors, and the Managing Owner may not be able to retain replacement or additional Trading Advisors on acceptable terms. The effect of the replacement of, or the reallocation of assets away from, a Trading Advisor, trading program or reference trading program therefore could be significant.

The Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust.

The Managing Owner may reallocate assets among the Trading Advisors in a Series upon termination of a Trading Advisor or retention of a new Trading Advisor, including through divestments out of, or investments into, Galaxy Plus entities, or at the commencement of any month. Consequently, the net assets for such Series may be allocated among the Trading Advisors in a different manner than the currently anticipated allocations. The Managing Owner’s allocation of assets of any such Series may adversely affect the profitability of the trading of such Series. For example, a Trading Advisor for a Series may experience a high rate of return but may be managing only a small percentage of the net assets of such Series. In this case, the Trading Advisor’s performance could have a minimal effect on the NAV of such Series.

Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts.

Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest markets and that those other accounts may make trades at better prices than the Series for which it trades.

A Trading Advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from managing the account of the Series for which it trades. Because records with respect to other accounts are not accessible to investors in the Units, investors will not be able to determine if any Trading Advisor is favoring other accounts.

The Managing Owner places significant reliance on the Trading Advisors and their key personnel; the loss of such personnel could adversely affect a Series.

The Managing Owner relies on the Trading Advisors to achieve trading gains for each Series, entrusting each of them with the responsibility for, and discretion over, the investment of their allocated portions of the Trust’s assets. The Trading Advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute the trading transactions. The loss of the services of any Trading Advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that Trading Advisor’s ability to manage its trading activities successfully or may cause the Trading Advisor to cease operations entirely. This, in turn, could negatively impact one or more Series’ performance. Each of the Trading Advisors is wholly- (or majority-) owned and controlled, directly or indirectly, by single individuals who have major roles in developing, refining and implementing the Trading Advisor’s trading strategies and operating its business. The death, incapacity or other prolonged unavailability of such individuals likely would greatly hinder these Trading Advisors’ operations, and could result in their ceasing operations entirely, which could adversely affect the value of your investment.

The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses.

The Trading Advisors’ computerized trading systems rely on the Trading Advisors’ personnel to accurately process the systems’ outputs and execute the transactions called for by the systems. In addition, each Trading Advisor relies on its staff to properly operate and maintain the computer and communications systems upon which its trading systems rely. Execution and operation of each Trading Advisor’s systems is therefore subject to human errors. Any failure, inaccuracy or delay in implementing any of the Trading Advisors’ systems and executing transactions could impair the Trading Advisor’s ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses.

Stop-loss orders may not prevent large losses.

Certain of the Trading Advisors may use stop-loss orders. Such stop-loss orders may not effectively prevent substantial losses, and depending on market factors at the time, may not be able to be executed at such stop-loss levels. No risk control technique can assure that large losses will be avoided.  

Risks Relating to the Galaxy Plus Platform

The success of each Series depends on the performance of the Galaxy Plus entities in which each Series invests.

The assets of each Series are substantially invested in Galaxy Plus entities, and accordingly, each Series’ performance depends substantially upon the performance of each such Galaxy Plus entity. Factors that may significantly affect a Galaxy Plus entity’s performance include the investment strategies selected for it by Gemini and/or such Galaxy Plus entity’s trading advisor in their sole discretion, the Galaxy Plus entity’s adherence to the selected strategies, the effectiveness of such strategies and the specific trading activities of the Galaxy Plus entity’s trading advisor, including the trading advisor’s selection of financial instruments. Each Galaxy Plus entity is advised by an independent trading advisor. As a result, many of the risks outlined above with respect to the Trading advisors of each Series will also apply to the trading advisors of each Galaxy Plus entity.

The Galaxy Plus Platform is recently established and has a limited operating history and the Galaxy Plus entities have limited or no operating history or track record.

The Galaxy Plus Platform was formed in April 2015 and has a limited history of operations. The commodity pools offered on the platform are recently established with a limited operating history or, in some cases, newly established with no operating history. There is a limited performance history, or in some cases, no performance history, to serve as a factor in evaluating an investment in the commodity pools on the Galaxy Plus Platform.

A Series may be one of multiple investors in each Galaxy Plus entity.

The Galaxy Plus Platform allows multiple investors to subscribe for interests in its commodity pools. Investors other than a Series could cause a commodity pool to take, or omit to take, actions that may adversely affect the performance of, or value of a Series’ investments in, a commodity pool.

A Series may incur losses related to other investors’ large redemptions from, or investments into, a Galaxy Plus entity.

A commodity pool may experience relatively large redemptions or investments related to actions of other investors in the commodity pool. In the event of such redemptions or investments, a Trading Advisor to the commodity pool could be required to sell futures, options or other investments or to invest cash at a time when it is not advantageous to do so, harming the performance of a Series.

The Galaxy Plus Platform operates independently from each Series, the Trust and the Managing Owner.

The commodity pools on the Galaxy Plus Platform operate independently from each Series, the Trust and the Managing Owner. The Managing Owner will have no control over, or involvement in, the operation and administration of the commodity pools. Gemini, as the sponsor of the commodity pools, may make operational and administrative decisions that could adversely affect the performance of the commodity pool and the value of a Series’ investment in the commodity pool.

