UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

 

FORM 10-Q

 

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

 

For the Quarterly Period Ended June 30, 2019quarterly period ended March 31, 2020

 

ORor

 

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

 

Commission File Number 000-51274

 

FRONTIER FUNDS

FRONTIER DIVERSIFIED FUND;

FRONTIER MASTERS FUND;

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER MASTERS FUND;

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

FRONTIER GLOBAL FUND (FORMERLY FRONTIER WINTON FUND);FUND;

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in itsIts Charter)

 

Delaware 36-6815533
(State or Other Jurisdiction of
Incorporation or Organization)		 (IRS Employer
Identification No.)

c/o Frontier Fund Management, LLC

25568 Genesee Trail Road

Golden, Colorado 80401

Identification No.)(Address of Principal Executive Offices)

 

c/o Frontier Fund Management LLC

25568 Genesee Trail Road

Golden, Colorado 80401

(Address of Principal Executive Offices)

(303) 454-5500

(Registrant’s Telephone Number)

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

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 Global Fund Class 1, Class 1AP and Class 2 Units;

Frontier Heritage Fund Class 1, Class 1AP and Class 2 UnitsNumber, Including Area Code: (303) 454-5500

 

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

 

Title of each class Trading Symbol(s) Name of each exchange on which registered
N/A N/A N/A

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

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 Global Fund Class 1, Class 1AP, and Class 2 Units;

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

 

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ 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 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.

 

Large Accelerated Filer☐Accelerated Filer☐
Non-AcceleratedNon–Accelerated Filer☒Smaller reporting companyReporting Company☐
Emerging growth company☐  Emerging Growth Company☐

 

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 is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

 

 

 

 

TABLE OF CONTENTSTable of Contents

 

Pages
PART I – FINANCIAL INFORMATION 
  
Item 1.Series Financial Statements1
   
 Statements of Financial Condition as of June 30, 2019March 31, 2020 (Unaudited) and December 31, 201820191
   
 Condensed Schedules of Investments as of June 30, 2019March 31, 2020 (Unaudited) and December 31, 201820194
   
 Statements of Operations for the three and six months ended June 30,March 31, 2020 and 2019 and 2018 (Unaudited)710
   
 Statements of Changes in Owners’ Capital for the sixthree months ended June 30, 2019March 31, 2020 (Unaudited)13
   
 Statements of Cash Flows for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 (Unaudited)17
   
 Notes to Financial Statements (Unaudited)20
   
 Trust Financial Statements (1) 
   
 Consolidated Statements of Financial Condition as of June 30, 2019March 31, 2020 (Unaudited) and December 31, 201820195749
   
 Consolidated Condensed Schedules of Investments as of June 30, 2019March 31, 2020 (Unaudited) and December 31, 201820195850
   
 Consolidated Statements of Operations for the three and six months ended June 30,March 31, 2020 and 2019 and 2018 (Unaudited)6052
   
 Consolidated Statement of Changes in Owners’ Capital for the sixthree months ended June 30, 2019March 31, 2020 (Unaudited)6253
   
 Consolidated Statements of Cash Flows for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 (Unaudited)6354
   
 Notes to Consolidated Financial Statements (Unaudited)6455
   
Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations8473
   
Item 3.Quantitative and Qualitative Disclosures About Market Risk116112
   
Item 4.Controls and Procedures112120
   
PART II – OTHER INFORMATION
   
Item 1.Legal Proceedings124123
   
Item 1A.Risk Factors124123
   
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds124123
   
Item 3.Defaults Upon Senior Securities124123
   
Item 4.Mine Safety Disclosures124123
   
Item 5.Other Information124123
   
Item 6.Exhibits125123
   
SIGNATURES126124

 

(1)These financial statements represent the consolidated financial statements of the Series of the Trust.

 

i

 

 

Special Note About Forward-Looking Statements

 

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

 

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

 

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF JUNE 30, 2019,MARCH 31, 2020, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

 

ii

 

 

PART I. FINANCIAL INFORMATION

 

ITEMItem 1.Series Financial Statements

 

The Series of Frontier Funds

Statements of Financial Condition

June 30, 2019 (unaudited)March 31, 2020 (Unaudited) and December 31, 20182019

 

   Frontier  Frontier Frontier Frontier 
 Frontier
Diversified Fund		  Frontier
Masters Fund		  Long/Short
Commodity Fund		  Diversified Fund  Masters Fund  Long/Short Commodity Fund 
 6/30/2019 12/31/2018 6/30/2019 12/31/2018 6/30/2019 12/31/2018  3/31/2020 12/31/2019 3/31/2020 12/31/2019 3/31/2020 12/31/2019 
ASSETS                          
Cash and cash equivalents $37,348  $472,695  $75,541  $46,374  $26,414  $61,600  $229,432  $56,263  $176,877  $25,639  $126,375  $34,272 
U.S. Treasury securities, at fair value  191,059   1,553,261   386,444   152,384   135,126   202,415   20,858   99,605   16,080   45,391   11,489   60,673 
Incentive fees receivable  -   17,277   -   -   -   60,871 
Swap contracts, at fair value  5,881,358   5,920,414   -   -   435,901   479,102   4,742,032   6,384,583   -   -   613,963   362,521 
Investments in private investment companies, at fair value  11,200,504   11,084,463   3,083,462   4,661,327   1,624,880   1,729,241   7,112,211   9,305,733   1,936,942   2,198,997   799,320   986,757 
Investments in unconsolidated trading companies, at fair value  18,043   1,160,910   36,495   775,088   12,761   28,163   10,412   24,150   8,027   11,005   5,735   14,711 
Interest receivable  3,824   32,017   7,734   3,141   2,704   4,172   198   2,027   153   924   124   1,296 
Due from Managing Owner  -   -   -   -   -   - 
Receivable from related parties  11,453   11,453   -   -   -   - 
Redemptions receivable from private investment companies  -   -   -   -   -   -   171,906   171,906   -   -   -   - 
Other assets  6,153   -   -   -   -   -   6,163   5,700   -   -   -   - 
                                                
Total Assets $17,338,289  $20,241,037  $3,589,676  $5,638,314  $2,237,786  $2,565,564  $12,304,665  $16,061,420  $2,138,079  $2,281,956  $1,557,006  $1,460,230 
                                                
LIABILITIES & CAPITAL                                                
                                                
LIABILITIES                                                
Owner redemptions payable $-  $-   -  $-   -  $- 
Incentive fees payable to Managing Owner  -   10,897   -   -   -   - 
Management fees payable to Managing Owner  -   3,875   -   8,347   -   - 
Interest payable to Managing Owner  -   -   -   -   -   - 
Redemptions payable $-  $-  $-  $-  $-  $6,585 
Service fees payable to Managing Owner  2,464   4,498   201   1,750   4   51   1,861   3,392   199   204   -   - 
Trading fees payable to Managing Owner  36,982   44,827   14,956   27,984   4,793   5,306   27,725   35,877   9,341   11,673   3,047   3,468 
Advance on unrealized swap appreciation  4,000,000   4,000,000   -   -   115,000   115,000   4,000,000   4,000,000   -   -   115,000   115,000 
Subscriptions in advance for service fee rebates  23,105   20,430   31,765   28,100   136   -   22,629   22,531   31,725   31,541   296   220 
Other liabilities  -   -   1,305   -   385   -   -   -   485   499   346   667 
                                                
Total Liabilities  4,062,551   4,084,527   48,227   66,181   120,318   120,357   4,052,215   4,061,800   41,750   43,917   118,689   125,940 
                                                
CAPITAL                                                
Managing Owner - Class 2  3,036   3,005   16,450   51,365   5,466   5,998   2,377   3,023   12,892   13,043   4,920   4,530 
Managing Owner - Class 2a  -   -   -   -   15,143   20,484   -   -   -   -   8,522   7,861 
Managing Owner - Class 3  134,696   172,426   19,377   20,019   -   -   91,218   115,933   9,127   9,228   -   - 
Managing Owner - Class 3a  -   -   -   -   1,174   1,253   -   -   -   -   1,077   993 
Limited Owner - Class 1  1,492,841   1,703,556   123,131   1,484,478   -   -   572,402   1,303,195   12,591   12,794   -   - 
Limited Owner - Class 1a  -   -   -   -   16,174   20,051   -   -   -   -   12,359   11,447 
Limited Owner - Class 2  5,882,255   7,669,749   1,114,481   1,241,610   57,193   78,098   3,394,736   5,597,828   828,122   837,765   38,123   36,515 
Limited Owner - Class 2a  -   -   -   -   95,703   165,985   -   -   -   -   80,210   73,965 
Limited Owner - Class 3  5,762,910   6,607,774   2,268,008   2,774,661   1,646,165   1,791,417   4,191,717   4,979,641   1,233,597   1,365,209   1,068,324   991,828 
Limited Owner - Class 3a  -   -   -   -   280,450   361,921   -   -   -   -   224,782   207,151 
                                                
Total Owners’ Capital  13,275,738   16,156,510   3,541,447   5,572,133   2,117,468   2,445,207   8,252,450   11,999,620   2,096,329   2,238,039   1,438,317   1,334,290 
                                                
Non-Controlling Interests  -   -   -   -   -   -   -   -   -   -   -   - 
                                                
Total Capital  13,275,738   16,156,510   3,541,447   5,572,133   2,117,468   2,445,207   8,252,450   11,999,620   2,096,329   2,238,039   1,438,317   1,334,290 
                                                
Total Liabilities and Capital $17,338,289  $20,241,037  $3,589,674  $5,638,314  $2,237,786  $2,565,564  $12,304,665  $16,061,420  $2,138,079  $2,281,956  $1,557,006  $1,460,230 
                                                
Units Outstanding                                                
Class 1  14,573   16,661   1,410   16,296    N/A    N/A   7,232   12,890   177   177   N/A   N/A 
Class 1a   N/A    N/A    N/A    N/A   306   353   N/A   N/A   N/A   N/A   259   259 
Class 2  48,195   63,494   10,863   12,008   636   851   35,534   46,067   9,759   9,759   485   503 
Class 2a   N/A    N/A    N/A    N/A   1,781   2,803   N/A   N/A   N/A   N/A   1,557   1,557 
Class 3  51,751   60,202   23,449   27,734   15,929   17,282   47,915   44,853   15,363   16,806   11,487   11,581 
Class 3a   N/A    N/A    N/A    N/A   4,303   5,201   N/A   N/A   N/A   N/A   3,763   3,763 
                                                
Net Asset Value per Unit                                                
Class 1 $102.44  $102.25  $87.33  $91.10    N/A    N/A  $79.15  $101.10  $71.33  $72.28   N/A   N/A 
Class 1a   N/A    N/A    N/A    N/A  $52.86  $56.80   N/A   N/A   N/A   N/A  $47.69  $44.20 
Class 2 $122.11  $120.84  $104.10  $107.68  $98.52  $98.82  $95.60  $121.58  $86.18  $87.18  $88.66  $81.60 
Class 2a   N/A    N/A    N/A    N/A  $62.24  $66.52   N/A   N/A   N/A   N/A  $56.98  $52.55 
Class 3 $113.96  $112.62  $97.53  $100.77  $103.34  $103.66  $89.39  $113.61  $80.89  $81.78  $93.01  $85.64 
Class 3a   N/A    N/A    N/A    N/A  $65.45  $69.83   N/A   N/A   N/A   N/A  $60.02  $55.31 

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

1

The Series of Frontier Funds

Statements of Financial Condition

March 31, 2020 (Unaudited) and December 31, 2019

  Frontier Balanced Fund  Frontier Select Fund 
  3/31/2020  12/31/2019  3/31/2020  12/31/2019 
ASSETS            
Cash and cash equivalents $1,214,004  $118,506  $137,502  $61,345 
U.S. Treasury securities, at fair value  110,365   209,799   12,500   108,603 
Open trade equity, at fair value  2,108   116,184   -   - 
Receivable from futures commission merchants  145,332   2,526,242   -   - 
Swap contracts, at fair value  7,285,942   11,944,753   -   - 
Investments in private investment companies, at fair value  12,156,919   13,809,892   1,994,548   2,184,240 
Investments in unconsolidated trading companies, at fair value  55,094   50,867   585,550   505,355 
Interest receivable  1,047   4,270   119   2,268 
Redemptions receivable from private investment companies  1,480,111   380,111   -   - 
                 
Total Assets $22,450,922  $29,160,624  $2,730,219  $2,861,811 
                 
LIABILITIES & CAPITAL                
                 
LIABILITIES                
Redemptions payable $-  $39,059  $-  $6,875 
Management fees payable to Managing Owner  9,115   8,795   -   - 
Interest payable to Managing Owner  1,044   105   132   - 
Service fees payable to Managing Owner  32,629   41,635   6,344   6,906 
Trading fees payable to Managing Owner  58,281   70,179   5,144   6,000 
Risk analysis fees payable  9,971   8,465   -   - 
Advance on unrealized swap appreciation  6,176,555   6,176,555   -   - 
Subscriptions in advance for service fee rebates  329,179   319,698   17,777   16,895 
Other liabilities  3,403   2,372   7,690   8,509 
                 
Total Liabilities  6,620,177   6,666,863   37,087   45,185 
                 
CAPITAL                
Managing Owner - Class 2  54,518   73,748   30,472   29,831 
Managing Owner - Class 2a  111,737   151,133   -   - 
Limited Owner - Class 1  12,405,891   17,797,600   2,594,384   2,715,051 
Limited Owner - Class 1AP  176,344   238,544   11,067   10,834 
Limited Owner - Class 2  2,383,861   3,288,105   57,209   60,910 
Limited Owner - Class 2a  32,566   44,048   -   - 
Limited Owner - Class 3a  665,828   900,583   -   - 
                 
Total Owners’ Capital  15,830,745   22,493,761   2,693,132   2,816,626 
                 
Non-Controlling Interests  -   -   -   - 
                 
Total Capital  15,830,745   22,493,761   2,693,132   2,816,626 
                 
Total Liabilities and Capital $22,450,922  $29,160,624  $2,730,219  $2,861,811 
                 
Units Outstanding                
Class 1  144,220   151,814   38,447   40,793 
Class 1AP  1,731   1,731   138   138 
Class 2  17,751   18,092   826   873 
Class 2a  1,212   1,212   N/A   N/A 
Class 3a  5,611   5,611   N/A   N/A 
                 
Net Asset Value per Unit                
Class 1 $86.02  $117.23  $67.48  $66.56 
Class 1AP $101.87  $137.81  $79.99  $78.51 
Class 2 $137.37  $185.82  $106.15  $103.94 
Class 2a $119.07  $161.04   N/A   N/A 
Class 3a $118.66  $160.50   N/A   N/A 

 

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


The Series of Frontier Funds

Statements of Financial Condition

June 30, 2019 (unaudited) and December 31, 2018

  Frontier Balanced Fund  Frontier Select Fund 
  6/30/2019  12/31/2018  6/30/2019  12/31/2018 
ASSETS            
Cash and cash equivalents $12,895  $37,556  $76,187  $25,072 
U.S. Treasury securities, at fair value  65,967   123,409   389,753   82,386 
Open trade equity, at fair value  42,147   220,659   -   - 
Receivable from futures commission merchants  2,969,199   2,683,299   -   - 
Swap contracts, at fair value  10,691,012   10,794,908   -   - 
Investments in private investment companies, at fair value  18,409,450   22,854,326   2,665,985   3,252,075 
Investments in unconsolidated trading companies, at fair value  6,230   1,744,999   587,909   523,180 
Interest receivable  1,320   2,544   7,800   1,698 
Redemptions receivable from private investment companies  -   -   -   - 
Other assets  -   -   -   - 
                 
Total Assets $32,198,220  $38,461,700  $3,727,634  $3,884,411 
                 
LIABILITIES & CAPITAL                
                 
LIABILITIES                
Owner redemptions payable $428,273  $23,759  $3,415  $- 
Management fees payable to Managing Owner  8,828   13,917   -   - 
Interest payable to Managing Owner  -   1,490   335   - 
Service fees payable to Managing Owner  45,227   56,791   8,212   8,575 
Trading fees payable to Managing Owner  76,075   101,770   7,120   7,812 
Risk analysis fees payable  9,994   9,127   -   - 
Advance on unrealized swap appreciation  6,176,555   6,176,555   -   - 
Subscriptions in advance for service fee rebates  296,547   258,194   14,233   11,162 
Other liabilities  192   -   8,624   - 
                 
Total Liabilities  7,041,691   6,641,603   41,939   27,549 
                 
CAPITAL                
Managing Owner - Class 2  81,326   125,021   38,714   46,368 
Managing Owner - Class 2a  182,049   251,097   -   - 
Limited Owner - Class 1  19,585,430   25,703,922   3,566,250   3,709,130 
Limited Owner - Class 1AP  356,533   355,112   12,191   1,897 
Limited Owner - Class 2  4,026,999   4,403,354   68,540   99,467 
Limited Owner - Class 2a  43,789   88,076   -   - 
Limited Owner - Class 3a  880,403   893,515   -   - 
                 
Total Owners’ Capital  25,156,529   31,820,097   3,685,695   3,856,862 
                 
Non-Controlling Interests  -   -   -   - 
                 
Total Capital  25,156,529   31,820,097   3,685,695   3,856,862 
                 
Total Liabilities and Capital $32,198,220  $38,461,700  $3,727,634  $3,884,411 
                 
Units Outstanding                
Class 1  168,324   218,514   46,901   51,939 
Class 1AP  2,647   2,647   138   23 
Class 2  22,615   25,027   917   1,348 
Class 2a  1,434   2,163   N/A    N/A 
Class 3a  5,611   5,718    N/A    N/A 
                 
Net Asset Value per Unit                
Class 1 $116.36  $117.63  $76.03  $71.41 
Class 1AP $134.69  $134.16  $88.34  $82.48 
Class 2 $181.66  $180.94  $116.96  $108.18 
Class 2a $157.49  $156.81    N/A    N/A 
Class 3a $156.91  $156.26    N/A    N/A 

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

2

 

 

The Series of Frontier Funds

Statements of Financial Condition

June 30, 2019 (unaudited)March 31, 2020 (Unaudited) and December 31, 20182019

 

 Frontier Global Fund (Formerly Frontier Winton Fund)  Frontier Heritage Fund  Frontier Global Fund  Frontier Heritage Fund 
  6/30/2019  12/31/2018  6/30/2019  12/31/2018  3/31/2020 12/31/2019 3/31/2020 12/31/2019 
ASSETS                         
Cash and cash equivalents $38,052  $951,485  $50,178  $135,096  $248,015  $27,532  $152,200  $44,011 
U.S. Treasury securities, at fair value  194,665   3,126,551   256,696   443,921   22,547   48,741   13,836   77,916 
Incentive fees receivable  -   -   -   697 
Swap contracts, at fair value  -   -   3,036,673   2,955,444   -   -   3,094,855   2,888,008 
Investments in private investment companies, at fair value  5,964,788   -   2,623,105   2,167,879   4,396,238   5,022,967   2,529,507   2,259,678 
Investments in unconsolidated trading companies, at fair value  18,384   4,292,075   24,242   726,686   11,255   11,818   6,907   18,891 
Interest receivable  3,896   64,446   5,137   9,150   214   992   131   1,586 
                                
Total Assets $6,219,785  $8,434,557  $5,996,031  $6,438,873  $4,678,269  $5,112,050  $5,797,436  $5,290,090 
                                
LIABILITIES & CAPITAL                                
                                
LIABILITIES                                
Owner redemptions payable  12,892  $-  $4,696  $- 
Management fees payable to Managing Owner  -   42,705   -   9,201 
Redemptions payable $-  $71,379  $-  $9,735 
Interest payable to Managing Owner  660   8,124   635   1,238   844   56   563   166 
Service fees payable to Managing Owner  12,926   17,803   6,240   6,684   9,787   11,263   5,886   5,362 
Trading fees payable to Managing Owner  23,122   24,353   10,467   10,189   17,510   22,540   11,151   11,170 
Advance on unrealized swap appreciation  -   -   1,900,000   1,900,000   -   -   1,900,000   1,900,000 
Subscriptions in advance for service fee rebates  145,067   133,281   53,155   46,159   151,527   150,025   58,835   57,132 
Subscriptions payable to private investment companies  -   -   -   - 
Other liabilities  8,661   -   1,495   -   8,683   8,543   1,052   1,488 
                                