The Galaxy Plus Platform and Gemini may limit the ability of a Series to invest in, or divest from, a Galaxy Plus entity.

The Galaxy Plus Platform and/or its Sponsor will have the ability to restrict investments into, or divestments from, any of the commodity pools on the Galaxy Plus Platform. The success of each Series depends upon the ability to select Trading Advisors in the Galaxy Plus Platform through investments into, or divestments from, one or more commodity pools. If investments into or out of a commodity pool are limited or restricted by the Galaxy Plus Platform and/or its Sponsor, Gemini, the performance of a Series may be adversely affected.

Cessation of, or changes to, the operation of the Galaxy Plus Platform could adversely impact the performance of a Series.

Unlike the Trading Companies managed by the Managing Owner, the on-going business operations of the Galaxy Plus Platform are administered by Gemini. If Gemini ceases operating, or effects administrative or other changes to, the Galaxy Plus Platform, a Series may no longer be able to access one or more Trading Advisors available through commodity pools on the Galaxy Plus Platform. The inability to gain exposure to Trading Advisors through the Galaxy Plus Platform may materially affect the performance of a Series.

Investment in Galaxy Plus entities presents operational, administrative risk to each Series.

Each Series is subject to certain risks related to the operation and administration of the Galaxy Plus Platform by Gemini as a result of its investment in one or more commodity pools on the Galaxy Plus Platform. The investment of each Series in a commodity pool may be adversely affected due to possible human error or fraud on the part of an employee or agent of Gemini, prohibited trading activity by a commodity pool’s Trading Advisors due to a lack of internal controls or failed trading systems, Gemini’s noncompliance with applicable laws, rules and regulations and external events such as service provider failure, hardware or software failure or acts of god.

The reliance on technology by the Managing Owner, Trading Advisors, Sponsor Clearing brokers, and Swap Counterparties may lead to loss of data and economic losses.

In addition, as the use of technology increases, each Series may be more susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Series to lose proprietary information or operational capacity or suffer data corruption. As a result, each Series may incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures, and/or financial loss. In addition, cyber security breaches of the Series’ third-party service providers or issuers in which the Series invest may also subject the Series to many of the same risks associated with direct cyber security breaches.

The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.

The use of multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may result in developments or positions that adversely affect the respective Series’ NAV. For example, because the Trading Advisors trading for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or transactions or causing some of them to be foregone altogether. Even though the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, or Frontier Long/Short Commodity Fund may incur losses of such magnitude that such Series is unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, the clearing brokers for the Trading Company(ies) or Galaxy Plus entity(ies) in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.

The Trading Advisors’ trading programs bear some similarities and, therefore, may lessen the benefits to the Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund Frontier Masters Fund and Frontier Global Fund of having multiple Trading Advisors.

Each Trading Advisor has, over time, developed and modified the program it will use in trading. Nevertheless, the Trading Advisors’ trading programs have some similarities. These similarities may, in fact, mitigate the positive effect of having multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund Frontier Long/Short Commodity Fund and Frontier Global Fund. For example, in periods where one Trading Advisor experiences a draw-down, it is possible that these similarities will cause the other Trading Advisors to also experience a draw-down.

Operating Risks

Past performance is not necessarily indicative of future performance.

The Managing Owner has selected each Trading Advisor to manage the assets of each Series because each Trading Advisor performed well through the date of its selection. You must consider, however, the uncertain significance of past performance, and you should not rely to a substantial degree on the Trading Advisors’ or the Managing Owner’s records to date for predictive purposes. You should not assume that any Trading Advisor’s future trading decisions will create profit, avoid substantial losses or result in performance for the Series comparable to that Trading Advisor’s or to the Managing Owner’s past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently than not under-perform the past performance records included in their prospectuses. The Managing Owner believes that the past performance of the Trading Advisors may be of interest to prospective investors but encourages you to look at such information as an example of the respective objectives of the Managing Owner and each Trading Advisor rather than as any indication that the investment objectives of any Series will be achieved.

Because you and other investors will acquire, exchange, and redeem Units at different times, you may experience a loss on your Units even though the Series in which you have invested as a whole is profitable and even though other investors in that Series experience a profit. The past performance of any Series may not be representative of each investor’s investment experience in it.

Likewise, you and other investors will invest in different Series managed by different Trading Advisors. Each Series’ assets are valued and accounted for separately from every other Series. Consequently, the past performance of one Series has no bearing on the past performance of another Series. You cannot, for example, consider the Frontier Balanced Fund’s past performance in deciding whether to invest in any other Series.

You have limited performance information on which to evaluate an investment in a Series.

Certain of the Series have limited performance histories upon which to evaluate your investment in such Series. Although past performance is not necessarily indicative of future results, if any such Series had a longer performance history, such performance history might provide you with more information on which to base your investment decision for such Series. As such Series have limited performance histories, you will have to make your decision to invest in any such Series without such possibly useful information.

The Managing Owner may allocate notional assets in respect of a Series that are in excess of the NAV of such Series.

At any given time, the notional assets, which arethe 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, of a Series may exceed the NAV of such Series depending on the amount of notional equity that is being utilized. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the NAV of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. To the extent that notional assets of a Series are in excess of NAV, investors should understand that the applicable Series will experience greater volatility as measured by NAV than it would if the notional assets were maintained at a level equal to NAV. In such case, any losses to the Series will be greater as measured by a percentage of NAV, as compared to the percentage loss incurred in respect of notional assets. Consequently, the allocation of notional assets in excess of a Series’ NAV will magnify exposure to the swings in market prices of futures, forwards, options or other assets held by a Trading Company or Galaxy Plus entity or referenced by a swap or other derivative instrument and result in increased volatility, and potentially greater losses. You may lose all or substantially all of your investment in a Series.

Each Series is charged substantial fees and expenses regardless of profitability.

Each Series is charged brokerage charges, OTC dealer spreads and related transaction fees and expenses and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, the Managing Owner charges each Series an incentive fee based on a percentage of the trading profits generated by each Trading Advisor for such Series, and the Managing Owner pays all or a portion of such incentive fees to the Trading Advisor(s) for such Series. Because the Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Diversified Fund, Frontier Masters Fund and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, it is possible that such Series could pay substantial incentive fees out of the net assets of any such Series with respect to one or more Trading Advisors in a year in which such Series has no net trading profits or in which such Series actually loses money. In addition, each Series must earn trading profits and interest income sufficient to cover these fees and expenses in order for it to be profitable.

Investors should note that the management fee payable to the Managing Owner is based on notional assets rather than NAV. Therefore, the management fee will be greater as a percentage of a Series’ NAV to the extent that the notional assets of such Series exceed its NAV. 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 for such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.

There are certain risks associated with investments in trading companies.

The Trading Companies are organized as Series limited liability companies. This means that, under the Delaware Limited Liability Company Act, the assets of one Series are not available to pay the liabilities of another Series or the trading company as a whole. This statute has not been tested in a court of law in the United States. In the event Series limited liability is not enforceable, a segregated Series could be obligated to pay the liabilities of another Series or the trading company.

All of the Series invest in trading companies that, although they are organized as series limited liability companies, allocate assets to more than one Trading Advisor without the establishment of separate series with segregated liabilities. For these trading companies, losses incurred by one Trading Advisor may negatively impact the trading company as a whole, as the assets allocated to a different Trading Advisor may be made available to pay the liabilities of the Trading Advisor that has incurred the loss. Since the Series currently invest in such trading companies, this could indirectly cause the assets of one Series to be used to pay the liabilities of another Series. For trading companies that allocate assets to more than one Trading Advisor, a Series may be allowed to allocate a portion of its assets to a particular Trading Advisor accessed by the trading company, rather than to the trading company as a whole.

There are certain risks associated with investments in Galaxy Plus entities.

The assets of each Series are substantially invested in commodity pools offered through the Galaxy Plus Platform, and accordingly, each Series’ performance depends substantially upon the performance of each such commodity pool. Factors that may significantly affect a commodity pool’s performance include the investment strategies selected for it by the sponsor, Gemini Alternative Funds, LLC (the “Sponsor” or “Gemini”) and/or such commodity pool’s Trading Advisor in their sole discretion, the commodity pool’s adherence to the selected strategies, the effectiveness of such strategies and the specific trading activities of the commodity pool’s Trading Advisor, including the Trading Advisor’s selection of financial instruments. Each commodity pool on the Galaxy Plus Platform is advised by an independent Trading Advisor. As a result, many of the risks outlined above with respect to the Trading Advisors of each Series will also apply to the Trading Advisors of each commodity pool.

The Galaxy Plus Platform was formed in April 2015 and has a limited history of operations. The commodity pools offered on the platform are recently established with a limited operating history or, in some cases, newly established with no operating history. There

is a limited performance history, or in some cases, no performance history, to serve as a factor in evaluating an investment in the commodity pools on the Galaxy Plus Platform.

The Galaxy Plus Platform allows multiple investors to subscribe for interests in its commodity pools. Investors other than a Series could cause a commodity pool to take, or omit to take, actions that may adversely affect the performance of, or value of a Series’ investments in, a commodity pool.

A commodity pool may experience relatively large redemptions or investments related to actions of other investors in the commodity pool. In the event of such redemptions or investments, a Trading Advisor to the commodity pool could be required to sell futures, options or other investments or to invest cash at a time when it is not advantageous to do so, harming the performance of a Series.

The commodity pools on the Galaxy Plus Platform operate independently from each Series, the Trust and the Managing Owner. The Managing Owner will have no control over, or involvement in, the operation and administration of the commodity pools. Gemini, as the sponsor of the commodity pools, may make operational and administrative decisions that could adversely affect the performance of the commodity pool and the value of a Series’ investment in the commodity pool.

The Galaxy Plus Platform and/or its Sponsor will have the ability to restrict investments into, or divestments from, any of the commodity pools on the Galaxy Plus Platform. The success of each Series depends upon the ability to select Trading Advisors in the Galaxy Plus Platform through investments into, or divestments from, one or more commodity pools. If investments into or out of a commodity pool are limited or restricted by the Galaxy Plus Platform and/or its Sponsor, Gemini, the performance of a Series may be adversely affected.