Total Liabilities  203,328   226,266   1,976,688   1,973,471   188,351   263,806   1,977,487   1,985,053 
                                
CAPITAL                                
Managing Owner - Class 2  62,770   107,598   35,201   46,961   55,976   50,058   33,731   28,593 
Limited Owner - Class 1  5,583,992   7,755,444   2,839,339   3,331,725   4,069,172   4,471,980   2,614,943   2,295,623 
Limited Owner - Class 1AP  35,551   32,082   9,223   1,006   36,954   33,047   9,830   8,333 
Limited Owner - Class 2  334,144   313,167   584,479   573,992   327,816   293,159   582,135   493,464 
                                
Total Owners’ Capital  6,016,457   8,208,291   3,468,242   3,953,684   4,489,918   4,848,244   3,240,639   2,826,013 
                                
Non-Controlling Interests  -   -   551,101   511,718   -   -   579,310   479,024 
                                
Total Capital  6,016,457   8,208,291   4,019,343   4,465,402   4,489,918   4,848,244   3,819,949   3,305,037 
                                
Total Liabilities and Capital $6,219,785  $8,434,557  $5,996,031  $6,438,873  $4,678,269  $5,112,050  $5,797,436  $5,290,090 
                                
Units Outstanding                                
Class 1  38,876   58,946   25,906   33,374   27,876   34,003   22,896   23,536 
Class 1AP  214   214   73   9   214   214   73   73 
Class 2  1,913   2,248   3,646   4,071   1,780   1,780   3,399   3,399 
                                
Net Asset Value per Unit                                
Class 1 $143.64  $131.57  $109.60  $99.83  $145.97  $131.52  $114.21  $97.54 
Class 1AP $166.13  $149.92  $126.34  $111.78  $173.08  $154.43  $135.37  $114.15 
Class 2 $207.48  $187.17  $169.96  $152.53  $215.64  $192.82  $181.17  $153.59 

 

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


3

 

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

   Frontier  Frontier  Frontier 
   Diversified Fund  Masters Fund  Long/Short Commodity Fund 
   Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		 
Description Value  Value)  Value  Value)  Value  Value) 
SWAPS (1)                  
 Frontier XXXV Diversified select swap (U.S.)  4,742,032   57.46% $-   -  $-   - 
 Frontier XXXVII L/S select swap (U.S.)  -   -   -   -   613,963   42.69%
 Total Swaps $4,742,032   57.46% $-   -  $613,963   42.69%
                          
PRIVATE INVESTMENT COMPANIES (3)                        
 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $66,514   0.81% $21,902   1.04% $15,156   1.05%
 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,126,654   13.65%  -   -   -   - 
 Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  1,332,960   16.15%  -   -   -   - 
 Galaxy Plus Fund - QIM Feeder Fund (526) LLC  616,065   7.47%  -   -   -   - 
 Galaxy Plus Fund - Quest Feeder Fund (517) LLC  613,323   7.43%  -   -   -   - 
 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  1,639,481   19.87%  1,078,591   51.45%  -   - 
 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  1,695,533   20.55%  493,661   23.55%  418,884   29.12%
 Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   0.00%  342,788   16.35%  -   - 
 Galaxy Plus Fund - LRR Feeder Fund (522) LLC  21,681   0.26%  -   -   365,280   25.40%
                          
 Total Private Investment Companies $7,112,211   86.19% $1,936,942   92.40% $799,320   55.57%
                          
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)                        
 Frontier Trading Company XXXVIII, LLC $10,412   0.13% $8,027   0.38% $5,735   0.40%
 Total Investment in Unconsolidated Trading Companies $10,412   0.13% $8,027   0.38% $5,735   0.40%

U.S. TREASURY SECURITIES (2)

June 30, 2019 (unaudited)FACE VALUE

    Frontier  Frontier  Frontier 
    Diversified Fund  Masters Fund  Long/Short Commodity Fund 
    Fair  % of Total Capital  Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
SWAPS (1)                    
  Frontier XXXV Diversified select swap (U.S.) $5,881,358   44.30% $-   -  $-   - 
  Frontier XXXVII L/S select swap (U.S.)  -   -   -   -   435,901   20.59%
  Total Swaps $5,881,358   44.30% $-   -  $435,901   20.59%
                           
PRIVATE INVESTMENT COMPANIES (3)                    
  Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $850,072   6.40% $423,288   11.95% $272,797   12.88%
  Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,228,724   9.26%  -   -   -   - 
  Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  2,245,712   16.92%  -   -   -   - 
  Galaxy Plus Fund - QIM Feeder Fund (526) LLC  1,408,553   10.61%  -   -   -   - 
  Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  171,906   1.29%  -   -   -   - 
  Galaxy Plus Fund - Quest Feeder Fund (517) LLC  475,189   3.58%  -   -   -   - 
  Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  1,768,677   13.32%  1,060,324   29.94%  -   - 
  Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  2,862,338   21.56%  1,037,971   29.31%  591,529   27.94%
  Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   0.00%  561,880   15.87%  -   - 
  Galaxy Plus Fund - LRR Feeder Fund (522) LLC  189,333   1.43%  -   -   760,554   35.92%
  Total Private Investment Companies $12,049,867   90.75% $3,083,463   87.07% $1,624,880   76.74%
                           
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)           
  Frontier Trading Company XXXVIII, LLC $18,043   0.14% $36,495   1.03% $12,761   0.60%
  Frontier Trading Company II, LLC  -   0.00%  -   0.00%  -   - 
  Total Investment in Unconsolidated Trading Companies $18,043   0.14% $36,495   1.03% $12,761   0.60%
                           
U.S. TREASURY SECURITIES (2)                    
FACE VALUEFair Value      Fair Value      Fair Value     
$1,255,000 US Treasury Note 6.875% due 08/15/2025 (Cost $1,606,935) $191,059   1.44% $386,444   10.91% $135,126   6.38%
                           
    $191,059   1.44% $386,444   10.91% $135,126   6.38%
                           
Additional Disclosure on U.S. Treasury Securities                    
Face Value      Face Value      Face Value     
 US Treasury Note 6.875% due 08/15/2025 (2) $148,039      $299,428      $10,470     
    $148,039      $299,428      $10,470     
                           
Additional Disclosure on U.S. Treasury Securities                    
   Cost      Cost      Cost     
  US Treasury Note 6.875% due 08/15/2025 (2) $189,552      $383,396      $134,061     
    $189,552      $383,396      $134,061     
   Fair Value     Fair Value     Fair Value    
$155,000  US Treasury Note 6.875% due 08/15/2025 (Cost $199,768) $20,858   0.25% $16,080   0.77% $11,489   0.80%
      $20,858   0.25% $16,080   0.77% $11,489   0.80%
                             
Additional Disclosure on U.S. Treasury Securities Face Value     Face Value     Face Value    
    US Treasury Note 6.875% due 08/15/2025 (2) $15,567      $12,001      $8,575     
      $15,567      $12,001      $8,575     
                             
Additional Disclosure on U.S. Treasury Securities Cost     Cost     Cost    
    US Treasury Note 6.875% due 08/15/2025 (2) $20,063      $15,468      $11,051     
      $20,063      $15,468      $11,051     

 

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

 

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


4

The Series of Frontier Funds

Condensed Schedule of Investments

June 30, 2019 (unaudited)March 31, 2020 (Unaudited)

 

   Frontier Frontier     Frontier Frontier 
   Balanced Fund Select Fund     Balanced Fund  Select Fund 
   Fair % of Total Capital Fair % of Total Capital     Fair % of Total
Capital
(Net Asset		 Fair % of Total
Capital
(Net Asset		 
DescriptionDescription Value (Net Asset Value) Value (Net Asset Value) Description Value  Value)  Value  Value) 
LONG FUTURES CONTRACTS*LONG FUTURES CONTRACTS*         LONG FUTURES CONTRACTS*         
 Various agriculture futures contracts (U.S.) $(7,390)  -0.03%  -   0.00%   Various base metals futures contracts (U.S.)  (25,730)  -0.16%  -   0.00%
 Various base metals futures contracts (U.S.)  3,030   0.01%  -   0.00%   Total Long Futures Contracts $(25,730)  -0.16% $-   0.00%
 Various interest rates futures contracts (Canada)  (3,156)  -0.01%  -   0.00%
 Various interest rates futures contracts (Europe)  61,445   0.24%  -   0.00%
 Various interest rates futures contracts (Far East)  14,846   0.06%  -   0.00%
 Various interest rates futures contracts (Oceanic)  3,380   0.01%  -   0.00%
 Various interest rates futures contracts (U.S.)  6,586   0.03%  -   0.00%
 Various precious metal futures contracts (U.S.)  15,580   0.06%  -   0.00%
 Various soft futures contracts (Far East)  (1,336)  -0.01%  -   0.00%
 Various soft futures contracts (U.S.)  (5,556)  -0.02%  -   0.00%
 Various stock index futures contracts (Africa)  (548)  0.00%  -   0.00%
 Various stock index futures contracts (Canada)  286   0.00%  -   0.00%
 Various stock index futures contracts (Europe)  3,686   0.01%  -   0.00%
 Various stock index futures contracts (Oceanic)  5,404   0.02%  -   0.00%
 Various stock index futures contracts (U.S.)  8,686   0.03%  -   0.00%
 Total Long Futures Contracts $104,943   0.40% $-   0.00%
SHORT FUTURES CONTRACTS*SHORT FUTURES CONTRACTS*               SHORT FUTURES CONTRACTS*                
 Various agriculture futures contracts (U.S.) $19,766   0.08%  -   0.00%
 Various base metals futures contracts (U.S.)  (15,221)  -0.06%  -   0.00%
 Various energy futures contracts (U.S.)  (4,480)  -0.02%  -   0.00%
 Various soft futures contracts (U.S.)  (1,170)  0.00%  -   0.00%
 Total Short Futures Contracts $(1,105)  0.00% $-   0.00%
CURRENCY FORWARDS*               
 Various currency forwards contracts (NA) $(61,691)  -0.25% $-   0.00%
 Total Currency Forwards $(61,691)  -0.25% $-   0.00%   Various base metals futures contracts (U.S.)  27,838   0.18%  -   0.00%
 Total Open Trade Equity (Deficit) $42,147   0.15% $-   0.00%   Total Short Futures Contracts $27,838   0.18% $-   0.00%
SWAP (1)                  SWAP (1)                
 Frontier XXXIV Balanced select swap (U.S.) $10,691,012   42.50% $-   -    Frontier XXXIV Balanced select swap (U.S.) $7,285,942   46.02% $-   - 
 Total Swap $10,691,012   42.50% $-   -    Total Swap $7,285,942   46.02% $-   - 
                                      
PRIVATE INVESTMENT COMPANIES (3)PRIVATE INVESTMENT COMPANIES (3)               PRIVATE INVESTMENT COMPANIES (3)                
 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $1,301,180   5.17% $-   -    Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $106,682   0.67% $-   - 
 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,917,605   7.62%  -   -    Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,756,213   11.09%  -   - 
 Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  3,351,743   13.32%  -   -    Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  2,030,283   12.82%  -   - 
 Galaxy Plus Fund - QIM Feeder Fund (526) LLC  2,480,920   9.86%  -   -    Galaxy Plus Fund - QIM Feeder Fund (526) LLC  1,722,463   10.88%  -   - 
 Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  380,111   1.51%  -   -    Galaxy Plus Fund - Quest Feeder Fund (517) LLC  712,652   4.50%  -   - 
 Galaxy Plus Fund - Quest Feeder Fund (517) LLC  509,442   2.03%  -   -    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  2,526,565   15.96%  -   - 
 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  3,089,103   12.28%  -   -    Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  3,266,863   20.64%  1,052,525   39.08%
 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  5,000,417   19.88%  1,191,797   32.34%   Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   0.00%  942,023   34.98%
 Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   0.00%  1,474,188   40.00%   Galaxy Plus Fund - LRR Feeder Fund (522) LLC  35,198   0.22%  -   - 
 Galaxy Plus Fund - LRR Feeder Fund (522) LLC  378,929   1.51%  -   -    Total Private Investment Companies $12,156,919   76.78% $1,994,548   74.06%
 Total Private Investment Companies $18,409,450   73.18% $2,665,985   72.34%                    
                  
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)INVESTMENT IN UNCONSOLIDATED COMPANIES (3)               INVESTMENT IN UNCONSOLIDATED COMPANIES (3)                
 Frontier Trading Company XXXVIII, LLC $6,230   0.02% $36,809   1.00%   Frontier Trading Company XXXVIII, LLC $55,094   0.35% $6,240   0.23%
 Frontier Trading Company XXXIX, LLC  -   0.00%  551,100   14.95%   Frontier Trading Company XXXIX, LLC  -   0.00%  579,310   21.51%
 Total Investment in Unconsolidated Trading Companies $6,230   0.02% $587,909   15.95%   Total Investment in Unconsolidated Trading Companies $55,094   0.35% $585,550   21.74%

 

U.S. TREASURY SECURITIES (2)            
FACE VALUE Fair Value     Fair Value    
                
$1,255,000  US Treasury Note 6.875% due 08/15/2025 (Cost $1,606,935) $65,967   0.26% $389,753   10.57%
      $65,967   0.26% $389,753   10.57%

U.S. TREASURY SECURITIES (2)

FACE VALUE

 

Additional Disclosure on U.S. Treasury Securities Face Value     Face Value    
                
    US Treasury Note 6.875% due 08/15/2025 (2)  51,113      301,992    
      $51,113      $301,992     

Additional Disclosure on U.S. Treasury Securities Cost     Cost    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $65,447      386,679     
      $65,447      $386,679     
   Fair Value     Fair Value    
              
$155,000  US Treasury Note 6.875% due 08/15/2025 (Cost $199,768) $110,365   0.70% $12,500   0.46%
      $110,365   0.70% $12,500   0.46%
                
Additional Disclosure on U.S. Treasury Securities Face Value     Face Value    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $82,372      $9,330     
      $82,372      $9,330     
                     
Additional Disclosure on U.S. Treasury Securities Cost     Cost    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $106,163      $12,024     
      $106,163      $12,024     

 

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

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

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

5

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

     Frontier  Frontier 
     Global Fund  Heritage Fund 
     Fair  % of Total Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		 
Description Value  Value)  Value  Value) 
SWAP (1)            
    Frontier Brevan Howard swap (U.S.) $-   -  $3,094,855   81.02%
    Total Swap $-   -  $3,094,855   81.02%
                     
PRIVATE INVESTMENT COMPANIES (3)                
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $4,396,238   97.91% $1,447,373   37.89%
    Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  -   -   1,082,134   28.33%
    Total Private Investment Companies $4,396,238   97.91% $2,529,507   66.22%
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)                
    Frontier Trading Company XXXVIII, LLC $11,255   0.25% $6,907   0.18%
    Total Investment in Unconsolidated Trading Companies $11,255   0.25% $6,907   0.18%

U.S. TREASURY SECURITIES (2)

FACE VALUE

   Fair Value     Fair Value    
              
$155,000  US Treasury Note 6.875% due 08/15/2025 (Cost $199,768) $22,547   0.50% $13,836   0.36%
      $22,547   0.50% $13,836   0.36%
                
Additional Disclosure on U.S. Treasury Securities Face Value     Face Value    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $16,828      $10,327     
      $16,828      $10,327     
                
Additional Disclosure on U.S. Treasury Securities Cost     Cost    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $21,689      $13,310     
      $21,689      $13,310     

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

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

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

6

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

   Frontier  Frontier  Frontier 
   Diversified Fund  Masters Fund  Long/Short Commodity Fund 
   Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		 
Description Value  Value)  Value  Value)  Value  Value) 
SWAPS (1)                  
 Frontier XXXV Diversified select swap (U.S.) $6,384,583   53.21% $-   -  $-   - 
 Frontier XXXVII L/S select swap (U.S.)  -   -   -   -   362,521   27.17%
 Total Swaps $6,384,583   53.21% $-   -  $362,521   27.17%
                          
PRIVATE INVESTMENT COMPANIES (3)                        
 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $494,968   4.12% $210,013   9.38% $111,013   8.32%
 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,267,090   10.56%  -   -   -   - 
 Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  2,031,482   16.93%  -   -   -   - 
 Galaxy Plus Fund - QIM Feeder Fund (526) LLC  1,460,173   12.17%  -   -   -   - 
 Galaxy Plus Fund - Quest Feeder Fund (517) LLC  499,551   4.16%  -   -   -   - 
 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  1,827,263   15.23%  1,049,575   46.90%  -   - 
 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  1,549,720   12.91%  466,988   20.87%  343,834   25.77%
 Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   -    472,421   21.11%  -   - 
 Galaxy Plus Fund - LRR Feeder Fund (522) LLC  175,486   1.46%  -   -    531,910   39.86%
 Total Private Investment Companies $9,305,733   77.54% $2,198,997   98.26% $986,757   73.95%
                          
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)                   
 Frontier Trading Company XXXVIII, LLC $24,150   0.20% $11,005   0.49% $14,711   1.10%
 Total Investment in Unconsolidated Trading Companies $24,150   0.20% $11,005   0.49% $14,711   1.10%

U.S. TREASURY SECURITIES (2)

FACE VALUE

   Fair Value     Fair Value     Fair Value    
$510,000  US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) $99,605   0.83% $45,391   2.03% $60,673   4.55%
      $99,605   0.83% $45,391   2.03% $60,673   4.55%
                   
Additional Disclosure on U.S. Treasury Securities Face Value     Fair Value     Face Value    
    US Treasury Note 6.875% due 08/15/2025 (2) $78,065      $35,575      $47,552     
      $78,065      $35,575      $47,552     
                   
Additional Disclosure on U.S. Treasury Securities Cost     Cost     Cost    
    US Treasury Note 6.875% due 08/15/2025 (2) $99,804      $45,482      $60,794     
      $99,804      $45,482      $60,794     

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

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

7

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

     Frontier  Frontier 
     Balanced Fund  Select Fund 
     Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		 
Description Value  Value)  Value  Value) 
LONG FUTURES CONTRACTS*                
    Various agriculture futures contracts (U.S.) $22,437   0.10% $-   0.00%
    Various base metals futures contracts (U.S.)  (3,344)  -0.01%  -   0.00%
    Various energy futures contracts (U.S.)  (735)  0.00%  -   0.00%
    Various interest rates futures contracts (Europe)  (2,763)  -0.01%  -   0.00%
    Various precious metal futures contracts (U.S.)  45,590   0.20%  -   0.00%
    Various soft futures contracts (Far East)  709   0.00%  -   0.00%
    Various soft futures contracts (U.S.)  1,740   0.01%  -   0.00%
    Various stock index futures contracts (Europe)  (2,506)  -0.01%  -   0.00%
    Various stock index futures contracts (Far East)  (7,157)  -0.03%  -   0.00%
    Various stock index futures contracts (Oceanic)  (21,237)  -0.09%  -   0.00%
    Various stock index futures contracts (U.S.)  21,385   0.10%  -   0.00%
    Total Long Futures Contracts $54,119   0.25% $-   0.00%
SHORT FUTURES CONTRACTS*                
    Various agriculture futures contracts (U.S.) $(1,410)  -0.01% $-   0.00%
    Various base metals futures contracts (U.S.)  (6,369)  -0.03%  -   0.00%
    Various energy futures contracts (U.S.)  3,380   0.02%  -   0.00%
    Various interest rates futures contracts (Europe)  9,573   0.04%  -   0.00%
    Various interest rates futures contracts (Far East)  1,104   0.00%  -   0.00%
    Various soft futures contracts (U.S.)  (3,340)  -0.01%  -   0.00%
    Total Short Futures Contracts $2,938   0.00% $-   0.00%
CURRENCY FORWARDS*               
    Various currency forwards contracts (NA) $59,127   0.26% $-   0.00%
    Total Currency Forwards $59,127   0.26% $-   0.00%
    Total Open Trade Equity (Deficit) $116,184   0.52% $-   0.00%
SWAP (1)               
    Frontier XXXIV Balanced select swap (U.S.) $11,944,753   53.10% $-   - 
    Total Swap $11,944,753   53.10% $-   - 
                     
PRIVATE INVESTMENT COMPANIES (3)                
    Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $668,428   2.97% $-   0.00%
    Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  1,913,873   8.51%  -   0.00%
    Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  2,589,148   11.51%  -   0.00%
    Galaxy Plus Fund - QIM Feeder Fund (526) LLC  2,556,118   11.36%  -   0.00%
    Galaxy Plus Fund - Quest Feeder Fund (517) LLC  533,194   2.37%  -   0.00%
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  2,679,197   11.91%  -   0.00%
    Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  2,583,294   11.48%  835,386   29.66%
    Galaxy Plus Fund - TT Feeder Fund (531) LLC  -   0.00%  1,348,854   47.89%
    Galaxy Plus Fund - LRR Feeder Fund (522) LLC  286,640   1.27%  -   0.00%
    Total Private Investment Companies $13,809,892   61.39% $2,184,240   77.55%
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)               
    Frontier Trading Company XXXVIII, LLC $50,867   0.23% $26,331   0.93%
    Frontier Trading Company XXXIX, LLC  -   -   479,024   17.01%
    Total Investment in Unconsolidated Trading Companies $50,867   0.23% $505,355   17.94%

U.S. TREASURY SECURITIES (2)

FACE VALUE

   Fair Value     Fair Value    
              
$510,000  US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) $209,799   0.93% $108,603   3.86%
      $209,799   0.93% $108,603   3.86%
             
Additional Disclosure on U.S. Treasury Securities Face Value     Face Value    
                
   US Treasury Note 6.875% due 08/15/2025 (2) $164,427      $85,116     
      $164,427      $85,116     
                
Additional Disclosure on U.S. Treasury Securities Cost     Cost    
                
   US Treasury Note 6.875% due 08/15/2025 (2) $210,217      $108,820     
      $210,217      $108,820     

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

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

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

8

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

     Frontier
Global Fund
(Formerly Winton Fund)		  Frontier
Heritage Fund		 
     Fair  % of Total
Capital
(Net Asset		  Fair  % of Total
Capital
(Net Asset		 
Description Value  Value)  Value  Value) 
SWAP (1)            
    Frontier Brevan Howard swap (U.S.) $-   -  $2,888,008   18.14%
    Total Swap $-   -  $2,888,008   18.14%
                     
PRIVATE INVESTMENT COMPANIES (3)                
    Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC $-   -  $786,246   23.79%
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  5,022,967   103.60%  1,473,432   44.58%
    Total Private Investment Companies $5,022,967   103.60% $2,259,678   68.37%
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)                
    Frontier Trading Company XXXVIII, LLC $11,818   0.24% $18,891   0.57%
    Total Investment in Unconsolidated Trading Companies $11,818   0.24% $18,891   0.57%

U.S. TREASURY SECURITIES (2)

FACE VALUE

   Fair Value     Fair Value    
              
$510,000  US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) $48,741   1.01% $77,916   2.36%
      $48,741   1.01% $77,916   2.36%
             
Additional Disclosure on U.S. Treasury Securities Face Value     Face Value    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $38,200      $61,065     
      $38,200      $61,065     
             
Additional Disclosure on U.S. Treasury Securities Cost     Cost    
                
    US Treasury Note 6.875% due 08/15/2025 (2) $48,838      $78,071     
      $48,838      $78,071     

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

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

 

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


9

The Series of Frontier Funds

Condensed Schedule of Investments

June 30, 2019 (unaudited)

 

    Frontier   
    Global Fund (Formerly Frontier
Winton Fund)		  Frontier
Heritage Fund		 
    Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value) 
SWAP (1)              
  Frontier Brevan Howard swap (U.S.) $-   -  $3,036,673   75.55%
  Total Swap $-   -  $3,036,673   75.55%
                   
PRIVATE INVESTMENT COMPANIES (3)               
 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $5,964,788   99.14% $1,192,146   29.66%
 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  -   -   1,430,959   35.60%
  Total Private Investment Companies $5,964,788   99.14% $2,623,105   65.26%
                   
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)               
  Frontier Trading Company XXXVIII, LLC $18,834   0.31% $24,242   0.60%
  Total Investment in Unconsolidated Trading Companies $18,834   0.31% $24,242   0.60%

 

U.S. TREASURY SECURITIES (2)            
FACE VALUE Fair Value     Fair Value    
                
$1,255,000  US Treasury Note 6.875% due 08/15/2025 (Cost $1,606,935) $194,665   3.24% $256,696   6.39%
      $194,665   3.24% $256,696   6.39%

Additional Disclosure on U.S. Treasury SecuritiesFace Value      Face Value     
                   
  US Treasury Note 6.875% due 08/15/2025 (2) $150,832      $198,896     
    $150,832      $198,896     
                   
Additional Disclosure on U.S. Treasury Securities Cost       Cost     
                   
  US Treasury Note 6.875% due 08/15/2025 (2) $193,129      $254,671     
    $193,129      $254,671     

(1)See Note 4 to the Financial Statements.
(2)See Note 2 to the Financial Statements.
(3)See Note 5 to the Financial Statements.

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


The Series of Frontier Funds

Statements of Operations

For the SixThree Months Ended June 30,March 31, 2020 (Unaudited) and 2019 and 2018 (unaudited)

 

 Frontier Diversified Fund  Frontier Masters Fund  Frontier
Long/Short Commodity Fund		  Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short
Commodity Fund		 
 6/30/2019  6/30/2018  6/30/2019  6/30/2018  6/30/2019  6/30/2018  3/31/2020 3/31/2019 3/31/2020 3/31/2019 3/31/2020 3/31/2019 
                          
Investment income:                          
Interest - net $6,002  $18,038  $2,156  $16,734  $1,135  $7,459  $34  $4,868  $990  $690  $647  $698 
                                                
Total Income  6,002   18,038   2,156   16,734   1,135   7,459   34   4,868   990   690   647   698 
                                                
Expenses:                                                
Incentive Fees (rebate)  -   1,881   -   -   -   - 
Management Fees  2,668   24,792   7,665   61,211   -   -   -   2,668   -   5,593   -   - 
Service Fees - Class 1, 1A, 2 and 2A  23,395   30,804   9,754   27,898   314   1,064 
Service Fees - Class 1  7,707   12,029   595   7,486   111   162 

Due Diligence Fees

  3,383   -   656   -   93   - 
Trading Fees  256,330   308,763   126,036   240,046   28,217   46,212   100,550   130,304   32,399   67,318   9,547   13,852 
                                                
Total Expenses  282,393   366,240   143,455   329,155   28,531   47,276   111,640   145,001   33,650   80,397   9,751   14,014 
                                                
Investment (loss) - net  (276,391)  (348,202)  (141,299)  (312,421)  (27,396)  (39,817)  (111,606)  (140,133)  (32,660)  (79,707)  (9,104)  (13,316)
                                                
Realized and unrealized gain/(loss) on investments:                                                
Net unrealized gain/(loss) on private investment companies  929,678   71,595   135,339   84,407   714,483   (152,040)  115,286   442,738   246,694   64,220   (59,841)  410,350 
Net realized gain/(loss) on private investment companies  (449,834)  (1,526,351)  (99,767)  (1,210,157)  (702,242)  (164,066)  (149,796)  (332,437)  (235,137)  (103,856)  (67,371)  (545,569)
Net realized gain/(loss) on swap contracts  -   (86,648)  -   -   -   (17,436)
Net unrealized gain/(loss) on swap contracts  (39,055)  513,328   -   -   (43,201)  35,886   (2,111,698)  -   -   -   251,441   - 
Net realized gain/(loss) on U.S. Treasury securities  (590)  (36,355)  5,397   (40,171)  2,705   (29,901)  (16,266)  15,071   7,304   (1,931)  5,194   4,109 
Net unrealized gain/(loss) on U.S. Treasury securities  (425)  (3,864)  3,472   (17,059)  395   4,012   23,218   (18,038)  (1,929)  3,930   (1,916)  (2,979)
Change in fair value of investments in unconsolidated trading companies  (85,613)  4,402   (67,510)  (77,334)  (1,029)  (1,812)  (1,009)  (84,498)  (6,482)  (61,227)  (4,706)  (560)
                                                
Net gain/(loss) on investments  354,161   (977,245)  (23,069)  (1,260,314)  (28,889)  (307,921)  (2,140,265)  (63,812)  10,450   (98,864)  122,801   (152,085)
                                                
NET INCREASE/(DECREASE) IN CAPITALRESULTING FROM OPERATIONS  77,770   (1,325,447)  (164,368)  (1,572,735)  (56,285)  (347,738)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  (2,251,871)  (203,945)  (22,210)  (178,571)  113,697   (165,401)
                                                
Less: Operations attributable to non-controlling interests  -   -   -   -   -   -   -   -   -   -   -   - 
                                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $77,770  $(1,325,447) $(164,368) $(1,572,735) $(56,285) $(347,738) $(2,251,871) $(203,945) $(22,210) $(178,571) $113,697  $(165,401)
                                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                                                
Class 1 $0.19  $(8.11) $(3.77) $(15.41)   N/A    N/A  $(21.95) $(1.41) $(0.95) $(2.91)   N/A    N/A 
Class 1a   N/A    N/A    N/A    N/A  $(3.95) $(10.57)   N/A    N/A    N/A    N/A   $3.49   $(6.66)
Class 2 $1.27  $(8.32) $(3.58) $(16.89) $(0.30) $(9.29) $(25.98) $(1.15) $(1.00) $(2.99)  $7.06   $(5.15)
Class 2a   N/A    N/A    N/A    N/A  $(4.29) $(11.46)   N/A    N/A    N/A    N/A   $4.42   $(7.56)
Class 3 $1.34  $(7.59) $(3.23) $(15.63) $(0.31) $(9.74) $(24.22) $(1.00) $(0.89) $2.73   $7.36   $(5.41)
Class 3a   N/A    N/A    N/A    N/A  $(4.38) $(11.88)   N/A    N/A    N/A    N/A   $4.71   $(7.87)

 

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


10

The Series of the Frontier Funds

Statements of Operations

For the SixThree Months Ended June 30,March 31, 2020 (Unaudited) and 2019 and 2018 (unaudited)

 

 Frontier Balanced Fund  Frontier Select Fund  Frontier Balanced Fund Frontier Select Fund 
 6/30/2019 6/30/2018 6/30/2019 6/30/2018  3/31/2020 3/31/2019 3/31/2020 3/31/2019 
                  
Investment income:                  
Interest - net $24,862  $24,944  $-  $-  $6,311  $11,360  $-  $- 
                                
Total Income/(loss)  24,862   24,944   -   -   6,311   11,360   -   - 
                                
Expenses:                                
Incentive Fees (rebate)  -   145,134   -   - 
Management Fees  13,365   42,902   -   -   5,020   8,079   -   - 
Service Fees - Class 1, 1A, 2 and 2A  324,926   3,529   52,067   72,962 
Service Fees - Class 1  125,308   170,865   20,160   25,505 
Risk analysis Fees  2,872   -   -   -   1,506   1,458   -   22,632 
Trading Fees  527,460   500,791   45,107   72,962   198,985   279,337   16,955   - 
                                
Total Expenses  868,623   1,421,301   97,174   138,665   330,819   459,739   37,115   48,137 
                                
Investment (loss) - net  (843,761)  (1,396,357)  (97,174)  (138,665)  (324,508)  (448,379)  (37,115)  (48,137)
                                
Realized and unrealized gain/(loss) on investments:                                
Net realized gain/(loss) on futures, forwards and options  257,898   (283,336)  -   -   642,235   4,526   -   - 
Net unrealized gain/(loss) on private investment companies  1,466,941   (3,149,240)  259,209   (961,333)  (93,693)  903,551   (22,952)  82,768 
Net realized gain/(loss) on private investment companies  (761,338)  236,606   24,501   59,566   (93,600)  (747,334)  7,923   (50,950)
Net change in open trade equity/(deficit)  (196,515)  (77,662)  -   -   (25,719)  (102,236)  -   - 
Net unrealized gain/(loss) on swap contracts  (103,896)  1,129,650   -   -   (5,837,508)  (195,186)  -   - 
Net realized gain/(loss) on U.S. Treasury securities  8,349   (44,907)  11,151   (12,538)  20,156   (3,429)  5,292   3,463 
Net unrealized gain/(loss) on U.S. Treasury securities  5,068   (6,540)  (8,678)  (11,835)  1,596   14,684   (2,216)  (2,737)
Trading commissions  (16,232)  (28,937)  -   -   (8,375)  (7,065)  -   - 
Change in fair value of investments in unconsolidated trading companies  (139,630)  56,484   37,710   (37,017)  (23,301)  (138,270)  93,757   (25,473)
                                
Net gain/(loss) on investments  520,645   (2,167,882)  323,893   (963,157)  (5,418,209)  (270,759)  81,804   7,071 
                                
NET INCREASE/(DECREASE) IN CAPITALRESULTING FROM OPERATIONS  (323,116)  (3,564,239)  226,719   (1,101,822)  (5,742,717)  (719,138)  44,689   (41,066)
                                
Less: Operations attributable to non-controlling interests  -   -   -   -   -   -   -   - 
                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $(323,116) $(3,564,239) $226,719  $(1,101,822) $(5,742,717) $(719,138) $44,689  $(41,066)
                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                                
Class 1 $(1.28) $(10.75) $4.62  $(15.52) $(31.21) $(2.74) $0.92  $(0.65)
Class 1AP $0.54  $(9.88) $5.86  $(15.95) $(35.94) $(2.15) $1.49  $(0.18)
Class 2 $0.72  $(13.18) $8.78  $(21.17) $(48.45) $(2.90) $2.21  $(0.19)
Class 2a $0.68  $(11.44)   N/A    N/A  $(41.97) $(2.54)   N/A    N/A 
Class 3a $0.64  $(11.42)   N/A    N/A  $(41.84) $(2.48)   N/A    N/A 

 

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


11

The Series of the Frontier Funds

Statements of Operations

For the SixThree Months Ended June 30,March 31, 2020 (Unaudited) and 2019 and 2018 (unaudited)

 

 Frontier Global Fund (formerly, Frontier Winton Fund)  Frontier Heritage Fund  Frontier Global Fund Frontier Heritage Fund 
 6/30/2019 6/30/2018 6/30/2019 6/30/2018  3/31/2020 3/31/2019 3/31/2020 3/31/2019 
                  
Investment income:                         
Interest - net $-  $-  $-  $-  $-  $-  $-  $- 
                                
Total Income  -   -   -   -   -   -   -   - 
                                
Expenses:                                
Incentive Fees (rebate)  -   -   -   1,394 
Management Fees  38,679   262,342   7,289   69,874   -   29,148   -   6,189 
Service Fees - Class 1, 1A, 2 and 2A  94,902   175,167   43,898   68,410 
Service Fees - Class 1  30,441   52,123   18,013   23,185 
Trading Fees  125,313   163,278   56,746   79,147   55,555   42,715   29,905   27,093 
                                
Total Expenses  258,894   600,787   107,933   218,825   85,996   123,986   47,918   56,467 
                                
Investment (loss) - net  (258,894)  (600,787)  (107,933)  (218,825)  (85,996)  (123,986)  (47,918)  (56,467)
                                
Realized and unrealized gain/(loss) on investments:                                
Net unrealized gain/(loss) on private investment companies  1,553,914   -   516,272   (519,737)  249,122   688,108   416,114   140,824 
Net realized gain/(loss) on private investment companies  (366,129)  -   (73,928)  (81,298)  309,658   -   4,371   (6,746)
Net unrealized gain/(loss) on swap contracts  -   -   81,229   (90,533)  -   -   206,847   (50,194)
Net realized gain/(loss) on U.S. Treasury securities  26,444   (205,194)  6,140   (32,599)  11,493   77,673   6,794   8,382 
Net unrealized gain/(loss) on U.S. Treasury securities  (29,487)  52,629   (2,613)  3,677   (5,491)  (72,893)  (951)  (7,239)
Change in fair value of investments in unconsolidated trading companies  (352,005)  (252,761)  (63,918)  1,968   (5,077)  (328,263)  (6,103)  (56,952)
                                
Net gain/(loss) on investments  832,737   (405,326)  463,182   (718,522)  559,705   364,625   627,072   28,075 
                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  573,843   (1,006,113)  355,249   (937,347)  473,709   240,639   579,154   (28,392)
                                
Less: Operations attributable to non-controlling interests  -   -   (39,383)  (43,895)  -   -   100,287   (24,336)
                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $573,843  $(1,006,113) $315,866  $(893,452) $473,709  $240,639  $478,867  $(4,056)
                                
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                                
Class 1 $12.07  $(10.42) $9.77  $(18.52) $14.46  $4.76  $16.67  $(0.15)
Class 1AP $16.21  $(9.25) $14.56  $(18.82) $18.66  $6.58  $21.22  $0.66 
Class 2 $20.31  $(13.03) $17.43  $(25.16) $22.82  $8.31  $27.58  $0.93 

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

12

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2020 (Unaudited)

  Frontier Diversified Fund  Frontier Masters Fund 
  Class 1  Class 2  Class 2  Class 3  Class 3  Non-      Class 1  Class 2  Class 2  Class 3  Class 3  Non-     
  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total 
                                           
Owners’ Capital, December 31, 2019 $1,303,195  $3,023  $5,597,828  $115,933  $4,979,641  $   -  $11,999,620  $12,794  $13,043  $837,765  $9,228  $1,365,209  $  -  $2,238,039 
                                                         
Sale of Units  -   -   -   -       -   -   -   -   -   -  $-   -   - 
Redemption of Units  (589,750)  -   (1,274,585)  -  $369,037   -   (1,495,298)  -   -   -   -   (119,501)  -   (119,501)
Net increase/(decrease) in Owners’   -   -   -   -   -   -   -   -   -   -   -   -    -   -  
Capital resulting from operations attributable to controlling interests  (141,043)  (646)  (928,507)  (24,715)  (1,156,961)  -   (2,251,872)  (203)  (151)  (9,643)  (101)  (12,110)  -   (22,209)
                                                         
Owners’ Capital, March 31, 2020 $572,402  $2,377  $3,394,736  $91,218  $4,191,717  $   -  $8,252,450  $12,591  $12,892  $828,122  $9,127  $1,233,597  $  -  $2,096,329 
                                                         
Owners’ Capital - Units, December 31, 2019  12,890   25   46,042   1,021   43,832           177   149   9,610   113   16,693         
                                                         
Sale of Units (including transfers)  -   -   -   -   5,028           -   -   -   -   -         
Redemption of Units (including transfers)  (5,658)  -    (10,533)  -    (1,966)          -   -   0.00   -    (1,443)        
                                                         
Owners’ Capital - Units, March 31, 2020  7,232   25   35,509   1,021   46,894           177   149   9,610   113   15,250         
                                                         
Net asset value per unit at December 31, 2019 $101.10      $121.58      $113.61          $72.28      $87.18      $81.78         
                                                         
Change in net asset value per unit for the three months ended March 31, 2020  (21.95)      (25.98)      (24.22)          (0.95)      (1.00)      (0.89)        
                                                         
Net asset value per unit at March 31, 2020 $79.15      $95.60      $89.39          $71.33      $86.18      $80.89         

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

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

13

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2020 (Unaudited)

  Frontier Long/Short Commodity Fund 
  Class 2  Class 3  Class 1a  Class 2a  Class 3a  Non-    
  Managing
Owner		  Limited
Owners		  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total 
                               
Owners’ Capital, December 31, 2019 $4,530  $36,515  $991,828  $11,447  $7,861  $73,965  $993  $207,151  $    -  $1,334,290 
                                         
Sale of Units  -   -   -   -   -   -   -   -   -   - 
Redemption of Units  -   (1,422)  (8,248)  -   -   -   -       -   (9,670)
Transfer of Units In(Out)  -   -   -   -   -   -   -   -   -   - 
Net increase/(decrease) in Owners’  -   -   -   -   -   -   -   -   -   - 
Capital resulting from operations attributable to controlling interests  390   3,030   84,744   912   661   6,245   84   17,631   -   113,697 
                                         
Owners’ Capital, March 31, 2020 $4,920  $38,123  $1,068,324  $12,359  $8,522  $80,210  $1,077  $224,782  $-  $1,438,317 
                                         
Owners’ Capital - Units, December 31, 2019  56   447   11,581   259   149   1,408   18   3,745         
                                         
Sale of Units (including transfers)  -   -   -   -   -   -   -   -         
Redemption of Units (including transfers)  -   (18)  (94)  -   -   -   -   -         
                                         
Owners’ Capital - Units, March 31, 2020  56   429   11,487   259   149   1,408   18   3,745         
                                         
Net asset value per unit at December 31, 2019     $81.60  $85.64  $44.20      $52.55      $55.31         
                                         
Change in net asset value per unit for the three months ended March 31, 2020      7.06   7.37   3.49       4.43       4.71         
                                         
Net asset value per unit at March 31, 2020     $88.66  $93.01  $47.69      $56.98      $60.02         

(2)Values are for both the Managing Owner and Limited Owners.