Unlike the Trading Companies managed by the Managing Owner, the on-going business operations of the Galaxy Plus Platform are administered by Gemini. If Gemini ceases operating, or effects administrative or other changes to, the Galaxy Plus Platform, a Series may no longer be able to access one or more Trading Advisors available through commodity pools on the Galaxy Plus Platform. The inability to gain exposure to Trading Advisors through the Galaxy Plus Platform may materially affect the performance of a Series. Each Series is subject to certain risks related to the operation and administration of the Galaxy Plus Platform by Gemini as a result of its investment in one or more commodity pools on the Galaxy Plus Platform. The investment of each Series in a commodity pool may be adversely affected due to possible human error or fraud on the part of an employee or agent of Gemini, prohibited trading activity by a commodity pool’s Trading Advisors due to a lack of internal controls or failed trading systems, Gemini’s noncompliance with applicable laws, rules and regulations and external events such as service provider failure, hardware or software failure or acts of god.

The reliance on technology by the Managing Owner, Trading Advisors, Sponsor, Clearing brokers, and Swap Counterparties may lead to loss of data and economic losses.

In addition, as the use of technology increases, each Series may be more susceptible to operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause the Series to lose proprietary information or operational capacity or suffer data corruption. As a result, each Series may incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures, and/or financial loss. In addition, cyber security breaches of the Series’ third-party service providers or issuers in which the Series invest may also subject the Series to many of the same risks associated with direct cyber security breaches.

Differing levels of fees received may create an incentive for the Managing Owner to favor certain Series over others.

The Managing Owner charges the various Series differing levels of fees. This may create an incentive for the Managing Owner to favor certain Series over other Series in, among other things, the amount of time and effort spent managing any given Series and the selection of Trading Advisors for a given Series.

Each Series may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.

The clearing agreements between the clearing brokers and the Trading Companies and Galaxy Plus entities generally are terminable by the clearing brokers once the clearing broker has given the Trading Company or Galaxy Plus entity the required notice. Upon termination of a clearing agreement, the Managing Owner may be required to renegotiate that agreement or make other arrangements for obtaining clearing. The services of the clearing brokers may not be available, or even if available, these services may not be available on the terms as favorable as those contained in the expired or terminated clearing agreements. The  Series may be obligated to make payments under guarantee agreements.

Each of the Series has guaranteed the obligations of the Trading Companies and Galaxy Plus entities under the customer agreements with a variety of clearing brokers. In the event that one Series is unable to meet its obligations to the clearing brokers, the assets of the other Series will be available to those clearing brokers as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company or Galaxy Plus entity. As such, even if you are not invested in the defaulting Series, your investment could be impacted. The Trust, or any Series of the Trust, may enter into similar guarantees in the future.

The incentive fees could be an incentive to the Trading Advisors to make riskier investments.

The Managing Owner pays each Trading Advisor incentive fees based on the trading profits earned by it for the applicable Series, including unrealized appreciation on open positions. Accordingly, it is possible that the Managing Owner will pay an incentive fee on trading profits that do not become realized. Also, because the Trading Advisors are compensated based on the trading profits earned, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation.

You have limited rights, and you cannot prevent the Trust from taking actions which could cause losses.

You will exercise no control over the Trust’s day-to-day business. Therefore, the Trust will take certain actions and enter into certain transactions or agreements without your approval. For example, the Trust may retain a Trading Advisor for a Series in which you are invested, and such Trading Advisor may ultimately incur losses for the Series. As a Limited Owner, you will have no ability to influence the hiring, retention or firing of such Trading Advisor. However, certain actions, such as termination or dissolution of a Series, may only be taken upon the affirmative vote of Limited Owners holding Units representing at least a majority (over 50%) of the NAV of the Series (excluding Units owned by the Managing Owner and its affiliates).

You may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty.

Each Trading Advisor, clearing broker and swap counterparty acts only as a trading advisor, clearing broker or swap counterparty, respectively, to the applicable Series and/or Trading Company. These parties do not act as trading advisors, clearing brokers, or swap counterparties to you. Therefore, you have no contractual privity with the Trading Advisors, the clearing brokers or any swap counterparty. Due to this lack of contractual privity, you may not be able to establish a basis for liability against a Trading Advisor, clearing broker or swap counterparty.

An unanticipated number of redemption requests over a short period of time could result in losses.

Substantial redemptions of units could require a Series to liquidate investments more rapidly than otherwise desirable in order to raise the necessary cash to fund the redemptions, which could result in losses. Illiquidity in the markets could make it difficult to liquidate positions on favorable terms, which could result in additional losses. It may also be difficult for the Series to achieve a market position appropriately reflecting a smaller equity base.

Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of your redemption amount.

When you redeem your units, the Trust may find it necessary to set up a reserve for undetermined or contingent liabilities and withhold a certain portion of your redemption amount. This could occur, for example, if (i) some of the positions of the Series in which you were invested were illiquid, (ii) there are any assets which cannot be properly valued on the redemption date, or (iii) there is any pending transaction or claim by or against the Trust involving or which may affect your capital account or your obligations.

Conflicts of interest exist in the structure and operation of the Trust.

A number of actual and potential conflicts of interest exist in the operation of the Trust’s business. The Managing Owner, the Trading Advisors, the independent administrator, the independent transfer agent, the clearing brokers, the trustee and their respective principals are all engaged in other investment activities, and are not required to devote substantially all of their time to the Trust’s business.