 

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


14

The Series of Frontier Funds

Statements of OperationsChanges in Owners’ Capital

For the Three Months Ended June 30, 2019 and 2018 (unaudited)March 31, 2020 (Unaudited)

 

  Frontier Diversified Fund  Frontier Masters Fund  Frontier
Long/Short Commodity Fund		 
  6/30/2019  6/30/2018  6/30/2019  6/30/2018  6/30/2019  6/30/2018 
                   
Investment income:                  
Interest - net $1,134  $10,421  $1,466  $8,315  $437  $3,424 
                         
Total Income  1,134   10,421   1,466   8,315   437   3,424 
                         
Expenses:                        
Incentive Fees (rebate)  -   -   -   -   -   - 
Management Fees  -   13,229   2,072   28,862   -   - 
Service Fees - Class 1, 1A, 2 and 2A  11,366   14,689   2,268   12,929   152   407 
Trading Fees  126,026   143,613   58,718   105,998   14,365   21,519 
                         
Total Expenses  137,392   171,531   63,058   147,789   14,517   21,926 
                         
Investment (loss) - net  (136,258)  (161,110)  (61,592)  (139,474)  (14,080)  (18,502)
                         
Realized and unrealized gain/(loss) on investments:                        
Net unrealized gain/(loss) on private investment companies  486,940   2,018,592   71,119   1,426,534   304,133   (67,175)
Net realized gain/(loss) on private investment companies  (117,397)  (1,685,616)  4,089   (1,368,589)  (156,673)  (82,628)
Net unrealized gain/(loss) on swap contracts  47,593   61,335   -   -   (25,765)  (49,384)
Net realized gain/(loss) on U.S. Treasury securities  (15,661)  (12,780)  7,328   (10,945)  (1,404)  (4,915)
Net unrealized gain/(loss) on U.S. Treasury securities  17,613   2,073   (458)  (488)  3,374   1,444 
Change in fair value of investments in unconsolidated trading companies  (1,115)  154,045   (6,283)  156,021   (469)  (1,870)
                         
Net gain/(loss) on investments  417,973   537,649   75,795   202,533   123,196   (204,528)
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  281,715   376,539   14,203   63,059   109,116   (223,030)
                         
Less:  Operations attributable to non-controlling interests  -   -   -   -   -   - 
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $281,715  $376,539  $14,203  $63,059  $109,116  $(223,030)
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                        
Class 1 $1.60  $1.77  $(0.86) $1.13    N/A    N/A 
Class 1a   N/A    N/A   N/A   N/A  $2.71  $(7.08)
Class 2 $2.42  $2.61  $(0.59) $1.71  $4.86  $(5.91)
Class 2a   N/A    N/A   N/A   N/A  $3.28  $(7.82)
Class 3 $2.34  $2.50  $(0.50) $1.67  $5.09  $(6.21)
Class 3a   N/A    N/A   N/A    N/A  $3.49  $(8.15)
 Frontier Balanced Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Non-     
  Limited
 Owners		  Limited
 Owners		  Managing
Owner		  Limited
 Owners		  Managing
Owner		  Limited
Owners		  Limited
 Owners		  Controlling
Interests		  Total 
                            
Owners’ Capital, December 31, 2019 $17,797,600  $238,544  $73,748  $3,288,105  $151,133  $44,048  $900,583  $          -  $22,493,761 
                                     
Sale of Units  -   -   -  -   -   -   -   -   - 
Redemption of Units  (854,782)  -   -   (65,517)  -   -   -   -   (920,299)
Transfer of Units In(Out)  -   -   -   -    -   -   -   -   -  
Net increase/(decrease) in Owners’  -   -   -   -    -   -   -   -   -  
Capital resulting from operations attributable to controlling interests  (4,536,927)  (62,200)  (19,230)  (838,727)  (39,396)  (11,482)  (234,755)  -   (5,742,717)
                                     
Owners’ Capital, March 31, 2020 $12,405,891  $176,344  $54,518  $2,383,861  $111,737  $32,566  $665,828  $-  $15,830,745 
                                     
Owners’ Capital - Units, December 31, 2019  151,814   1,731   397   17,695   938   274   5,611         
                                     
Sale of Units (including transfers)  -   -   -   -   -   -   -         
Redemption of Units (including transfers)  (7,594)  -        (341)       -   -         
                                     
Owners’ Capital - Units, March 31, 2020  144,220   1,731   397   17,354   938   274   5,611         
                                     
Net asset value per unit at December 31, 2019 $117.23  $137.81      $185.82      $161.04  $160.50         
                                     
Change in net asset value per unit for the three months ended March 31, 2020  (31.21)  (35.94)      (48.45)      (41.97)  (41.84)        
                                     
Net asset value per unit at March 31, 2020 $86.02  $101.87      $137.37      $119.07  $118.66         

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

 

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


15

The Series of the Frontier Funds

Statements of OperationsChanges in Owners’ Capital

For the Three Months Ended June 30, 2019 and 2018 (unaudited)March 31, 2020 (Unaudited)

 

  Frontier Balanced Fund  Frontier Select Fund 
  6/30/2019  6/30/2018  6/30/2019  6/30/2018 
             
Investment income:            
Interest - net $13,502  $8,428  $-  $- 
                 
Total Income/(loss)  13,502   8,428   -   - 
                 
Expenses:                
Incentive Fees (rebate)  -   -   -   - 
Management Fees  5,286   22,566   -   - 
Service Fees - Class 1, 1A, 2 and 2A  154,061   237,810   26,562   33,273 
Risk analysis Fees  1,414   1,692   -   - 
Trading Fees  248,123   344,769   22,475   28,109 
                 
Total Expenses  408,884   606,837   49,037   61,382 
                 
Investment (loss) - net  (395,382)  (598,409)  (49,037)  (61,382)
                 
Realized and unrealized gain/(loss) on investments:                
Net realized gain/(loss) on futures, forwards and options  253,372   (257,661)  -   - 
Net unrealized gain/(loss) on private investment companies  563,390   858,677   176,441   57,428 
Net realized gain/(loss) on private investment companies  (14,004)  (60,632)  75,451   (78,570)
Net change in open trade equity/(deficit)  (94,279)  (187,927)  -   - 
Net realized gain/(loss) on swap contracts  -   -   -   - 
Net unrealized gain/(loss) on swap contracts  91,290   129,808   -   - 
Net realized gain/(loss) on U.S. Treasury securities  11,778   (21,050)  7,688   (4,883)
Net unrealized gain/(loss) on U.S. Treasury securities  (9,616)  3,423   (5,941)  308 
Trading commissions  (9,167)  (21,312)  -   - 
Change in fair value of investments in unconsolidated trading companies  (1,360)  296,049   63,183   (42,595)
                 
Net gain/(loss) on investments  791,404   739,375   316,822   (68,312)
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  396,022   140,966   267,785   (129,694)
                 
Less:  Operations attributable to non-controlling interests  -   -   -   - 
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $396,022  $140,966  $267,785  $(129,694)
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                
Class 1 $1.46  $0.28  $5.27  $(1.72)
Class 1AP $2.69  $1.36  $6.04  $(1.24)
Class 2 $3.62  $1.83  $8.98  $(1.72)
Class 2a $3.22  $1.65    N/A    N/A 
Class 3a $3.13  $1.65    N/A    N/A 
  Frontier Select Fund  Frontier Global Fund  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Non-     Class 1  Class 1AP  Class 2  Non-     Class 1  Class 1AP  Class 2  Non-    
  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total 
                                                       
Owners’ Capital, December 31, 2019 2,715,051  10,834  29,831  60,910    -   $2,816,626  $4,471,980  $33,047  $50,058  $293,159  $  -  $4,848,244  $2,295,623  $8,333  $28,593  $493,464  $479,024  3,305,037 
                                                                         
Sale of Units  -   -   -  $-   -   -   -   -   -   -   -   -   -   -   -   -   -   - 
Redemption of Units  (162,985)  -   -   (5,198)  -   (168,183)  (832,035)  -   -   -   -   (832,035)  (64,241)  -   -   -   -   (64,241)
Transfer of Units In(Out)  -   -   -       -   -   -   -   -   -   -   -   -   -   -   -   -   - 
Net increase/(decrease) in Owners’  -   -   -       -   -   -   -   -   -   -   -   -   -   -   -   -   - 
Capital resulting from operations attributable to controlling interests  42,318   233   641   1,497   -   44,689   429,227   3,907   5,918   34,657      $473,709   383,561   1,497   5,138   88,671   -   478,867 
                                                                         
Owners’ Capital, March 31, 2020 $2,594,384  $11,067  $30,472  $57,209  $             -  $2,693,132  $4,069,172  $36,954  $55,976  $327,816  $            -  $4,489,918  $2,614,943  $9,830  $33,731  $582,135  $579,310  $3,819,949 
                                                                         
Owners’ Capital - Units, December 31, 2019  40,793   138   288   585           34,003   214   260   1,520           23,526   73   186   3,213         
                                                                         
Sale of Units (including transfers)  -   -   -    -           -   -   -   -           -   -   -    -         
Redemption of Units (including transfers)  (2,346)  -   -   (47)          (6,127)  -   -   -           (640)  -   -   -         
                                                                         
Owners’ Capital - Units, March 31, 2020  38,447   138   288   538           27,876   214   260   1,520           22,886   73   186   3,213         
                                                                         
Net asset value per unit at December 31, 2019  66.56   78.51       103.94          $131.52  $154.43      $192.82          $97.54  $114.15      $153.59         
Change in net asset value per unit for the three months ended March 31, 2020  0.92   1.48       2.21           14.45   18.65       22.82           16.67   21.22       27.58         
Net asset value per unit at March 31, 2020 $67.48  $79.99      $106.15          $145.97  $173.08      $215.64          $114.21  $135.37      $181.17         

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

 

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


16

The Series of the Frontier Funds

Statements of OperationsCash Flows

For the Three Months Ended June 30,March 31, 2020 and March 31, 2019 and 2018 (unaudited)(Unaudited)

 

  Frontier Global Fund (formerly, Frontier Winton Fund)  Frontier Heritage Fund 
  6/30/2019  6/30/2018  6/30/2019  6/30/2018 
             
Investment income:            
Interest - net $-  $-  $-  $- 
                 
Total Income  -   -   -   - 
                 
Expenses:                
Incentive Fees (rebate)  -   -   -   - 
Management Fees  9,531   131,682   1,100   33,893 
Service Fees - Class 1, 1A, 2 and 2A  42,779   80,907   20,713   31,302 
Trading Fees  82,598   80,703   29,653   36,855 
                 
Total Expenses  134,908   293,292   51,466   102,050 
                 
Investment (loss) - net  (134,908)  (293,292)  (51,466)  (102,050)
                 
Realized and unrealized gain/(loss) on investments:                
Net unrealized gain/(loss) on private investment companies  865,806   -   375,448   22,440 
Net realized gain/(loss) on private investment companies  (366,129)  -   (67,182)  (83,005)
Net unrealized gain/(loss) on swap contracts  -   -   131,423   (85,737)
Net realized gain/(loss) on U.S. Treasury securities  (51,229)  (50,169)  (2,242)  (8,100)
Net unrealized gain/(loss) on U.S. Treasury securities  43,406   25,139   4,626   2,732 
Change in fair value of investments in unconsolidated trading companies  (23,742)  646,257   (6,966)  125,470 
                 
Net gain/(loss) on investments  468,112   621,227   435,107   (26,200)
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  333,204   327,935   383,641   (128,250)
                 
Less:  Operations attributable to non-controlling interests  -   -   (63,719)  (41,569)
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $333,204  $327,935  $447,360  $(86,681)
                 
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                
Class 1 $7.31  $4.06  $9.92  $(1.82)
Class 1AP $9.63  $5.58  $13.90  $(1.18)
Class 2 $12.00  $6.62  $16.50  $(1.57)
  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short
Commodity Fund		 
  March 31,
2020		  March 31,
2019		  March 31,
2020		  March 31,
2019		  March 31,
2020		  March 31,
2019		 
                   
Cash Flows from Operating Activities:                  
Net increase/(decrease) in capital resulting from operations $(2,251,871) $(203,945) $(22,210) $(178,571) $113,697  $(165,401)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                        
Change in:                        
Net change in ownership allocation of U.S. Treasury securities  464,949   1,620,832   (124,907)  446,301   (139,395)  (338,182)
Net unrealized gain/(loss) on swap contracts  2,111,698   86,648   -   -   (251,441)  17,437 
Net unrealized gain/(loss) on U.S. Treasury securities  (23,218)  18,038   1,929   (3,930)  1,916   2,979 
Net realized gain/(loss) on U.S. Treasuries securities  16,266   (15,071)  (7,304)  1,931   (5,194)  (4,109)
Net unrealized gain/(loss) on private investment companies  (115,286)  (442,738)  (246,694)  (64,219)  59,841   (410,350)
Net realized gain/(loss) on private investment companies  149,796   332,437   (235,137)  103,856   67,371   545,569 
(Purchases) sales of:                        
Sales of U.S. Treasury securities  171,210   973,376   468,240   -   404,529   390,642 
(Purchases) of U.S. Treasury securities  (550,460)  (1,043,914)  (309,637)  (323,654)  (213,319)  (34,463)
U.S. Treasury interest and premium paid/amortized  -   -   990   690   647   698 
(Purchases) of Private Investment Companies  (387,849)  (3,997,991)  333,863   (1,803,933)  (36,300)  (232,986)
Reduction of collateral in Swap contracts  (469,147)  -   -   -   -   - 
Sale of Private Investment Companies  2,546,860   2,847,023   410,024   1,428,047   96,524   326,194 
Increase and/or decrease in:                        
Investments in unconsolidated trading companies, at fair value  13,738   1,141,174   2,978   759,982   8,976   4,235 
Interest receivable  1,829   32,017   771   2,932   1,172   2,927 
Receivable from related parties  -   (3,199)  -   -   -   - 
Other assets  (463)  (31,288)  -   (56,644)  -   (1,503)
Incentive fees payable to Managing Owner  -   (10,897)  -   -   -   - 
Management fees payable to Managing Owner  -   (3,875)  -   (8,347)  -   - 
Trading fees payable to Managing Owner  (8,152)  (2,559)  (2,332)  (4,661)  (421)  (1,203)
Service fees payable to Managing Owner  (1,531)  (2,008)  (5)   (463)  -   (44)
Subscriptions in advance for service fee rebates  98  5,989   184   3,899   76   - 
Other liabilities  -   2,665   (14)  367   (321)  143 
                         
Net cash provided by (used in) operating activities  1,668,467   1,302,714   270,739   303,583   108,358   102,583 
                         
Cash Flows from Financing Activities:                        
Payment for redemption of units  (1,495,298)  (1,775,410)  (119,501)  (345,323)  (9,670)  (144,447)
Change in owner redemptions payable  -   -   -   -   (6,585)  7,855 
                         
Net cash provided by (used in) financing activities  (1,495,298)  (1,775,410)  (119,501)  (345,323)  (16,255)  (136,592)
                         
Net increase (decrease) in cash and cash equivalents  173,169   (472,696)  151,238   (41,740)  92,103   (34,009)
                         
Cash and cash equivalents, beginning of period  56,263   472,696   25,639   46,374   34,272   61,600 
Cash and cash equivalents, end of period $229,432  $-  $176,877  $4,634  $126,375  $27,591 

 

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


17

The Series of Frontier Funds

Statements of Changes in Owners’ CapitalCash Flows

For the SixThree Months Ended June 30,March 31, 2020 and March 31, 2019 (unaudited)(Unaudited)

 

  Frontier Diversified Fund  Frontier Masters Fund 
  Class 1  Class 2  Class 2  Class 3  Class 3   Non-     Class 1  Class 2  Class 2  Class 3  Class 3  Non-    
  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing
Owner		  Limited
Owners		 Controlling
Interests		  Total  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total 
                                           
Owners’ Capital, December 31, 2018 $1,703,556  $3,005  $7,669,749  $172,426  $6,607,774  $    -  $16,156,510  $1,484,478  $51,365  $1,241,610  $20,019  $2,774,661  $-  $5,572,133 
                                                         
Redemption of Units  (37,232)  -  (1,800,104)  (39,000)  (1,082,206)  -  (2,958,542)  (1,343,509)  (33,000)  (81,053)  -   (408,756)  -   (1,866,318)
Transfer of Units In(Out)  (175,458)  -   -   -   175,458   -   -   -   -   -   -   -   -   - 
Net increase/(decrease) in Owners’                                                        
Capital resulting from operations attributable to controlling interests  1,975   31   12,610   1,270   61,884   -   77,770   (17,838)  (1,915)  (46,076)  (642)  (97,897)  -   (164,368)
                                                         
Owners’ Capital, June 30, 2019 $1,492,841  $3,036  $5,882,255  $134,696  $5,762,910  $-  $13,275,738  $123,131  $16,450  $1,114,481  $19,377  $2,268,008  $-  $3,541,447 
                                                         
Owners’ Capital - Units, December 31, 2018  16,661   25   63,469   1,531   58,671           16,296   477   11,532   199   27,537         
                                                         
Redemption of Units (including transfers)  (2,088)  -   (15,299)  (349)  (8,101)          (14,886)  (319)  (827)  -   (4,287)        
                                                         
Owners’ Capital - Units, June 30, 2019  14,573   25   48,170   1,182   50,569           1,410   158   10,705   199   23,250         
                                                         
Net asset value per unit at December 31, 2018 $102.25      $120.84      $112.62          $91.10      $107.68      $100.77         
                                                         
Change in net asset value per unit for the six months ended June 30, 2019  0.19       1.27       1.34           (3.77)      (3.58)      (3.23)        
                                                         
Net asset value per unit at June 30, 2019 $102.44      $122.11      $113.96          $87.33      $104.10      $97.53         
  Frontier Balanced Fund  Frontier Select Fund 
  March 31,
2020		  March 31,
2019		  March 31,
2020		  March 31,
2019		 
             
Cash Flows from Operating Activities:            
Net increase/(decrease) in capital resulting from operations $(5,742,717) $(719,138) $44,689  $(41,066)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                
Change in:                
Net change in open trade equity, at fair value  114,076   76,833   -   - 
Net change in ownership allocation of U.S. Treasury securities  (125,149)  1,528,663   (103,949)  (270,667)
Net unrealized (gain)/loss on swap contracts  5,837,508   195,186   -   - 
Net unrealized (gain)/loss on U.S. Treasury securities  (1,596)  (14,684)  2,216   2,737 
Net realized (gain)/loss on U.S. Treasury securities  (20,156)  3,429   (5,292)  (3,463)
Net unrealized (gain)/loss on private investment companies  93,693   (903,551)  22,952   (82,768)
Net realized (gain)/loss on private investment companies  93,600   747,334   (7,923)  50,950 
(Purchases) sales of:                
Sales of U.S. Treasury securities  1,199,775   -   501,211   299,322 
(Purchases) of U.S. Treasury securities  (959,751)  (1,693,363)  (298,083)  (44,178)
U.S. Treasury interest and premium paid/amortized  6,311   11,360   -   - 
(Purchases) of Private Investment Companies  (937,631)  (7,114,581)  (115,441)  (212,825)
Sale of Private Investment Companies  2,403,311   9,087,067   290,105   374,648 
Increase and/or decrease in:                
Receivable from futures commission merchants  2,380,910   (26,764)  -   - 
Control of ownership of trading companies  (1,178,697)   -   -   - 
Investments in unconsolidated trading companies, at fair value  (4,227)  1,671,454   (80,195)  23,031 
Interest receivable  3,223   604   2,149   1,034 
Receivable from related parties  -   (292,131)  -   - 
Other assets  (1,100,000)  -   -   - 
Management fees payable to Managing Owner  320   (4,951)  -   - 
Interest payable to Managing Owner  939   (253)  132   37 
Trading fees payable to Managing Owner  (11,898)  (13,183)  (856)  (329)
Service fees payable to Managing Owner  (9,006)  (9,638)  (562)  (668)
Risk analysis fees payable  1,506   (50)  -   - 
Subscriptions in advance for service fee rebates  9,481   25,560   882   1,712 
Other liabilities  1,031   -   (819)  1,167 
                 