The failure or bankruptcy of one of its Futures Clearing brokers, central clearing brokers, banks, counterparties or other custodians could result in a substantial loss of one or more Series’ assets.

The Trust is subject to the risk of insolvency of an exchange, clearinghouse, central clearing broker, commodity broker, and counterparties with whom the Trading Companies and Galaxy Plus entities trade. Trust assets could be lost or impounded in such an insolvency during lengthy bankruptcy proceedings. Were a substantial portion of the Trust’s capital tied up in a bankruptcy, the Managing Owner might suspend or limit trading, perhaps causing a Series to miss significant profit opportunities. The Trust is subject to the risk of the inability or refusal to perform on the part of the counterparties with whom contracts are traded. In the event that the clearing brokers are unable to perform their obligations, the Trust’s assets are at risk and investors may only recover apro ratashare of their investment, or nothing at all.

Exchange-traded futures and futures-styled option contracts are marked to market on a daily basis, with variations in value credited or charged to the Trust’s account on a daily basis. The clearing brokers, as futures commission merchants for the Trust’s exchange-traded contracts, are required, pursuant to CFTC regulations, to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by such clients with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts. Similar requirements apply with respect to funds held in connection with cleared swap contracts. Bankruptcy law applicable to all U.S. futures brokers requires that, in the event of the bankruptcy of such a broker, all property held by the broker, including certain property specifically traceable to the Trust, will be returned, transferred, or distributed to the broker’s customers only to the extent of each customer’spro rata share of the assets held by such futures broker. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt.

In the event of a shortfall in segregated customer funds held by the futures commission merchant, the Series’ assets on account with the futures commission merchant may be at risk in the event of the futures commission merchant’s bankruptcy or insolvency, and in such event, the Series may only recover a portion of the available customer funds. If no property is available for distribution, the Series would not recover any of its assets. With respect to a Series’ OTC uncleared swaps, prior to the implementation of the provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act, as amended (the “Dodd-Frank Act”), there was no requirement to segregate funds held with respect to such contracts. On December 16, 2015, the CFTC finalized rules regarding margin for uncleared swaps which will impose certain requirements beginning September 1, 2016. These rules require, among other things, daily two-way margin (posting and collecting) for all trades between covered swap entities (“CSEs”) and swap dealers (“SDs”) and major swap participants (“MSPs”), and daily two-way margin for all trades between CSEs and financial end users that have over $8 billion in gross notional exposure in uncleared swaps. The rules also require daily cash payments for all trades between CSEs and SD/MSPs and daily posting for all trades between SD/MSPs and financial end users. There may be costs and delays involved in negotiating the custodial arrangement and related contractual terms. With respect to transactions a Series enters into that are not traded on an exchange, there are no daily settlements of variations in value and there is no requirement to segregate funds held with respect to such accounts. Thus, the funds that a Series invests in such transactions may not have the same protections as funds used as margin or to guarantee exchange-traded futures and options contracts. If the counterparty becomes insolvent and a Series has a claim for amounts deposited or profits earned on transactions with the counterparty, the Series’ claim may not receive a priority. Without a priority, the Trust is a general creditor and its claim will be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even funds of the Trust that the counterparty keeps separate from its own operating funds may not be safe from the claims of other general and priority creditors. There are no limitations on the amount of allocated assets a portfolio manager can trade on foreign exchanges or in forward contracts.

You will not be able to review any Series’ holdings on a daily basis, and you may suffer unanticipated losses.

The Trading Advisors make trading decisions on behalf of the assets of each Series. While the Trading Advisors receive daily trade confirmations from the clearing brokers of each transaction entered into on behalf of each Series for which they manage the trading, each Series’ trading results are only reported to investors monthly in summary fashion. Accordingly, an investment in the Units does not offer investors the same transparency that a personal trading account offers. As a result, you may suffer unanticipated losses.

You Will Not Be Aware of Changes to Trading Programs.

Because of the proprietary nature of each Trading Advisor’s trading programs, you generally will not be advised if adjustments are made to a trading program in order to accommodate additional assets under management or for any other reason.

The Trust could terminate before you achieve your investment objective causing potential loss of your investment or upsetting your investment portfolio.

Unforeseen circumstances, including substantial losses or withdrawal of the Trust’s Managing Owner, could cause the Trust to terminate before its stated termination date of December 31, 2053. The Trust’s termination would cause the liquidation and potential loss of your investment and could upset the overall maturity and timing of your investment portfolio.

Neither the Trust nor any of the trading companies is a registered investment company.

Neither the Trust nor any of the trading companies is an investment company subject to the Investment Company Act. Accordingly, you do not have the protections afforded by that statute. For example, the Investment Company Act requires investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment adviser. Since neither the Trust nor the trading companies is a registered investment company, you will not benefit from such protections.

The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities. The loss of such personnel could adversely affect the Trust.

In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, although there are back-up personnel for every key function. If any of its key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.

The Managing Owner places significant reliance on the Trading Advisors and their key personnel; the loss of such personnel could adversely affect a Series.

The Managing Owner relies on the Trading Advisors to achieve trading gains for each Series, entrusting each of them with the responsibility for, and discretion over, the investment of their allocated portions of the Trust’s assets. The Trading Advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute the trading transactions. The loss of the services of any Trading Advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that Trading Advisor’s ability to manage its trading activities successfully or may cause the Trading Advisor to cease operations entirely. This, in turn, could negatively impact one or more Series’ performance. Each of the Trading Advisors is wholly- (or majority-) owned and controlled, directly or indirectly, by single individuals who have major roles in developing, refining and implementing the Trading Advisor’s trading strategies and operating its business. The death, incapacity or other prolonged unavailability of such individuals likely would greatly hinder these Trading Advisors’ operations, and could result in their ceasing operations entirely, which could adversely affect the value of your investment.

The Managing Owner may terminate, replace and/or add Trading Advisors in its sole discretion which may disrupt trading, adversely affecting the Net Asset Value of a Series.

The Managing Owner may terminate, substitute or retain Trading Advisors on behalf of each Series in its sole discretion. The addition of a new Trading Advisor and/or the removal of one of the current Trading Advisors may cause disruptions in trading as assets are reallocated and new Trading Advisors transition over, which may have an adverse effect on the NAV of the affected Series.

The Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust.

The Managing Owner may reallocate assets among the Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund or Frontier Long/Short Commodity Fund upon termination of a Trading Advisor or retention of a new Trading Advisor or at the commencement of any month. Consequently, the net assets for such Series may be allocated among the Trading Advisors in a different manner than the currently anticipated allocations. The Managing Owner’s allocation of assets of any such Series may adversely affect the profitability of the trading of the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select FundTaxation and Frontier Long/Short Commodity Fund, possibly in an adverse manner. For example, a Trading Advisor for a Series may experience a high rate of return but may be managing only a small percentage of the net assets of such Series. In this case, the Trading Advisor’s performance could have a minimal effect on the NAV of such Series.

The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses.

The Trading Advisors’ computerized trading systems rely on the Trading Advisors’ personnel to accurately process the systems’ outputs and execute the transactions called for by the systems. In addition, each Trading Advisor relies on its staff to properly operate and maintain the computer and communications systems upon which its trading systems rely. Execution and operation of each Trading Advisor’s systems is therefore subject to human errors. Any failure, inaccuracy or delay in implementing any of the Trading Advisors’ systems and executing transactions could impair the Trading Advisor’s ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses.

Regulation of the commodity interest markets is extensive and constantly changing; future regulatory developments are impossible to predict and may significantly, but adversely affect the Trust.

The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. With respect to traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the United States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict but could be substantial and adverse.

The Risk Management Approaches of One or All of the Trading Advisors May Not Be Fully Effective, and a Series May Incur Losses.

The mechanisms employed by each Trading Advisor to monitor and manage the risks associated with its trading activities on behalf of the Series for which it trades may not succeed in mitigating all identified risks. Even if a Trading Advisor’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. If one or more of the Trading Advisors fails to identify and adequately monitor and manage all of the risks associated with its trading activities, the Series for which it trades may suffer losses. 

The Managing Owner May Adjust the Leverage Employed by a Trading Advisor to Maintain the Target Rate of Volatility.

In its sole discretion, the Managing Owner may modify the allocations between the Trading Advisors used by a particular Series at any time, including adding new Trading Advisors or terminating current Trading Advisor relationships, and the Managing Owner may also increase or decrease the amount of leverage employed by a specific Trading Advisor by allocating notional funds to a particular Trading Advisor in accordance with the Managing Owner’s proprietary management program. The Managing Owner may increase or decrease the notional equity allocated to one or more individual Trading Advisors over time in order to adjust the annual volatility for a Series within the target volatility range disclosed for such Series.

To the extent that the Managing Owner increases the leverage employed by a particular Trading Advisor to maintain the target volatility of a Series, either by increasing the actual funds which are traded by the Trading Advisor at a leverage of greater than 1x or by allocating notional amounts to one or more Trading Advisors, the specific risks associated with the relevant Trading Advisors will be greater for the affected Series. As the notional equity under management of a specific Trading Advisor increases, the diversification benefits attributable to a multi-advisor pool will be decreased to an extent, since the Trading Advisor will manage a greater percentage of the notional exposure of the Series. Since the Managing Owner may change the applicable leverage used by a particular Trading Advisor at any time, the diversification of risks between the Trading Advisors is variable.

Tax and ERISABenefits Risks

You are strongly urged to consult your own tax advisor and counsel about the possible tax consequences to you of an investment in the Trust. Tax consequences may differ for different investors, and you could be affected by changes in the tax laws.

You May Have Tax Liability Attributablemay have tax liability attributable to Your Investmentyour investment in a Series Eveneven if You Have Received No Distributionsyou have received no distributions and Redeemed Noredeemed no Units, and Eveneven if the Series Generatedgenerated an Economic Loss.economic loss.

If a Series has profit for a taxable year (as determined for federal income tax purposes), the profit will be includible in your taxable income, whether or not cash or other property is actually distributed to you by the Series. The Managing Owner does not intend to make any distributions from any Series. Accordingly, your liability for federal income taxes as well as other taxes on your allocable share of a Series’ profits will exceed the amount of distributions to you, if any, for a taxable year. As such, you must be prepared to satisfy any tax liability from redemptions of Units or other sources. In addition, a Series may have capital losses from trading activities that cannot be deducted against the Series’ interest income, so that you may be subject to pay taxes on interest income even if the Series generates a net economic loss for a taxable year.