Net cash provided by (used in) operating activities  2,054,856   2,555,203   251,216   98,674 
                 
Cash Flows from Financing Activities:                
Payment for redemption of units  (920,299)  (2,557,903)  (168,184)  (144,628)
Change in owner redemptions payable  (39,059)  8,132   (6,875)  35,604 
                 
Net cash provided by (used in) financing activities  (959,358)  (2,549,771)  (175,059)  (109,024)
                 
Net increase (decrease) in cash and cash equivalents  1,095,498   5,432   76,157   (10,350)
                 
Cash and cash equivalents, beginning of period  118,506   37,556   61,345   25,072 
Cash and cash equivalents, end of period $1,214,004  $42,988  $137,502  $14,722 

 

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


18

 

The Series of Frontier Funds

Statements of Changes in Owners’ CapitalCash Flows

For the SixThree Months Ended June 30,March 31, 2020 and March 31, 2019 (unaudited)(Unaudited)

 

  Frontier Long/Short Commodity Fund    
  Class 2  Class 3  Class 1a  Class 2a  Class 3a  Non-    
  Managing Owner  Limited
Owners		  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Managing Owner  Limited
Owners		  Controlling Interests  Total 
                               
Owners’ Capital, December 31, 2018 $5,998  $78,098  $1,791,417  $20,051  $20,484  $165,985  $1,253  $361,921  $-  $2,445,207 
                                         
Redemption of Units  (500)  (19,593)  (135,785)  (2,315)  (4,000)  (54,416)  -   (54,845)  -   (271,454)
Net increase/(decrease) in Owners’                                        
Capital resulting from operations attributable to controlling interests  (32)  (1,312)  (9,467)  (1,562)  (1,341)  (15,866)  (79)  (26,626)  -   (56,285)
                                         
Owners’ Capital, June 30, 2019 $5,466  $57,193  $1,646,165  $16,174  $15,143  $95,703  $1,174  $280,450  $-  $2,117,468 
                                         
Owners’ Capital - Units, December 31, 2018  61   790   17,283   352   307   2,495   18   5,180         
                                         
Redemption of Units (including transfers)  (6)  (209)  (1,354)  (46)  (65)  (956)  -   (895)        
                                         
Owners’ Capital - Units, June 30, 2019  55   581   15,929   306   242   1,539   18   4,285         
                                         
Net asset value per unit at December 31, 2018      98.82   103.66   56.80       66.52       69.83         
                                         
Change in net asset value per unit for the six months ended June 30, 2019      (0.30)  (0.31)  (3.95)      (4.29)      (4.38)        
                                         
Net asset value per unit at June 30, 2019     $98.52  $103.34  $52.86      $62.24      $65.45         
  Frontier Global Fund  Frontier Heritage Fund 
  March 31,
2020		  March 31,
2019		  March 31,
2020		  March 31,
2019		 
             
Cash Flows from Operating Activities:            
Net increase/(decrease) in capital resulting from operations $473,709  $240,639  $579,154  $(28,392)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                 
Change in:                
Net change in ownership allocation of U.S. Treasury securities  (279,777)  (2,868,141)  (39,622)  (100,254)
Net unrealized gain/(loss) on swap contracts  -   -   (206,847)  50,194 
Net unrealized gain/(loss) on U.S. Treasury securities  5,491   72,893   951   7,239 
Net realized gain/(loss) on U.S. Treasuries securities  (11,493)  (77,673)  (6,794)  (8,382)
Net unrealized gain/(loss) on private investment companies  (249,122)  (688,108)  (416,114)  (140,824)
Net realized gain/(loss) on private investment companies  (309,658)  -   (4,371)  6,746 
(Purchases) sale of:                
Sales of U.S. Treasury Securities  647,979   6,105,545   370,523   645,710 
(Purchases) of U.S. Treasury securities  (336,006)  (2,132,656)  (260,978)  (278,310)
(Purchases) of Private Investment Companies  (120,247)  (4,423,706)  (241,319)  (1,083,866)
Sale of Private Investment Companies  1,305,756   -   391,974   192,052 
Increase and/or decrease in:                
Investments in unconsolidated trading companies, at fair value  563   3,973,037   11,984   695,297 
Interest receivable  778   50,798   1,455   7,952 
Management fees payable to Managing Owner  -   (42,705)  -   (9,201)
Interest payable to Managing Owner  788   (2,620)  397   (619)
Trading fees payable to Managing Owner  (5,030)  (5,212)  (19)  1,068 
Service fees payable to Managing Owner  (1,476)  (3,915)  524  (626)
Subscriptions in advance for service fee rebates  1,502  9,187   1,703   4,880 
Other liabilities  140   129,745   (436)  2,103 
                 
Net cash provided by (used in) operating activities  1,123,897   337,108   182,165   (37,233)
                 
Cash Flows from Financing Activities:                
Proceeds from sale of units  -    -   -   - 
Payment for redemption of units  (832,035)  (986,101)  (64,241)  (85,652)
Change in owner redemptions payable  (71,379)  -   (9,735)  14,345 
                 
Net cash provided by (used in) financing activities  (903,414)  (986,101)  (73,976)  (71,307)
                 
Net increase (decrease) in cash and cash equivalents  220,483   (648,993)  108,189   (108,540)
                 
Cash and cash equivalents, beginning of period  27,532   951,485   44,011   135,096 
Cash and cash equivalents, end of period $248,015  $302,492  $152,200  $26,556 

 

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


19

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2019 (unaudited)

 

  Frontier Balanced Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Non-    
  Limited Owners  Limited Owners  Managing Owner  Limited Owners  Managing Owner  Limited Owners  Limited Owners Controlling Interests  Total 
                            
Owners’ Capital, December 31, 2018 $25,703,922  $355,112  $125,021  $4,403,354  $251,097  $88,076  $893,515  $      -  $31,820,097 
                                     
Redemption of Units (including transfers)  (5,764,427)  -   (43,500)  (401,810)  (69,000)  (45,068)  (16,647)  -   (6,340,452)
Transfer of Units In(Out)  (24,405)  -   -   24,405   -   -   -   -   - 
Net increase/(decrease) in Owners’                                    
Capital resulting from operations attributable to controlling interests  (329,660)  1,421   (195)  1,050   (48)  781   3,535   -   (323,116)
                                     
Owners’ Capital, June 30, 2019 $19,585,430  $356,533  $81,326  $4,026,999  $182,049  $43,789  $880,403  $-  $25,156,529 
                                     
Owners’ Capital - Units, December 31, 2018  218,514   2,647   691   24,336   1,601   562   5,718         
                                     
Redemption of Units (including transfers)  (50,190)  -   (243)  (2,169)  (445)  (284)  (107)        
                                     
Owners’ Capital - Units, June 30, 2019  168,324   2,647   448   22,167   1,156   278   5,611         
                                     
                                     
Net asset value per unit at December 31, 2018  117.63   134.16       180.94       156.81   156.26         
                                     
Change in net asset value per unit for the six months ended June 30, 2019  (1.27)  0.54       0.72       0.68   0.65         
                                     
Net asset value per unit at June 30, 2019 $116.36  $134.69      $181.66      $157.49  $156.91         

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


 

The Series of Frontier Funds

Statements of Changes in Owners’ Capital 

For the Six Months Ended June 30, 2019 (unaudited)

  Frontier Select Fund  Frontier Global Fund (Formerly Frontier Winton Fund)  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Non-     Class 1  Class 1AP  Class 2  Non-     Class 1  Class 1AP  Class 2  Non-    
  Limited
Owners		  Limited
Owners		  

Managing

 Owners

  

Limited

 Owner

  Controlling Interests  Total  Limited
Owners		  Limited
Owners		  Managing
Owner		  Limited
Owners		  Controlling
Interests		  Total  Limited
Owners		  Limited
Owners		  

Managing

 Owners

  

Limited

 Owners 

  Controlling Interests  Total 
Owners’ Capital, December 31, 2018 $3,709,130  $1,897  $46,368  $99,467  $-  $3,856,862  $7,755,444  $32,082  $107,598  $313,167  $-  $8,208,291  $3,331,725  $1,006  $46,961  $573,992  $511,718  $4,465,402 
                                                                         
Redemption of Units  (353,695)  -   (10,000)  (34,191)  -   (397,886)  (2,700,785)  -   (52,000)  (12,892)  -   (2,765,677)  (736,567)  -   (15,000)  (49,741)  -   (801,308)
Operations attributable to non-controlling interests                          -                    -   -   -   -   -   39,383  39,383
Transfer of Units In(Out)  (9,665)  9,665   -   -       -   -                       (7,458)  7,458   -   -   -   - 
Net increase (decrease) in Owners’                                                                        
Capital resulting from operations attributable to controlling interests  210,815   10,294   2,346   3,264       226,719   529,333   3,469   7,172   33,869             -   573,843   244,181   8,217   3,240   60,228   -   315,866 
                                                                         
Owners’ Capital, June 30, 2019 $3,566,250  $12,191  $38,714  $68,540  $            -  $3,685,695  $5,583,992  $35,551   62,770  $334,144  $-  $6,016,457  $2,839,339  $9,223  $35,201  $584,479  $551,101  $4,019,343 
                                                                         
Owners’ Capital - Units, December 31, 2018  51,939   23   429   919           58,946   214   575   1,673           33,374   9   308   3,763         
                                                                         
Sale of Units (including transfers)                                                                        
Redemption of Units (including transfers)  (5,038)  115   (97)  (334)          (20,070)  -   (272)  (62)          (7,467)  64   (101)  (324)        
                                                                         
Owners’ Capital - Units, June 30, 2019  46,901   138   332   585           38,876   214   303   1,611           25,907   73   207   3,439         
                                                                         
Net asset value per unit at December 31, 2018  71.41   82.48       108.18           131.57   149.92       187.17           99.83   111.78       152.53         
                                                                         
Change in net asset value per unit for the six months ended June 30, 2019  4.62   5.86       8.78           12.07   16.21       20.31           9.77   14.56       17.43         
                                                                         
Net asset value per unit at June 30, 2019 $76.03  $88.34      $116.96          $143.64  $166.13      $207.48          $109.60  $126.34      $169.96         

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


The Series of Frontier Funds

Statements of Cash Flows

For the Six Months Ended June 30, 2019 and June 30, 2018 (unaudited)

  Frontier Diversified Fund  Frontier Masters Fund  Frontier
Long/Short Commodity Fund		 
  June 30,
2019		  June 30,
2018		  June 30,
2019		  June 30,
2018		  June 30,
2019		  June 30,
2018		 
                   
Cash Flows from Operating Activities:                  
Net increase/(decrease) in capital resulting from operations $77,770  $(1,325,447) $(164,368) $(1,572,735) $(56,285) $(347,738)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                        
Change in:                        
Net change in ownership allocation of U.S. Treasury securities  1,441,552   (425,459)  155,629   1,352,179   (245,581)  (186,271)
Net unrealized (gain)/loss on swap contracts  39,055   (513,328)          43,201   (35,886)
Net unrealized (gain)/loss on U.S. Treasury securities  425   3,864   (3,472)  17,059   (395)  (4,012)
Net realized (gain)/loss on U.S. Treasury securities  590   36,355   (5,397)  40,171   (2,705)  29,901 
Net unrealized (gain)/loss on private investment companies  (929,678)  1,526,351   (135,339)  1,210,157   (714,483)  164,066 
Net realized (gain)/loss on private investment companies  449,834   (71,595)  (99,767)  (84,407)  702,242   152,040 
(Purchases) sales of:                        
Sales of U.S. Treasury securities  1,406,847   1,223,057   154,803   1,349,480   519,007   1,009,865 
Purchase of U.S. Treasury securities  (1,487,212)  (1,841,423)  (537,781)  (2,041,104)  (204,172)  (887,337)
U.S. Treasury interest and premium paid/amortized  -   18,064   2,156   16,569   1,135   8,360 
Purchase of Private Investment Companies  (4,595,325)  (2,709,650)  (1,805,043)  (2,398,470)  (951,165)  (802,678)
Reduction of collateral in Swap contracts  1   1,100,000           -   - 
Sale of Private Investment Companies  4,959,128   3,903,152   3,618,017   4,196,296   1,067,767   1,418,369 
Increase and/or decrease in:                        
Investments in unconsolidated trading companies, at fair value  1,142,867   967,760   738,593   479,590   15,401   3,567 
Interest receivable  28,193   (20,732)  (4,593)  13,797   1,468   (1,057)
Receivable from related parties  -   -   -   -   -   - 
Other assets  (6,153)  -   -   2,974   -   (6,779)
Incentive fees payable to Managing Owner  6,380   (12,847)  -   -   60,871   - 
Management fees payable to Managing Owner  (3,875)  99   (8,347)  60   -   - 
Interest payable to Managing Owner  -   -   -   -   -   81 
Trading fees payable to Managing Owner  (7,845)  (14,577)  (13,028)  (18,180)  (513)  (2,545)
Service fees payable to Managing Owner  (2,034)  (807)  (1,549)  (915)  (47)  (144)
Subscriptions in advance for service fee rebates  2,675   -   3,665   -   -   - 
Other liabilities  -   (24,866)  1,305   2,100   521   - 
                         
Net cash provided by (used in) operating activities  2,523,195   1,817,971   1,895,485   2,564,621   236,268   511,802 
                         
Cash Flows from Financing Activities:                        
Payment for redemption of units  (2,958,542)  (1,832,218)  (1,866,318)  (2,995,839)  (271,454)  (610,125)
Change in owner redemptions payable  -   -   -   112,593   -   10,694 
                         
Net cash provided by (used in) financing activities  (2,958,542)  (1,832,218)  (1,866,318)  (2,883,246)  (271,454)  (599,431)
                         
Net increase (decrease) in cash and cash equivalents  (435,347)  (14,247)  29,167   (318,625)  (35,186)  (87,629)
                         
Cash and cash equivalents, beginning of period  472,695   189,890   46,374   411,695   61,600   152,200 
Cash and cash equivalents, end of period $37,348  $175,643  $75,541  $93,070  $26,414 $64,571 

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


The Series of Frontier Funds

Statements of Cash Flows

For the Six Months Ended June 30, 2019 and June 30, 2018 (unaudited)

  Frontier Balanced Fund  Frontier Select Fund 
  June 30,
2019		  June 30,
2018		  June 30,
2019		  June 30,
2018		 
Cash Flows from Operating Activities:            
Net increase/(decrease) in capital resulting from operations $(323,116) $(3,564,239) $226,719  $(1,101,822)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                
Change in:                
Net change in open trade equity, at fair value  178,512   61,810   -   - 
Net change in ownership allocation of U.S. Treasury securities  1,389,637   (838,524)  (483,648)  490,040 
Net unrealized (gain)/loss on swap contracts  103,896   (1,129,650)  -   - 
Net unrealized (gain)/loss on U.S. Treasury securities  (5,068)  6,540   8,678   11,835 
Net realized (gain)/loss on U.S. Treasury securities  (8,349)  44,907   (11,151)  12,538 
Net unrealized (gain)/loss on private investment companies  (1,466,941)  3,149,240   (259,209)  961,333 
Net realized (gain)/loss on private investment companies  761,338   (236,606)  (24,501)  (59,566)
(Purchases) sales of:                
Sales of U.S. Treasury securities  728,520   1,519,248   711,661   421,844 
Purchases of U.S. Treasury securities  (2,072,160)  (3,228,823)  (532,907)  (899,134)
U.S. Treasury interest and premium paid/amortized  24,862   31,901   -   6,817 
Purchase of Private Investment Companies  (8,269,446)  (5,716,331)  (986,377)  (2,177,315)
Sale of Private Investment Companies  13,419,925   7,996,499   1,856,177   3,206,205 
Reduction of collateral in Swap contracts  -   2,000,000       - 
Increase and/or decrease in:                
Receivable from futures commission merchants  (285,900)  5,098,083   -   - 
Investments in unconsolidated trading companies, at fair value  1,738,769   732,257   (64,729)  58,711 
Interest receivable  1,224   (50,921)  (6,102)  557 
Incentive fees payable to Managing Owner  -   (40,189)  -   - 
Management fees payable to Managing Owner  (5,089)  130   -   - 
Interest payable to Managing Owner  (1,490)  4,289   335   (378)
Trading fees payable to Managing Owner  (25,695)  (30,220)  (692)  (5,879)
Service fees payable to Managing Owner  (11,564)  (23,581)  (363)  (4,748)
Risk analysis fees payable  867   (198)  -   - 
Due from Managing Owner  -   184,106       - 
Subscriptions in advance for service fee rebates  38,353   -   3,071   - 
Other liabilities  192   29,253   8,624   (865)
                 
Net cash provided by (used in) operating activities  5,911,277   5,998,981   445,586   920,173 
                 
Cash Flows from Financing Activities:                
Payment for redemption of units  (6,340,452)  (5,828,511)  (397,886)  (993,005)
Change in owner redemptions payable  404,514   (21,260)  3,415   - 
                 
Net cash provided by (used in) financing activities  (5,935,938)  (5,849,771)  (394,471)  (993,005)
                 
Net increase (decrease) in cash and cash equivalents  (24,661)  149,210   51,115   (72,832)
                 
Cash and cash equivalents, beginning of period  37,556   164,332   25,072   114,973 
Cash and cash equivalents, end of period $12,895  $313,542  $76,187  $42,141 

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


The Series of Frontier Funds

Statements of Cash Flows

For the Six Months Ended June 30, 2019 and June 30, 2018 (unaudited)

  Frontier Global Fund (Formerly Frontier Winton Fund)  Frontier Heritage Fund 
  June 30, 2019  June 30, 2018  June 30, 2019  June 30, 2018 
             
Cash Flows from Operating Activities:            
Net increase/(decrease) in capital resulting from operations $573,843  $(1,006,113) $355,249  $(937,347)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                
Change in:                
Net change in ownership allocation of U.S. Treasury securities  (1,984,466)  (590,960)  (269,385)  198,750 
Net unrealized (gain)/loss on swap contracts  -   -   (81,229)  90,533 
Net unrealized (gain) loss on U.S. Treasury securities, at fair value  29,487   (52,629)  2,613   (3,677)
Net realized (gain) loss on U.S. Treasury securities, at fair value  (26,444)  205,194   (6,140)  32,599 
Net unrealized gain/(loss) on private investment companies  (1,553,914)  -   (516,272)  519,737 
Net realized gain/(loss) on private investment companies  366,129   -   73,928   81,298 
(Purchases) sale of:                
Sales of U.S. Treasury Securities  7,982,042   6,903,212   1,153,896   1,096,550 
Purchases of U.S. Treasury Securities  (3,068,733)  (6,626,880)  (693,759)  (1,204,398)
U.S. Treasury interest and premium paid/amortized  -   66,615   -   10,909 
Purchase of Private Investment Companies  (4,888,335)  -   (728,774)  (624,245)
Sale of Private Investment Companies  111,332   -   715,892   629,348 
Increase and/or decrease in:                
Investments in unconsolidated trading companies, at fair value  4,273,691   3,015,420   702,444   655,422 
Interest receivable  60,550   (6,139)  4,013   1,902 
Receivable from related parties  -   58,146   -   - 
Incentive fees payable to Managing Owner  -   -   697   - 
Management fees payable to Managing Owner  (42,705)  (11,598)  (9,201)  (4,033)
Interest payable to Managing Owner  (7,464)  (9,431)  (603)  (646)
Trading fees payable to Managing Owner  (1,231)  (19,924)  278   (4,752)
Service fees payable to Managing Owner  (4,877)  (5,484)  (444)  (3,548)
Payables to related parties  -   (152,219)  -   - 
Subscriptions in advance for service fee rebates  11,786   -   6,996   - 
Other liabilities  8,661   (23,894)  1,495   8,106 
                 
Net cash provided by (used in) operating activities  1,839,352   1,743,316   711,694   542,508 
                 
Cash Flows from Financing Activities:                
Payment for redemption of units  (2,765,677)  (2,640,052)  (801,308)  (709,855)
Change in owner redemptions payable  12,892   71,202   4,696   - 
                 
Net cash provided by (used in) financing activities  (2,752,785)  (2,568,850)  (796,612)  (709,855)
                 
Net increase (decrease) in cash and cash equivalents  (913,433)  (825,534)  (84,918)  (167,347)
                 
Cash and cash equivalents, beginning of period  951,485   1,403,125   135,096   259,161 
Cash and cash equivalents, end of period $38,052  $577,591  $50,178  $91,814 

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


The Series of the Frontier Funds

Notes to Financial Statements (Unaudited)

 

1. Organization and Purpose

 

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

 

Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, andas may be amended from time to time (“Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust.

 

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

 

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, (formerly Frontier Winton Fund), and Frontier Heritage Fund, (each a “Series” and collectively, the “Series”). The Trust, with respect to the Series, may issue additional Series of Units.

 

The Trust, with respect to each Series:

 

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

 

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

 


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

 

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

 

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

20

 

 ●maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold)sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and

 

●all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund will be classified as Class 3 or Class 3a Units of such Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) business day to be received by the Managing Owner prior to 4:00 PM in New York.

 

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


 

As of June 30, 2019,March 31, 2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund separates Units into a maximum of three separate Classes—Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes—Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus entities, 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 entities, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

21

 

Each of the Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.

 

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or willful misconduct.

 

2. Significant Accounting Policies

 

The following are the significant accounting policies of the Series of the Trust.

Basis of Presentation—The Series of the Trust follow U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946.

Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus entities, authorize certain Trading Advisors to place trades and manage assets at pre-determinedpredetermined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee (for closed Series only), all of which is allocated to the Series if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series.


Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies.

 

Galaxy Plus entities are co-mingled investment vehicles. In addition to the Series, there are other non-affiliated investors in Galaxy Plus entities. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Series’ ownership percentage in Galaxy Plus.Plus entities. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by week basis which could also result in frequent changes in the consolidating Series. Such fluctuations make consolidating the financial statements of the Galaxy Plus entities both impractical and misleading. Non-consolidation of these Galaxy Plus entities presents a more useful financial statement for the readers. As such, management has decided that presenting Galaxy Plus entities on a non-consolidated basis as investments in other investments companies (a “fund of funds” approach) is appropriate and preferable to the users of these financial statements. Refer to Note 5 for additional disclosures related to these private investment companies.

 

Change in Consolidation Method—In February 2017, the Trust elected to change its method by which it consolidates its investments in the Galaxy Plus entities and applied to its December 31, 2016 financial statements. Prior to the change, any Series that had a controlling interest in a Galaxy Plus entity would consolidate the assets and liabilities of that entity into its Statement of Financial Condition and the profit and loss into the Statement of Operations. The Managing Owner believes that this treatment does not provide meaningful data to the end user of the financial statements. As such, all investments in Galaxy Plus entities are accounted for using the net asset value as the practical expedient. In accordance with ASC 250 (Accounting Changes and Error Corrections), the comparative financial statements as of and for the three and nine months ended September 30, 2016 have been adjusted to apply the new method retrospectively. This impacted management fees, incentive fees (rebate), net realized gain/(loss) on futures, forwards and options, net change in open trade equity/(deficit), net unrealized gain/(loss) on private investment companies, net realized gain/(loss) on private investment companies, and operations attributable to non-controlling interests on the Statement of Operations. We also note that there was no impact to total capital or net increase/(decrease) in capital resulting from operations attributable to controlling interests.

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

 

Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted.

 

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Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasuries and assets held at a futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series and shown net on the statement of operations. The amount reflected in the financial statements of the Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those Series may be zero.

 

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

 


Receivable From Futures Commission Merchants —The—The Series of the Trust deposit assets with aan FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of June 30, 2019March 31, 2020 and December 31, 20182019 included restricted cash for margin requirements of $2,969,013$1,322,883 and $1,717,065,$2,890,330 respectively, for the Frontier Balanced Fund.

 

Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the statements of financial condition as open trade equity (deficit) for futures and forwards as there exists a right of offset of unrealized gains or losses in accordance with ASC 210,Balance Sheet (“ASC 210”) and Accounting Standards Update (ASU) 2013-01,Balance Sheet (Topic 210).

 

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

 

Purchase and Sales of Private Investment Companies—– The Series are able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the private investment companies is determined by the Sponsor and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceeds and the fair value calculated by the Sponsor and is recorded as net unrealized gain/(loss) on private investment companies on the statements of operations.

 

Foreign Currency Transactions —Transactions—The Series’ functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

 

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

 

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific Series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Companies or Galaxy Plus entities.


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Investments and Swaps—The Trust, with respect to the Series, records investment transactions on a trade date basis and at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews, compares and approves current day pricing of the commodity trading advisor (“CTA”) positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts.

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740Income Taxes (“(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust, with respect to the Series’, financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series. Series, for the quarter ended March 31, 2020.

The 20152016 through 20182019 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

 

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

 

Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations.

 

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the CTAscommodity trading advisors up to 10% of New Net Profits (as defined in the prospectus).new net profits. If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period for a particular series, then the Managing Owner is obligated to return any amount in excess to the Series. The returned amounts are recorded as Incentive Fee (Rebate) on the Statements of Operations.

 


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Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents.

 

Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2017, 2018 and 2018,2019 the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 20192020 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $23,105, $31,765, $136, $296,547, $14,233, $145,067$22,629, $296, $31,725, $329,179, $17,777, $151,527 and $53,155$58,835 for the Frontier Diversified, Masters, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of June 30, 2019 and $20,430, $28,100, none, $258,194, $11,162, $133,281 and $46,159 respectively, as of DecemberMarch 31, 2018.2020,

 

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

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

 

Owner redemptions payable—Funds payable for existing owner redemption requests are recorded as capital subtractions at the NAV per unit on the second business day following receipt or request.

Recently IssuedAdopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impacts ASU 2018-13 will have on the financial statements.

 

Subsequent Events—Events—The Series follow the provisions of ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 11.

 

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3. Fair Value Measurements

 

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

 

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

 

Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.

 

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

Swap contracts are reported at fair value uponvalue.  Valuation reports are generated and disseminated daily reports from the counterparty. In addition, a third party takesswap counterparty to the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price.third-party administrator.  The fair value measurements ofis applied by the swap contracts are valued using unadjusted inputs that were not internally developed.third-party administrator to calculate the daily performance.  The Managing Owner reviews the third-party administrator performance reports and compares approved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, in addition to reports from the administrator. Differences in prices exceeding 5%any noticeable exceptions are investigated.  Unexplainable differencesUnexplained exceptions are escalated to the Managing Owner’s Valuation Committee for further evaluation and resolution.  Swap contracts are reported at fair value using Level 3 inputs.


Investment in Unconsolidated Trading Companies.This investment represents the fair value of the allocation of cash, futures, forwards, options and swaps to each respective Series relative to its trading allocations from unconsolidated Trading Companies. A Series may redeem its investment in any of the Trading Companies on a daily basis at the Trading Company’s stated net asset value. Each of the Series, all of which are under the same management as the Trading Companies, has access to the underlying positions of the Trading Companies, and as such, the level determination is reflected on that look-through basis. Any redemption of an investment in a Trading Company classified as Level 3 will reflect that classification of the underlying investment owned by the Trading Company. As such, the Series report investments in unconsolidated Trading Companies at fair value using the corresponding inputs of the underlying securities of the Trading Companies which results in the Series reporting the corresponding level determination from the inputs of the Trading Company.

 

Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. Investments in private investment companies are excluded from the leveling table below.

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The following table summarizes investment in each Series measured at fair value on a recurring basis as of June 30, 2019March 31, 2020 and December 31, 20182019 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.

 

March 31, 2020 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Total
Fair Value		 
             
Frontier Diversified Fund                
Investment in Unconsolidated Trading Companies $10,412  $    -  $-  $10,412 
Swap Contracts  -   -   4,742,032   4,742,032 
U.S. Treasury Securities  20,858   -   -   20,858 
Frontier Masters Fund                
Investment in Unconsolidated Trading Companies  8,027   -   -   8,027 
U.S. Treasury Securities  16,080   -   -   16,080 
Frontier Long/Short Commodity Fund                
Investment in Unconsolidated Trading Companies  5,735   -   -   5,735 
Swap Contracts  -   -   613,963   613,963 
U.S. Treasury Securities  11,489   -   -   11,489 
Frontier Balanced Fund                
Investment in Unconsolidated Trading Companies  55,094   -   -   55,094 
Open Trade Equity (Deficit)  2,108   -   -   2,108 
Swap Contracts  -   -   7,285,942   7,285,942 
U.S. Treasury Securities  110,365   -   -   110,365 
Frontier Select Fund      -         
Investment in Unconsolidated Trading Companies  6,240   -   579,310   585,550 
U.S. Treasury Securities  12,500   -   -   12,500 
Frontier Global Fund      -         
Investment in Unconsolidated Trading Companies  11,255   -   -   11,255 
U.S. Treasury Securities  22,547   -   -   22,547 
Frontier Heritage Fund                
Investment in Unconsolidated Trading Companies  6,907   -   -   6,907 
Swap Contracts  -   -   3,094,855   3,094,855 
U.S. Treasury Securities  13,836   -   -   13,836 

December 31, 2019 Level 1
Inputs		  Level 2
Inputs		  Level 3
Inputs		  Total
Fair Value		 
 Level 1 Level 2 Level 3 Total          
June 30, 2019 Inputs Inputs Inputs Fair Value 
Frontier Diversified Fund                  
Investment in Unconsolidated Trading Companies $18,043  $-  $-  $18,043  $24,150  $-  $-  $24,150 
Swap Contracts  -   -   5,881,358   5,881,358   -   -   6,384,583   6,384,583 
U.S. Treasury Securities  191,059   -   -   191,059   99,605   -   -   99,605 
Frontier Masters Fund                                

Investment in Unconsolidated Trading Companies

  36,495   -   -   36,495   11,005   -   -   11,005 
U.S. Treasury Securities  386,444   -   -   386,444   45,391   -   -   45,391 
Frontier Long/Short Commodity Fund                                
Investment in Unconsolidated Trading Companies  12,761   -   -   12,761   14,711   -   -   14,711 
Swap Contracts  -   -   435,901   435,901   -   -   362,521   362,521 
U.S. Treasury Securities  135,126   -   -   135,126   60,673   -   -   60,673 
Frontier Balanced Fund                                

Investment in Unconsolidated Trading Companies

  6,230   -   -   6,230   50,867   -   -   50,867 
Open Trade Equity (Deficit)  103,838   (61,691)  -   42,147   57,057   59,127   -   116,184 
Swap Contracts  -   -   10,691,012   10,691,012   -   -   11,944,753   11,944,753 
U.S. Treasury Securities  65,967   -   -   65,967   209,799   -   -   209,799 
Frontier Select Fund                                

Investment in Unconsolidated Trading Companies

  36,809   -   551,100   587,909   26,331   -   479,024   505,355 
U.S. Treasury Securities  389,753   -   -   389,753   108,603   -   -   108,603 
Frontier Global Fund                                

Investment in Unconsolidated Trading Companies

  18,384   -   -   18,384   11,818   -   -   11,818 
U.S. Treasury Securities  194,665   -   -   194,665   48,741   -   -   48,741 
Frontier Heritage Fund                                
Investment in Unconsolidated Trading Companies  24,242   -   -   24,242   18,891   -   -   18,891 
Swap Contracts  -   -   3,036,673   3,036,673   -   -   2,888,008   2,888,008 
U.S. Treasury Securities  256,696   -   -   256,696   77,916   -   -   77,916 

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  Level 1  Level 2  Level 3  Total 
December 31, 2018 Inputs  Inputs  Inputs  Fair Value 
Frontier Diversified Fund            
Investment in Unconsolidated Trading Companies $1,157,971  $2,939  $-  $1,160,910 
Swap Contracts  -   -   5,920,414   5,920,414 
U.S. Treasury Securities  1,553,261   -   -   1,553,261 
Frontier Masters Fund                
Investment in Unconsolidated Trading Companies  772,732   2,356   -   775,088 
U.S. Treasury Securities  152,384   -   -   152,384 
Frontier Long/Short Commodity Fund                
Investment in Unconsolidated Trading Companies  28,163   -   -   28,163 
Swap Contracts  -   -   479,102   479,102 
U.S. Treasury Securities  202,415   -   -   202,415 
Frontier Balanced Fund                
Investment in Unconsolidated Trading Companies  1,739,609   5,390   -   1,744,999 
Open Trade Equity (Deficit)  242,860   (22,201)  -   220,659 
Swap Contracts  -   -   10,794,908   10,794,908 
U.S. Treasury Securities  123,409   -   -   123,409 
Frontier Select Fund                
Investment in Unconsolidated Trading Companies  11,462   -   511,718   523,180 
U.S. Treasury Securities  82,386   -   -   82,386 
Frontier Global Fund (formerly Frontier Winton Fund)                
Investment in Unconsolidated Trading Companies  4,280,023   12,052   -   4,292,075 
U.S. Treasury Securities  3,126,551   -   -   3,126,551 
Frontier Heritage Fund                
Investment in Unconsolidated Trading Companies  724,614   2,072   -   726,686 
Swap Contracts  -   -   2,955,444   2,955,444 
U.S. Treasury Securities  443,921   -   -   443,921 

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.”companies”. During the three months ended June 30,March 31, 2020 and the year ended December 2019, all identified Level 3 assets were components of the Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, and Frontier Heritage Fund.

For the SixThree Months Ending March 31, 2020

Swaps 

  Frontier Balanced Fund  Frontier Long/Short Commodity Fund 
Balance of recurring Level 3 assets as of January 1, 2020 $11,944,753  $362,521 
Total gains or losses (realized/unrealized):        
Included in earnings-realized  -   - 
Included in earnings-unrealized  (5,837,507)  251,442 
Proceeds from collateral reduction  -   - 
Purchase of investments  1,178,696   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
         
Balance of recurring Level 3 assets as of March 31, 2020 $7,285,942  $613,963 

  Frontier Diversified Fund  Frontier Heritage Fund 
Balance of recurring Level 3 assets as of January 1, 2020 $6,384,583  $2,888,009 
Total gains or losses (realized/unrealized):        
Included in earnings-realized  -   - 
Included in earnings-unrealized  (2,111,698)  206,846 
Proceeds from collateral reduction  -   - 
Purchase of investments  469,147   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
         
Balance of recurring Level 3 assets as of March 31, 2020 $4,742,032  $3,094,855 

28

For the Three Months ending June 30, 2019

SwapsMarch 31, 2020

 

  Frontier Balanced
Fund		  Frontier Long/Short Commodity
Fund		 
Balance of recurring Level 3 assets as of January 1, 2019 $10,794,908  $479,102 
Total gains or losses (realized/unrealized):        
Included in earnings-realized      - 
Included in earnings-unrealized  (103,896)  (43,201)
Proceeds from collateral reduction  -   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
Balance of recurring Level 3 assets as of June 30, 2019 $10,691,012  $435,901 

  Frontier Diversified
Fund		  Frontier Heritage
Fund		 
Balance of recurring Level 3 assets as of January 1, 2019 $5,920,414  $2,955,444 
Total gains or losses (realized/unrealized):        
Included in earnings-realized  -   - 
Included in earnings-unrealized  (39,055)  81,229 
Proceeds from collateral reduction  -   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
Balance of recurring Level 3 assets as of June 30, 2019 $5,881,359  $3,036,673 


For the Six Months ending June 30, 2019
Investments in Unconsolidated Trading Companies:

 

  

Frontier Select

Fund

 
Balance of recurring Level 3 assets as of January 1, 2019 $511,718 
Change in fair value of investments in unconsolidated trading companies  39,383 
Purchases of investments of unconsolidated trading companies  - 
Change in ownership allocation  - 
Transfers in and/or out of Level 3  - 
Balance of recurring Level 3 assets as of June 30, 2019 $551,101 

  Frontier Select Fund 
    
Balance of recurring Level 3 assets as of January 1, 2020 $479,024 
Change in fair value of investments in unconsolidated trading companies  100,286 
Proceeds from sales of investments of unconsolidated trading companies  - 
Purchases of investments of unconsolidated trading companies  - 
Change in ownership allocation  - 
Transfers in and/or out of Level 3  - 
Balance of recurring Level 3 assets as of March 31, 2020 $579,310 

 

For the Year Ended December 31, 20182019

Swaps

 

  

Frontier Balanced

Fund

  Frontier Long/Short Commodity Fund 
Balance of recurring Level 3 assets as of January 1, 2018 $11,340,959  $397,039 
Total gains or losses (realized/unrealized):        
Included in earnings-realized  -   - 
Included in earnings-unrealized  1,453,948   82,063 
Proceeds from collateral reduction  (1,999,999)  - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
Balance of recurring Level 3 assets as of December 31, 2018 $10,794,908  $479,102 

 

 Frontier Diversified Fund  

Frontier Heritage

Fund

  Frontier Balanced Fund  Frontier Long/Short Commodity Fund 
Balance of recurring Level 3 assets as of January 1, 2018 $6,376,472  $3,094,367 
Balance of recurring Level 3 assets as of January 1, 2019 $10,794,908  $479,102 
Total gains or losses (realized/unrealized):                
Included in earnings-realized  -   -   -   - 
Included in earnings-unrealized  643,941   (138,923)  1,149,845   (116,581)
Proceeds from collateral reduction  (1,099,999)  -   -   - 
Change in ownership allocation  -   -   -   - 
Transfers in and/or out of Level 3  -   -   -   - 
Balance of recurring Level 3 assets as of December 31, 2018 $5,920,414  $2,955,444 
        
Balance of recurring Level 3 assets as of December 31, 2019 $11,944,753  $362,521 

  Frontier Diversified Fund  Frontier Heritage Fund 
Balance of recurring Level 3 assets as of January 1, 2019 $5,920,414  $2,955,444 
Total gains or losses (realized/unrealized):        
Included in earnings-realized  -   - 
Included in earnings-unrealized  464,169   (67,435)
Proceeds from collateral reduction  -   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
         
Balance of recurring Level 3 assets as of December 31, 2019 $6,384,583  $2,888,009 

 

29

For the Year Ended December 31, 20182019

Investments in Unconsolidated Trading Companies:Companies

 

 

Frontier Select

Fund

  Frontier Select Fund 
   
Balance of recurring Level 3 assets as of January 1, 2018 $579,073 
Balance of recurring Level 3 assets as of January 1, 2019 $511,718 
Change in fair value of investments in unconsolidated trading companies  (67,355)  (32,694)
Purchases of investments of unconsolidated trading companies  -   - 
Change in ownership allocation  -   - 
Transfers in and/or out of Level 3  -   - 
Balance of recurring Level 3 assets as of December 31, 2018 $511,718 
Balance of recurring Level 3 assets as of December 31, 2019 $479,024 

 

The Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the sixthree months ended June 30, 2019,March 31, 2020, the Trust did not transfer any assets between Levels 1, 2 or 3.


 

The amounts reflected in the change in ownership allocation result from changes in ownership in the underlying Trading Companies at the Series level, which have resulted in changes in consolidation or de-consolidation by the Series. The ownership in the Trading Companies is accounted for under the equity method, which approximates fair value. The Frontier Heritage Fund and the Frontier Select Fund jointly own the Frontier Brevan Howard swap. The Frontier Heritage Fund owns the majority interest in the Frontier Brevan Howard swap.

 

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at June 30, 2019:March 31, 2020.

 

  Frontier Diversified  Frontier Long/Short Commodity  Frontier Balanced  Frontier Heritage 
  Fund  Fund  Fund  Fund 
Swap Contracts $(39,055) $(43,201) $(103,896) $81,229 
                 
  

Frontier Select

Fund

             
Investments in Unconsolidated Trading Companies $37,710             
  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Balanced Fund  Frontier Heritage Fund 
Swap Contracts $(2,111,698) $251,441  $(5,837,508) $206,846 

  Frontier Select Fund 
Investments in Unconsolidated Trading Companies $100,286 

 

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2018:  2019.

 

  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Balanced Fund  Frontier Heritage Fund 
Swap Contracts $643,941  $82,063  $1,453,948  $(138,923)
                 
  

Frontier Select

Fund

             
Investments in Unconsolidated Trading Companies $(67,355)            
  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Balanced Fund  Frontier Heritage Fund 
Swap Contracts $464,169  $(116,581) $1,149,845  $(67,436)

  Frontier Select Fund 
Investments in Unconsolidated Trading Companies $(32,694)

 

30

4. Swap Contracts

 

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

 

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

 

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of June 30, 2019,March 31, 2020, and December 31, 2018,2019, approximately 2.0%7.43% and 1.6%,2.4% respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the statementStatements of financial condition.Financial Condition. The cash held with the counterparty is not restricted.


 

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

 

To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce thea Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Indexindex exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of June 30, 2019,March 31, 2020, the Frontier Balanced Fund, the Frontier Diversified Fund, the Frontier Long/Short Commodity Fund and the Frontier Heritage Fund, had $6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Series’ Statements of Financial Conditions under advance on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank AG.

 

31

The Series have invested in the following swaps as of and for the sixthree months ended June 30, 2019:March 31, 2020:

 

  

Frontier

Balanced Fund

  

Frontier

Diversified Fund

  Frontier 
Long/Short
Commodity
Fund		  Frontier
 Heritage
Fund		 
 Total Return
Swap		  Total Return
 Swap		  Total Return
Swap		  Total Return
Swap		 
Counterparty Deutsche Bank AG  Deutsche Bank AG  Deutsche Bank AG  Deutsche
Bank AG		 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $86,000  $86,000  $29,950  $975,450 
Swap Value $10,605,012  $5,747,765  $431,716  $1,929,799 
Investee Returns Total Returns  Total Returns  Total Returns  Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $(103,896) $(39,056) $(43,201) $81,229 
Fair Value as of June 30, 2019 $10,691,012  $5,833,765  $461,666  $2,905,249 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)

  Frontier Balanced Fund  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Heritage Fund 
  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap 
Counterparty DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $1,264,696  $555,147  $29,950  $975,450 
Swap Value $6,021,245  $4,186,885  $584,013  $2,119,405 
Investee ReturnsTotal Returns Total Returns Total Returns Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $(5,837,508) $(2,111,698) $

251,441

  $

206,846

 
Fair Value as of March 31, 2020 $7,285,942  $4,742,032  $613,963  $3,094,855 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)

 

The Series have invested in the following swaps as of and for the year ended December 31, 2018:2019:

 

 Frontier 
Balanced
Fund		  Frontier
 Diversified
Fund		  Frontier 
Long/Short
Commodity
Fund		  Frontier 
Heritage
Fund		  Frontier Balanced Fund  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Heritage Fund 
 Total Return
Swap		 Total Return
Swap		 Total Return
Swap		 Total Return
Swap		  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap 
Counterparty Deutsche
Bank AG		 Deutsche
Bank AG		 Deutsche
Bank AG		 Deutsche
Bank AG		  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056  $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023   7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $86,000  $86,000  $29,950  $978,950  $86,000  $86,000  $29,950  $975,450 
Swap Value $10,708,908  $5,834,414  $449,152  $1,976,494  $11,858,754  $6,298,583  $332,571  $1,912,559 
Investee Returns Total Returns Total Returns Total Returns Total Returns  Total Returns  Total Returns  Total Returns  Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0  $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $1,453,948  $643,941  $82,063  $(138,924) $1,149,846  $464,169  $(116,581) $(67,435)
Fair Value as of December 31, 2018 $10,794,908  $5,920,414  $479,102  $2,955,444 
Fair Value as of December 31, 2019 $11,944,754  $6,384,583  $362,521  $2,888,009 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000) $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)

 

32

 

 

5. Investments in Unconsolidated Trading Companies and Private Investment Companies

 

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

 

The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of March 31, 2020 and December 31, 2019:

  As of March 31, 2020  As of December 31, 2019 
  Percentage of     Percentage of    
  Series Total     Series Total    
  Capital Invested in     Capital Invested in    
Series Unconsolidated Trading Companies  Fair Value  Unconsolidated Trading Companies  Fair Value 
             
Frontier Diversified Series —                
Frontier Trading Companies II and XXXVIII  0.13% $10,412   0.20% $24,150 
                 
Frontier Masters Fund —                
Frontier Trading Companies II and XXXVIII  0.38% $8,027   0.49% $11,005 
                 
Frontier Long/Short Commodity Fund —                
Frontier Trading Company XXXVIII  0.40% $5,735   1.10% $14,711 
                 
Frontier Balanced Fund —                
Frontier Trading Companies II and XXXVIII  0.35% $55,094   0.23% $50,867 
                 
Frontier Select Fund —                
Frontier Trading Companies XXXVIII and XXXIX  21.74% $585,550   17.94% $505,355 
                 
Frontier Global Fund —                
Frontier Trading Companies II and XXXVIII  0.25% $11,255   0.25% $11,818 
                 
Frontier Heritage Fund —                
Frontier Trading Companies II and XXXVIII  0.18% $6,907   0.57% $18,891 

The Galaxy Plus structure isentities are made up ofa feeder funds in which the Series investsinvest and master trading entities into which the feeder funds invest. No investment held by athe Galaxy Plus master trading entity is greater than 5% of anythe Series’ total capital.

 

The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of June 30, 2019 and December 31, 2018:

33

 

 As of June 30, 2019  As of December 31, 2018 
Series Percentage of
Series Total
Capital Invested in
Unconsolidated Trading Companies		  Fair Value  Percentage of
Series Total
Capital Invested in
Unconsolidated Trading Companies		  Fair Value 
Frontier Diversified Series —                
Frontier Trading Companies II and XXXVIII  0.14% $18,043   7.19% $1,160,910 
                 
Frontier Masters Fund —                
Frontier Trading Companies II and XXXVIII  1.03% $36,495   13.91% $775,088 
                 
Frontier Long/Short Commodity Fund —                
Frontier Trading Company XXXVIII  0.60% $12,761   1.15% $28,163 
                 
Frontier Balanced Fund —                
Frontier Trading Companies II and XXXVIII  0.03% $6,230   5.48% $1,744,999 
                 
Frontier Select Fund —                
Frontier Trading Companies XXXVIII and XXXIX  15.96% $587,909   13.56% $523,180 
                 
Frontier Global Fund —                
Frontier Trading Companies II and XXXVIII  0.30% $18,384   52.30% $4,292,075 
                 
Frontier Heritage Fund —                
Frontier Trading Companies II and XXXVIII  0.60% $24,242   16.27% $726,686 

 


The following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies and private investment companies for the six and three months ended June 30, 2019March 31, 2020 and 2018. March 31, 2019.

 

 Trading
Commissions		 Realized
Gain/(Loss)		 Change in
Unrealized
Gain/(Loss)		 Net Income
(Loss)		  Three Months Ended March 31, 2020 

Three Months Ended March 31, 2019

 
Frontier Balanced Fund —                
 Realized
Gain/(Loss)		 Change in
Unrealized
Gain/(Loss)		 Net Income
(Loss)		 Realized
Gain/(Loss)		 Change in
Unrealized
Gain/(Loss)		 Net Income
(Loss)		 
Frontier Balanced Fund             
Frontier Trading Company II, LLC $-  $-  $(138,899) $(138,899) $-  $-  $-  $-  $(139,281) $(139,281)
Frontier Trading Company XXXVIII, LLC  -   -   (732)  (732)  -   (23,301)  (23,301)  -   1,011   1,011 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (22,370)  635,922   201,668   815,220   101,444   260,300   361,744   120,519   463,481   584,000 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (17,895)  46,071   (78,813)  (50,637)  (6,308)  (41,608)  (47,916)  26,341   (66,548)  (40,207)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (173,562)  (1,016,391)  (35,635)  (1,225,588)  (310,754)  (332,663)  (643,417)  2,226,558   (2,658,416)  (431,858)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (18,736)  1,292,724   (74,396)  1,199,592   78,918   (356,986)  (278,068)  756,923   110,042   866,965 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   286,677   286,677   7,506   (259,157)  (251,651)  -   (18,750)  (18,750)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (49,975)  (936,608)  185,088   (801,495)  25,548   (298,885)  (273,337)  (637,224)  5,649   (631,575)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (25,311)  24,230   (121,258)  (122,339)  -   -   -   (1,081)  (15,747)  (16,828)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (6,786)  45,834   20,454   59,502   (23,195)  166,919   143,724   (14,485)  27,339   12,854 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (45,648)  986,448   (396,129)  544,671   33,241   768,387   801,628   (209,955)  41,574  ��(168,381)
Total $(360,283) $1,078,230  $(151,975) $565,972  $(93,600) $(116,994) $(210,594) $2,267,596  $(2,249,646) $17,950 
                                        

Frontier Global Fund —

      
Frontier Global Fund                        
Frontier Trading Company II LLC $-  $-  $(337,431) $(337,431) $-  $-  $-  $-  $(313,867) $(313,867)
Frontier Trading Company XXXVIII, LLC  -   -   (14,574)  (14,574)  -   (5,077)  (5,077)  -   (14,396)  (14,396)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (153,661)  1,206,683   134,763   1,187,785   309,658   249,122   558,780   211,587   476,520   688,107 
Total $(153,661) $1,206,683  $(217,242) $835,780  $309,658  $244,045  $553,703  $211,587  $148,257  $359,844 
                                        
Frontier Select Fund —                
Frontier Select Fund                        
Frontier Trading Company XXXIX, LLC $-  $-  $39,383  $39,383  $-  $-  $-  $-  $(24,336) $(24,336)
Frontier Trading Company XXXVIII, LLC  -   -   (1,672)  (1,672)  -   (6,529)  (6,529)  -   (1,137)  (1,137)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (33,911)  222,739   (47,068)  141,760   24,954   236,122   261,076   17,422   83,870   101,292 
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (44,428)  259,691   (73,313)  141,950   (17,031)  (259,074)  (276,105)  (77,573)  8,099   (69,474)
Total $(78,339) $482,430  $(82,670) $321,421  $7,923  $(29,481) $(21,558) $(60,151) $66,496  $6,345 
                                        
Frontier Heritage Fund —                
Frontier Heritage Fund                        
Frontier Trading Company II, LLC $-  $-  $(59,538) $(59,538) $-  $-  $-  $-  $(54,170) $(54,170)
Frontier Trading Company XXXVIII, LLC  -   -   (4,379)  (4,379)  -   (6,103)  (6,103)  -   (2,782)  (2,782)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (41,734)  245,955   67,220   271,441   33,962   142,571   176,533   45,575   154,712   200,287 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (49,687)  284,089   (63,499)  170,903   (29,591)  273,543   243,952   (85,749)  19,541   (66,208)
Total $(91,421) $530,044  $(60,196) $378,427  $4,371  $410,011  $414,382  $(40,174) $117,301  $77,127 
                                        
Frontier Long/Short Commodity Fund                                        
Frontier Trading Company XXXVIII, LLC $-  $-  $(1,029) $(1,029) $-  $(4,706) $(4,706) $-  $(560) $(560)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (37,828)  (379,307)  229,576   (187,559)  (61,736)  (33,649)  (95,385)  242,599   (307,997)  (65,398)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   142,869   142,869   820   (137,741)  (136,921)  -   (29,334)  (29,334)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (24,026)  125,486   (44,529)  56,931   (6,455)  111,549   105,094   (38,688)  (1,661)  (40,349)
Total $(61,854) $(253,821) $326,887  $11,212  $(67,371) $(64,547) $(131,918) $203,911  $(339,552) $(135,641)
                
Frontier Diversified Fund —                
Frontier Trading Company II, LLC $-  $-  $(76,616) $(76,616)
Frontier Trading Company XXXVIII, LLC  -   -   (8,996)  (8,996)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (19,559)  379,795   103,977   464,213 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (14,073)  28,047   (48,988)  (35,014)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (108,956)  (912,164)  268,101   (753,019)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (20,998)  811,110   (57,565)  732,547 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   144,793   144,793 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (35,222)  (573,436)  114,005   (494,653)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (13,254)  10,639   (7,477)  (10,092)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (7,948)  45,318   20,527   57,897 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (34,002)  603,982   (196,808)  373,172 
Total $(254,012) $393,291  $254,953  $394,232 
                
Frontier Masters Fund —                
Frontier Trading Company II, LLC $-  $-  $(65,952) $(65,952)
Frontier Trading Company XXXVIII, LLC  -   -   (1,558)  (1,558)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (31,863)  231,766   69,765   269,668 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (81,588)  (163,846)  (188,680)  (434,114)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (17,916)  77,286   47,910   107,280 
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (38,936)  214,809   (83,135)  92,738 
Total $(170,303) $360,015  $(221,650) $(31,938)

 


  Six Months Ended June 30, 2018 
  Trading
Commissions		  Realized
Gain/(Loss)		  Change in
Unrealized
Gain/(Loss)		  Net Income
(Loss)		 
Frontier Balanced Fund —                
Frontier Trading Company II, LLC $-  $-  $67,960  $67,960 
Frontier Trading Company XXXVIII, LLC  -   -   (11,476)  (11,476)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (43,897)  (212,016)  6,928  (248,985)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (31,385)  (158,568)  1,111  (188,842)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (228,504)  369,476  13,457   154,429
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (36,360)  (138,701)  10,762  (164,299)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (123)  -  (3,585)  (3,708)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (73,528)  (905,417)  60,858   (918,087)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (62,551)  (72,693)  12,369 (122,875)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (13,928)  (42,692)  3,166  (53,454)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (137,437)  (1,613,467)  86,852  (1,664,052)
Total $(627,713) $(2,774,078) $248,402  $(3,153,389)
                 
Frontier Winton Fund —                
Frontier Trading Company II, LLC $-  $-  $(186,556) $(186,556)
Frontier Trading Company XXXVIII, LLC  -   -   (66,205)  (66,205)
Total $- $-  $(252,761) $(252,761)
                 
Frontier Select Fund —                
Frontier Trading Company XXXIX, LLC $  $-  $(41,578) $(41,578)
Frontier Trading Company XXXVIII, LLC  -   -   4,561  4,561
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (61,704)  (525,255)  67,762  (519,197)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (80,091)  (94,447)  (208,032)  (382,570)
Total $(141,795) $(619,702) $30,745 $556,214 
                 
Frontier Heritage Fund —                
Frontier Trading Company II, LLC $  $-  $6,663 $6,663
Frontier Trading Company XXXVIII, LLC  -   -   (4,695)  (4,695)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (95,378)  (550,409)  44,752  (601,035)
Total $(95,378) $(550,409) $46,720 $(599,067)
                 
Frontier Long/Short Commodity Fund                
Frontier Trading Company XXXVIII, LLC $-  $-  $(1,812) $(1,812)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (55,540)  (106,500)  (43,080)  7,880
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (681)  -   (55,507)  (56,188)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (44,616)  (236,487)  13,305  (267,798)
Total $(56,221) $(129,987) $(87,094) $(317,918)
                 
Frontier Diversified Fund —                
Frontier Trading Company II, LLC $-  $-  $6,222 $6,222
Frontier Trading Company XXXVIII, LLC  -   -   (1,820)  (1,820)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (21,609)  (70,821)  2,309  (90,121)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (19,728)  (71,041)  1,112  (89,657)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (88,315)  190,256  (45,473)  56,468
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (19,585)  (13,078)  8,453  (24,210)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -  (62)  3,942   3,880 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (41,686)  (336,175)  1,742   (376,119)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (37,240)  (25,944)  5,361  (57,823)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (15,597)  (42,800)  3,166  (55,231)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (72,444)  (772,916)  23,417  (821,943)
Total $(316,204) $(1,142,581) $8,431  $(1,450,354)
                 
Frontier Masters Fund —                
Frontier Trading Company II, LLC $-  $-  $(94,552) $(94,552)
Frontier Trading Company XV, LLC  -   -   -  -
Frontier Trading Company XXXVIII, LLC  -   -   17,218   17,218 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -  (76,396)  68,413)  (7,983)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (149,210)  263,055  (103,684)  10,161
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (100,181)  (726,950)  13,640  (813,491)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (47,188)  (87,994)  (179,255)  (314,437)
Total $(296,579) $(628,285) $(278,220) $(1,203,084)


34

  Three Months Ended June 30, 2019 
  Trading
Commissions		  Realized
Gain/(Loss)		  Change in
Unrealized
Gain/(Loss)		  Net Income
(Loss)		 
Frontier Balanced Fund —                
Frontier Trading Company II, LLC $-  $-  $382  $382 
Frontier Trading Company XXXVIII, LLC  -   -   (1,743)  (1,743)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (7,956)  500,989   (261,813)  231,220 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (7,282)  9,117   (12,265)  (10,430)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (104,751)  (3,311,760)  2,622,781   (793,730)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (9,768)  526,833   (184,438)  332,627 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   305,427   305,427 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (21,074)  (328,285)  179,439   (169,920)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  -   -   (105,511)  (105,511)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (2,518)  56,051   (6,885)  46,648 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (21,136)  1,171,891   (437,703)  713,052 
Total $(174,485) $(1,375,164) $2,097,671  $548,022 
                 
Frontier Global Fund —                
Frontier Trading Company II LLC $-  $-  $(23,564) $(23,564)
Frontier Trading Company XXXVIII, LLC  -   -   (178)  (178)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (99,335)  940,770   (341,757)  499,678 
Total $(99,335) $940,770  $(365,499) $475,936 
                 
Frontier Frontier Select Fund —                
Frontier Trading Company XXXIX, LLC $-  $-  $63,719  $63,719 
Frontier Trading Company XXXVIII, LLC  -   -   (535)  (535)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (18,439)  189,845   (130,938)  40,468 
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (20,114)  312,950   (81,412)  211,424 
Total $(38,553) $502,795  $(149,166) $315,076 
                 
Frontier Heritage Fund —                
Frontier Trading Company II, LLC $-  $-  $(5,368) $(5,368)
Frontier Trading Company XXXVIII, LLC  -   -   (1,597)  (1,597)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (24,706)  183,352   (87,492)  71,154 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (21,610)  341,761   (83,040)  237,111 
Total $(46,316) $525,113  $(177,497) $301,300 
                 
Frontier Long/Short Commodity Fund                
Frontier Trading Company XXXVIII, LLC $-  $-  $(469) $(469)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (22,997)  (636,737)  537,573   (122,161)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   172,203   172,203 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (11,740)  151,888   (42,868)  97,280 
Total $(34,737) $(484,849) $666,439  $146,853 
                 
Frontier Diversified Fund —                
Frontier Trading Company II, LLC $-  $-  $(711) $(711)
Frontier Trading Company XXXVIII, LLC  -   -   (403)  (403)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (9,102)  292,763   (123,620)  160,041 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (6,039)  5,628   (8,508)  (8,919)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (67,124)  (2,123,330)  1,689,124   (501,330)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (11,268)  351,448   (127,805)  212,375 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   152,338   152,338 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (15,429)  (184,729)  103,314   (96,844)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  -   -   (700)  (700)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (2,990)  50,835   (9,848)  37,997 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (16,278)  685,223   (254,362)  414,583 
Total $(128,230) $(922,162) $1,418,819  $368,427 
                 
Frontier Masters Fund —                
Frontier Trading Company II, LLC $-  $-  $(4,502) $(4,502)
Frontier Trading Company XXXVIII, LLC  -   -   (1,781)  (1,781)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (17,715)  168,928   (60,575)  90,638 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (41,279)  (1,069,832)  878,048   (233,063)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (7,140)  82,721   (37,533)  38,048 
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (15,303)  283,646   (88,757)  179,586 
Total $(81,437) $(534,537) $684,900  $68,926 

  Three Months Ended March 31, 2020  

Three Months Ended March 31, 2019

 
  Realized
Gain/(Loss)		  Change in
Unrealized
Gain/(Loss)		  Net Income
(Loss)		  Realized
Gain/(Loss)		  Change in
Unrealized
Gain/(Loss)		  Net Income
(Loss)		 
Frontier Diversified Fund                        
Frontier Trading Company II, LLC $-  $-  $-  $-  $(75,905) $(75,905)
Frontier Trading Company XXXVIII, LLC  -   (1,009)  (1,009)  -   (8,593)  (8,593)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  88,315   152,312   240,627   76,575   227,597   304,172 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (10,522)  (20,678)  (31,200)  14,385   (40,480)  (26,095)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (268,381)  (144,944)  (413,325)  1,169,334   (1,421,023)  (251,689)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  109,016   (298,106)  (189,090)  449,932   70,240   520,172 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  3,721   (159,251)  (155,530)  -   (7,545)  (7,545)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (53,371)  (32,636)  (86,007)  (408,500)  10,691   (397,809)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  -   -   -   (2,615)  (6,777)  (9,392)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (12,007)  134,066   122,059   (10,475)  30,375   19,900 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (6,567)  484,523   477,956   (98,965)  57,554   (41,411)
Total $(149,796) $114,277  $(35,519) $1,189,671  $(1,163,866) $25,805 
                         
Frontier Masters Fund                        
Frontier Trading Company II, LLC $-  $-  $-  $-  $(61,450) $(61,450)
Frontier Trading Company XXXVIII, LLC  -   (6,482)  (6,482)  -   223   223 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  28,637   104,600   133,237   48,690   130,340   179,030 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (248,608)  88,339   (160,269)  865,677   (1,066,728)  (201,051)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (21,114)  156,235   135,121   (16,211)  85,443   69,232 
Galaxy Plus Fund - TT Feeder Fund (531) LLC  5,948   (102,480)  (96,532)  (92,470)  5,622   (86,848)
Total $(235,137) $240,212  $5,075  $805,686  $(906,550) $(100,864)

 


  Three Months Ended June 30, 2018 
  Trading
Commissions		  Realized
Gain/(Loss)		  Change in
Unrealized
Gain/(Loss)		  Net Income
(Loss)		 
Frontier Balanced Fund —                
Frontier Trading Company II, LLC $-  $-  $302,930  $302,930 
Frontier Trading Company XXXVIII, LLC  -   -   (6,881)  (6,881)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (13,073)  (158,310)  72,621   98,762 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (14,629)  131,409   (38,608)  78,172 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (141,047)  (430,258)  805,293   233,988 
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (14,285)  333,049   (63,193)  255,571
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (123)  -   (38,889)  (39,012)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (37,583)  292,017   423,980   678,414 
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (21,107)  (149,161)  18,142   (152,126)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (7,130)  (53,768)  25,289   (35,609)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (63,787)  (25,610)  (33,194)  (122,591)
Total $(312,764) $(60,632) $1,467,490  $1,094,094 
                 
Frontier Winton Fund —                
Frontier Trading Company II LLC $-  $-  $675,380  $675,380 
Frontier Trading Company XXXVIII, LLC  -   -   (29,123)  (29,123)
Total $-  $-  $646,257  $646,257 
                 
Frontier Select Fund —                
Frontier Trading Company XXXIX, LLC $-  $-  $(41,578) $(41,578)
Frontier Trading Company XXXVIII, LLC  -   -   (1,017)  (1,017)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (10,721)  23,055   37,712   50,046
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (42,595)  (12,170)  (16,423)  (71,188)
Total $(53,316) $10,885  $(21,306) $(63,737)
                 
Frontier Heritage Fund —                
Frontier Trading Company II, LLC $-  $-  $129,198  $129,198 
Frontier Trading Company XXXVIII, LLC  -   -   (3,728)  (3,728)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (42,603)  (5,832)  (12,130)  (60,565)
Total $(42,603) $(5,832) $113,340  $64,905 
                 
Frontier Long/Short Commodity Fund                
Frontier Trading Company XXXVIII, LLC $-  $-  $(1,870) $(1,870)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (25,765)  (63,680)  (118,815)  29,370 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (681)  -   (148,965)  (149,646)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (19,032)  (6,922)  (3,573)  (29,527)
Total $(45,478) $(70,602) $(35,593) $(151,673)
                 
Frontier Diversified Fund —                
Frontier Trading Company II, LLC $-  $-  $156,848  $156,848 
Frontier Trading Company XXXVIII, LLC  -   -   (2,803)  (2,803)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (5,137)  (52,919)  24,207   (33,849)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (9,617)  72,926   (21,449)  41,860 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (41,617)  (209,611)  350,445   99,217 
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (9,912)  (139,185)  (24,276)  104,997 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   (62)  (13,567)  (13,629)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (20,301)  132,708   177,519   (289,926)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (11,738)  (64,178)  8,247   (67,669)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (7,950)  (53,876)  25,289   (35,537)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (31,712)  3,362   (22,990)  (51,340)
Total $(137,984) $(32,465) $657,470  $487,021 
                 
Frontier Masters Fund —                
Frontier Trading Company II, LLC $-  $-  $148,044  $(94,552)
Frontier Trading Company XXXVIII, LLC  -   -   8,804   - 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -     
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (70,572)  (207,046)  370,789   93,171 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (44,250)  (27,294)  (16,449)  (87,993)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (9,581)  27,308   35,040   52,767 
Total $(124,403) $(207,032) $546,228  $214,793 

35

 


The Series’ investments in private investment companies as of March 31, 2020 have certain redemption and liquidity restrictions which are described in the following table:

 

  Redemptions Redemptions Liquidity
  Notice Period Permitted Restrictions
Frontier Diversified Fund
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursDailyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursDailyNone
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC24 hoursDailyNone
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC24 hoursDailyNone
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC24 hoursDailyNone
Galaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursDailyNone
Galaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursDailyNone
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC24 hoursDailyNone
       
Frontier MastersDiversified Fund
Trend Following
Galaxy Plus Fund - TT Feeder Fund (531) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC24 hoursDailyNone
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursDailyNone
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC24 hoursDailyNone
Frontier Long/Short Commodity Fund      
Multi-Strategy      
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursDailyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours Daily None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None
Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursDailyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursDailyNone
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC24 hoursDailyNone
Trend Following      
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None
Option Trading      
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC 24 hours Daily None
       
Frontier SelectMasters Fund
Trend Following
Galaxy Plus Fund - TT Feeder Fund (531) LLC24 hoursWeeklyNone
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC24 hoursDailyNone
Frontier Heritage Fund      
Multi-Strategy      
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily  None
Frontier Long/Short Commodity Fund
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours Daily None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None
Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours Daily None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours DailyNone
Trend Following      
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily  None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC 24 hours DailyNone
       
Frontier Select Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None
Frontier Heritage Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None
Frontier Global Fund      
Trend Following      
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None

Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisors to the Trust.

Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

Effective April 1, 2020, Doherty Advisors became a new major advisor for Frontier Select Fund and Frontier Masters Fund.


36

 

6. Transactions with Affiliates

 

The Managing Owner contributes funds to the Trust, with respect to the Series, in order to have a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no management fees or management fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Frontier Balanced Fund Class 1AP and 2a Units, aggregated, and each of the Frontier Long/Short Commodity Fund, Frontier Diversified Fund and Frontier Masters Fund. The 1% interest in these specific Series is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the general units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase limited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

 

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management fee equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 0.5% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a, and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner.

 

As of the date of this report, for a Series that has invested in a swap, a Trading Advisor does not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2019March 31, 2020 and December 31, 2018,2019, the management fee embedded in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, (iv) swaps owned by Frontier Select Fund was 1.00% per annum, and (v) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee was accrued on the relevant notional amount of the swap.


The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.

 

Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pays to the Managing Owner an FCM fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

37

 

Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2019March 31, 2020 and December 31, 2018,2019, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap.

 

Service Fees—Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents.

 


38

The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2019.2020. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $23,105, $31,765, $136, $296,547, $14,233, $145,067$22,629, $296, $31,725, $329,179, $17,777, $151,527 and $53,155$58,835 for the Frontier Diversified, Masters, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively.respectively  

 

The following table summarizes fees earned by the Managing Owner for the three and six months ended June 30,March 31, 2020 and March 31, 2019, and 2018:respectively.

 

Three Months Ended June 30, 2019 Incentive (Rebate) Fees  Management Fee  Service Fee  Trading Fee 
Three Months Ended March 31, 2020 Incentive (Rebate) Fees  Management Fee  Service Fee  Trading Fee 
                  
Frontier Diversified Fund $    -  $-  $11,366  $126,026  $   -  $   -  $7,707  $103,933 
Frontier Masters Fund  -   2,072   2,268   58,718   -   -   595   33,055 
Frontier Long/Short Commodity Fund  -   -   152   14,365   -   -   111   9,640 
Frontier Balanced Fund  -   5,286   154,061   248,123   -   5,020   125,308   198,985 
Frontier Select Fund  -   -   26,562   22,475   -   -   20,160   16,955 
Frontier Global Fund  -   9,531   42,779   82,598   -   -   30,441   55,555 
Frontier Heritage Fund  -   1,100   20,713   29,653   -   -   18,013   29,905 

 

Three Months Ended June 30, 2018 Incentive Fees (rebate)  

Management 

Fees

  Risk Analysis Fees  Service Fees  Trading Fees 
Three Months Ended March 31, 2019 Incentive (Rebate) Fees  Management Fee  Service Fee  Trading Fee 
                      
Frontier Diversified Fund $   -  $13,229  $    -  $14,689  $143,613  $   -  $2,668  $12,029  $130,304 
Frontier Masters Fund  -   28,862   -   12,929   105,998   -   5,593   7,486   67,318 
Frontier Long/Short Commodity Fund  -   -   -   407   21,519   -   -   162   13,852 
Frontier Balanced Fund  -   22,566   1,692   237,810   344,769   -   8,079   170,865   279,337 
Frontier Select Fund  -   -   -   33,273   28,109   -   -   25,505   22,632 
Frontier Winton Fund  -   131,682   -   80,907   80,703 
Frontier Global Fund  -   29,148   52,123   42,715 
Frontier Heritage Fund  -   33,893   -   31,302   36,855   -   6,189   23,185   27,093 

 

Six Months Ended June 30, 2019 Incentive (Rebate) Fees  Management Fee  Service Fee  Trading Fee 
             
Frontier Diversified Fund $    -  $2,668  $23,395  $256,330 
Frontier Masters Fund  -   7,665   9,754   126,036 
Frontier Long/Short Commodity Fund  -   -   314   28,217 
Frontier Balanced Fund  -   13,365   324,926   527,460 
Frontier Select Fund  -   -   52,067   45,107 
Frontier Global Fund  -   38,679   94,902   125,313 
Frontier Heritage Fund  -   7,289   43,898   56,746 

Six Months Ended June 30, 2018 Incentive Fees (rebate)  

Management 

Fees

  Risk Analysis Fees  Service Fees  Trading Fees 
                
Frontier Diversified Fund $1,881  $24,792  $-  $30,804  $308,763 
Frontier Masters Fund  -   61,211   -   27,898   240,046 
Frontier Long/Short Commodity Fund  -   -   -   1,064   46,212 
Frontier Balanced Fund  145,134   42,902   3,529   500,791   728,945 
Frontier Select Fund  -   -   -   72,962   65,703 
Frontier Winton Fund  -   262,342   -   175,167   163,278 
Frontier Heritage Fund  1,394   69,874   -   68,410   79,147 

The following table summarizes fees payable to the Managing Owner as of June 30, 2019March 31, 2020 and December 31, 2018.2019.

 

 Incentive Fees  Management Fees  Interest Fees  Service Fees  Trading Fees  Risk Analysis Fees 
As of March 31, 2020 Incentive Fees  Management Fees  Interest Fees  Service Fees  Trading Fees 
                        
Frontier Diversified Fund $     -  $-  $-  $2,464  $36,982  $-  $   -  $-  $-  $1,861  $27,725 
Frontier Masters Fund  -   -   -   201   14,956   -   -   -   -   199   9,341 
Frontier Long/Short Commodity Fund  -   -   -   4   4,793   -   -   -   -   -   3,047 
Frontier Balanced Fund  -   8,828   -   45,227   76,075   9,994   -   9,115   1,044   32,629   58,281 
Frontier Select Fund  -   -   335   8,212   7,120   -   -   -   132   6,344   5,144 
Frontier Global Fund  -   -   660   12,926   23,122   -   -   -   844   9,787   17,510 
Frontier Heritage Fund  -   -   635   6,240   10,467   -   -   -   563   5,886   11,151 

 

As of December 31, 2018 Incentive Fees  Management
Fees		  Interest Fees  Service Fees  Trading Fees 
As of December 31, 2019 Incentive Fees  Management Fees  Interest Fees  Service Fees  Trading Fees 
                      
Frontier Diversified Fund $10,897  $3,875  $-  $4,498  $44,827  $   -  $-  $-  $3,391  $35,877 
Frontier Masters Fund  -   8,347   -   1,750   27,984   -   -   -   204   11,673 
Frontier Long/Short Commodity Fund  -   -   -   51   5,306   -   -   -   -   3,468 
Frontier Balanced Fund  -   13,917   1,490   56,791   101,770   -   8,795   105   41,635   70,179 
Frontier Select Fund  -   -   -   8,575   7,812   -   -   -   6,906   6,000 
Frontier Global Fund  -   42,705   8,124   17,803   24,353   -   -   56   11,263   22,540 
Frontier Heritage Fund  -   9,201   1,238   6,684   10,189   -   -   166   5,362   11,170 

39

 

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. During

For the periods covered by this report there were nothree months ended March 31, 2020 and 2019, amounts received or receivable from the Managing Owner for any differences resultingthe difference in monthly service fees from the prepaid initial service fees.fees were $0 and$0, respectively.

 

Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) of average net assets less any fair market value related to swaps is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series.


The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three and six months ended June 30, 2019March 31, 2020 and 2018:

March 31, 2019.

 

Three Months Ended June 30,
2019		 June 30,
2018		 June 30,
2019		 June 30,
2018		  March 31,
2020		  March 31,
2019		  March 31,
2020		  March 31,
2019		 
 Gross Amount 
Paid to the		 Gross Amount
Paid to the		 Ratio to Average Ratio to Average 
 Managing Owner Managing Owner Net Assets Net Assets  Gross Amount Paid to the Managing Owner  Gross Amount Paid to the Managing Owner  Ratio to Average Net Assets  Ratio to Average Net Assets 
                  
Frontier Diversified Fund Class 1 $- $- 0.00% 0.00% $-  $-   0.00%  0.00%
Frontier Diversified Fund Class 2 - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Diversified Fund Class 3 - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Masters Fund Class 1 - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Masters Fund Class 2 - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Masters Fund Class 3 - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 2 3 37 0.00% 0.02%  5   6   0.01%  0.00%
Frontier Long/Short Commodity Fund Class 3 81 488 0.00% 0.02%  114   127   0.01%  0.01%
Frontier Long/Short Commodity Fund Class 1a - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 2a - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 3a - - 0.00% 0.00%  -   -   0.00%  0.00%
Frontier Balanced Fund Class 1 1,150 14,652 0.01% 0.05%  2,221   1,731   0.01%  0.01%
Frontier Balanced Fund Class 1AP 19 256 0.01% 0.05%  31   26   0.01%  0.01%
Frontier Balanced Fund Class 2 232 2,656 0.01% 0.05%  425   323   0.01%  0.01%
Frontier Balanced Fund Class 2a 3 39 0.00% 0.01%  5   4   0.00%  0.00%
Frontier Balanced Fund Class 3a 10 108 0.00% 0.01%  23   13   0.00%  0.00%
Frontier Select Fund Class 1 1,400 3,375 0.04% 0.08%  779   859   0.03%  0.01%
Frontier Select Fund Class 1AP 3 15 0.05% 0.08%  3   -   0.03%  0.00%
Frontier Select Fund Class 2 41 359 0.04% 0.08%  26   30   0.03%  0.01%
Frontier Global Fund Class 1 3,631 34,013 0.06% 0.32%  1,217   18,729   0.03%  0.27%
Frontier Global Fund Class 1AP 21 111 0.06% 0.32%  11   84   0.03%  0.27%
Frontier Global Fund Class 2 252 3,251 0.06% 0.32%  111   1,034   0.03%  0.26%
Frontier Heritage Fund Class 1 1,196 5,382 0.04% 0.13%  728   2,228   0.03%  0.07%
Frontier Heritage Fund Class 1AP 2 5 0.05% 0.12%  3   1   0.03%  0.10%
Frontier Heritage Fund Class 2  255  836 0.04% 0.13%  170   414   0.03%  0.07%
                         
Total $8,299 $65,583      $5,872  $25,609         

 


40

Six Months Ended June 30,
2019		  June 30,
2018		  June 30,
2019		  June 30,
2018		 
  Gross Amount 
Paid to the		  Gross Amount
Paid to the		  Ratio to Average  Ratio to Average 
 Managing Owner  Managing Owner  Net Assets  Net Assets 
             
Frontier Diversified Fund Class 1 $-  $-   0.00%  0.00%
Frontier Diversified Fund Class 2  -   -   0.00%  0.00%
Frontier Diversified Fund Class 3  -   -   0.00%  0.00%
Frontier Masters Fund Class 1  -   -   0.00%  0.00%
Frontier Masters Fund Class 2  -   -   0.00%  0.00%
Frontier Masters Fund Class 3  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 2  9   37   0.01%  0.02%
Frontier Long/Short Commodity Fund Class 3  208   488   0.01%  0.02%
Frontier Long/Short Commodity Fund Class 1a  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 2a  -   -   0.00%  0.00%
Frontier Long/Short Commodity Fund Class 3a  -   -   0.00%  0.00%
Frontier Balanced Fund Class 1  2,881   14,652   0.01%  0.04%
Frontier Balanced Fund Class 1AP  45   256   0.01%  0.05%
Frontier Balanced Fund Class 2  555   2,656   0.01%  0.04%
Frontier Balanced Fund Class 2a  7   39   0.00%  0.01%
Frontier Balanced Fund Class 3a  23   108   0.00%  0.01%
Frontier Select Fund Class 1  2,259   5,835   0.06%  0.12%
Frontier Select Fund Class 1AP  3   25   0.08%  0.12%
Frontier Select Fund Class 2  71   724   0.06%  0.11%
Frontier Global Fund Class 1  22,360   62,703   0.35%  0.53%
Frontier Global Fund Class 1AP  105   194   0.32%  0.54%
Frontier Global Fund Class 2  1,286   7,028   0.32%  0.52%
Frontier Heritage Fund Class 1  3,424   5,382   0.12%  0.12%
Frontier Heritage Fund Class 1AP  3   5   0.12%  0.10%
Frontier Heritage Fund Class 2  669   836   0.11%  0.12%
                 
Total $33,908  $100,968         

7. Financial Highlights

 

The following information presents the financial highlights of the Trust, with respect to the Series, for the three and six months ended June 30, 2019March 31, 2020 and 2018.March 31, 2019. This data has been derived from the information presented in the financial statements.

 

ThreeFor the three months ending June 30, 2019ended March 31, 2020

  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                 
Net asset value, December 31, 2019 $101.10  $121.58  $113.61  $72.28  $87.18  $81.78  $44.20  $81.60  $52.55  $85.64  $55.31 
Net operating results:                                            
Interest income  0.00   0.00   0.00   0.03   0.04   0.04   0.02   0.04   0.03   0.04   0.03 
Expenses  (1.77)  (1.11)  (1.02)  (4.46)  (1.32)  (1.24)  (0.75)  (0.59)  (0.38)  (0.62)  (0.40)
Net gain/(loss) on investments, net of non-controlling interests  (20.18)  (24.87)  (23.20)  3.49   0.27   0.31   4.21   7.61   4.77   7.94   5.08 
Net income/(loss)  (21.95)  (25.98)  (24.22)  (0.95)  (1.01)  (0.89)  3.49   7.06   4.42   7.36   4.71 
Net asset value, March 31, 2020 $79.15  $95.60  $89.39  $71.34  $86.18  $80.89  $47.69  $88.66  $56.98  $93.01  $60.02 
                                             
Ratios to average net assets                                            
Net investment income/(loss)  -7.11%  -3.68%  -3.68%  -24.52%  -5.87%  -5.87%  -6.43%  -2.64%  -2.64%  -2.64%  -2.64%
Expenses before incentive fees (3)(4)  7.11%  3.68%  3.68%  24.70%  6.05%  6.05%  6.62%  2.83%  2.83%  2.83%  2.83%
Expenses after incentive fees (3)(4)  7.11%  3.68%  3.68%  24.70%  6.05%  6.05%  6.62%  2.83%  2.83%  2.83%  2.83%
Total return before incentive fees (2)  