You may be subject to tax on gains that the Trust never realizes.

Because a substantial portion of the Trust’s open positions are “marked-to-market” at the end of each taxable year, all or a portion of your tax liability for each taxable year may be based on unrealized gains that the Trust may never actually realize.

Partnership treatment is not assured, and if the Trust or any Series is not treated as a Partnership, you could suffer adverse tax consequences.

The Managing Owner believesIt is expected that each of the Trust and eachTrust’s Series will be treated as a separate partnership for Federalfederal income tax purposes and, assuming that at least 90% of the gross income of the Trust and each Series each taxable year has always constituted and will continue to constitute “qualifying income” within the meaning of Section 7704(d) of the Internal Revenue Code of 1986 ( the “Code”), neither the Trust nor any Series will be treated as a publicly traded partnership treated as a corporation. The Managing Owner believes that it is likely, but not certain, that the Trust, and each Series, will meet this income test. The Trust has not requested, and does not intend to request, a ruling from the Internal Revenue Service (the “IRS”), concerning its tax treatment or the tax treatment of any Series.

If the Trust, or any Series, were to be treated as a corporation for Federalfederal income tax purposes: the net income of the Trust, or the Series, would be subject to tax at corporate income tax rates, thereby substantially reducing its distributable cash; you would not be allowed to deduct losses of the Trust, or a Series; and distributions to you, other than liquidating distributions, would constitute dividends to the extent of the current or accumulated earnings and profits of the Trust, or a Series, and would be taxable as such.

There is the possibility of a tax audit which could result in additional taxes to you.

The Trust’s tax returns may be audited by a taxing authority, and such an audit could result in adjustments to the Trust’s returns. If an audit results in an adjustment, you may be compelled to file amended returns and to pay additional taxes plus interest and penalties.

You will likely recognize short-term capital gain.

Profits on futures contracts traded in regulated U.S. and some foreign exchanges, foreign currency contracts traded in the interbank market, and U.S. and some foreign exchange-traded options on commodities treated as Section 1256 contracts under the Code are generally treated as short-term capital gain to the extent of 40% of gains with respect to section 1256 contracts. Special rules apply in the case of mixed straddles (generally, offsetting positions where some, but not all, of the positions are marked-to-market). These special rules could have the effect of limiting the amount of gain treated as long-term capital gain.

The IRS could challenge allocations of recognized gains to Unitholders who redeem.

The trust agreement provides that recognized gains may be specially allocated for tax purposes to redeeming limited owners. If the IRS were to successfully challenge such allocations, each remaining limited owner’s share of recognized gains would be increased.

The IRS could take the position that deductions for certain Trust expenses are subject to various limitations.

Non-corporate taxpayers are subject to certain limitations for deductions for “investment advisory expenses” for federal income tax and alternative minimum tax purposes. The IRS could argue that certain expenses of the Trust are investment advisory expenses.

The investment of Benefit Plan Investors may be limited and/or Subject to Mandatory Redemption if any or all of the Series (or Class of any Series) are deemed to hold plan assets or if the Trading Advisors have fiduciary relationships with certain investing Benefit Plan Investors and Benefit Plan Investors are required to consider their fiduciary responsibilities in making an investment decision.

Special considerations apply to investments in the Trust by individual retirement accounts, pension, profit-sharing, stock bonus, Keogh, welfare benefit and other employee benefit plans whether or not subject to ERISAthe Employee Retirement Income Security Act of 1974 (“ERISA”) or Section 4975 of the Code, each a Plan, a Plan that is subject to Part 4 of Subtitle B of Title I of ERISA or Section 4975 of the Code, or an ERISA Plan, and any entity whose underlying assets include plan assets by reason of a Plan’s investment in such entity is referred to as a “Benefit Plan Investor.” While the assets of the Trust or any Series (and Class of any Series) are intended not to constitute plan assets with respect to any Benefit Plan Investors, the United States Department of Labor, or the DOL, IRS or a court could disagree. If the DOL, IRS or a court were to find that the assets of some or all of the Series (or Class of any Series) are the assets of Benefit Plan Investors, the Managing Owner and the Trading Advisors to such Series (or Class) may be fiduciaries and certain transactions in or by the Trust could be prohibited. For example, if the Trust were deemed to hold “plan assets,” within the meaning of 29 C.F.R. § 2510.3-101, the Trading Advisors may have to refrain from directing certain transactions that are currently contemplated. Furthermore, whether or not the Trust is deemed to hold plan assets, if a Benefit Plan Investor has certain pre-existing relationships with the Managing Owner, one or more Trading Advisors, the selling agents or a Clearing Broker, investment in a Series may be limited or prohibited. In the event that, for any reason, the assets of any Series (or Class of any Series) might be deemed to be “plan assets,” and if any transactions would or might constitute prohibited transactions under ERISA or the Code and an exemption for such transaction or transactions is not available or cannot be obtained (or the Managing Owner determines not to seek such exemption), the Managing Owner reserves the right, upon notice to, but without the consent of any limited owner, to mandatorily redeem Units held by any limited owner that is a Benefit Plan Investor. Furthermore, whether or not a Series (or Class of any Series) are plan assets, Benefit Plan Investors should consider their fiduciary responsibilities before making a decision to invest in a Series (or Class of any Series) and Plan investors who are not subject to ERISA may be subject to similar responsibilities under state, local, or non-U.S. law.

Foreign investors may face exchange rate risk and local tax consequences.

Foreign investors should note that the Units are denominated in U.S. dollars and that changes in the rates of exchange between currencies may cause the value of their investment to decrease.

Regulatory Risks

Regulation of the Commodity Interest Marketscommodity interest markets is Extensiveextensive and Constantly Changing; Future Regulatory Developmentsconstantly changing; future regulatory developments are Impossibleimpossible to Predict,predict, but May Significantlymay significantly and Adversely Affectadversely affect the Trust.

The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. With respect to traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the United States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict, but could be substantial and adverse.

The Series, the Trading Companies or Galaxy Plus entities are subject to speculative position limits.

The U.S. futures exchanges have established speculative position limits (referred to as “position limits”) on the maximum net long or net short position which any person or group of persons may hold or control in particular futures and options on futures. Most exchanges also limit the amount of fluctuation in commodity futures contract prices on a single trading day. Therefore, a Trading Advisor may have to modify its trading instructions or reduce the size of its positions in one or more futures or options contracts in order to avoid exceeding such position limits, which could adversely affect the profitability of the Trading Companies or Galaxy Plus entities. The futures exchange may amend or adjust these position limits or the interpretation of how such limits are applied and adversely affect the profitability of the Trading Companies or Galaxy Plus entities. In addition, in October 2011, the CFTC adopted rules governing position limits on futures (and options on futures) on a number of agricultural, energy and metals commodities, as well as on swaps that perform a significant price discovery function with respect to those futures and options. In September 2012, the CFTC’s rules were vacated by the United States District Court for the District of Columbia and remanded to the CFTC for further consideration. The CFTC initially proposed revised position limits rules late in 2013 and re-proposed further revised position limits rules late in 2016 with respect to speculative positions in 25 core physical commodity futures contracts and their “economically equivalent” futures, options, and swaps. The comment period for the rules closed in February 2017. The date for the CFTC’s final rules is unknown. It is possible that these rules may take effect in some form. If so, these rules could have an adverse effect on the Trading Companies’ or Galaxy Plus entities’ trading.

CFTC registrations could be terminated which could adversely affect the Trust or a Series.

If the CEA registrations or NFA memberships of the Managing Owner or the registered Trading Advisors were no longer effective, these entities would not be able to act for the Trust, which could adversely affect the Trust or such Series.

The Trust and the Managing Owner have been represented by unified counsel, and neither the Trust nor the Managing Owner will retain independent counsel to review this offering.

The Trust and the Managing Owner have been represented by unified counsel. To the extent that the Trust, the Managing Owner or you could benefit from further independent review, such benefit will not be available unless you separately retain such independent counsel.

The foregoing risk factors are not a complete explanation of all the risks involved in purchasing interests in a fund that invests in the highly speculative, highly leveraged trading of futures, forwards and options. You should read this entire Form 10-K and the Prospectus before determining to subscribe for Units.

None.

The Trust does not own or use any physical properties in the conduct of its business. Its assets currently consist of cash items, Treasury Notes, and, through each Trading Company or Galaxy entity, U.S. and international futures and forward contracts and other interests in derivative instruments, including options contracts on futures forwards and swap contracts. The Managing Owner’s main office is located at 25568 Genesee Trail Road, Golden, Colorado 80401.

There are no material legal proceedings to which the Trust or any of its affiliates is a party or of which any of their assets are the subject.

Not applicable.

Part II

No Units in any Series are publicly traded. The Units in each Series may be redeemed, in whole or in part, on a daily basis, subject to a notice requirement as set forth in the Prospectus. Except as otherwise set forth in the Prospectus, Units will be redeemed at a redemption price equal to 100% of the NAV per Unit of the applicable Series, calculated as of the point described in the Prospectus. The redemption of Units has no impact on the value of Units that remain outstanding. The Managing Owner may temporarily suspend redemptions under limited circumstances described in the Prospectus. The right to obtain redemption of Units of a Series is contingent upon such Series’ having property sufficient to discharge its liabilities on the date of redemption.

Further, if a Limited Owner redeems all or a portion of its Class 1 and 1a Units of any Series on or before the end of twelve full months following the effective date of the purchase of the Units being redeemed, such Limited Owner is charged a redemption fee of up to 2.0% of the NAV at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.

The Managing Owner has the sole discretion in determining what distributions, if any, the Trust will make to the Limited Owners. The Trust has not affected distributions on the Units in any Series as of the date hereof and the Managing Owner does not intend to affect any distributions in the foreseeable future.

The proceeds of offerings are deposited in the bank and brokerage accounts of the Trust, the Trading Companies and the Galaxy Plus entities for the purpose of engaging in trading activities in accordance with the Trust’s trading policies and its Trading Advisors’ respective trading strategies.

The following table shows the number of Limited Owners and the number of Units outstanding in each Class of each Series as of December 31, 2018:2020: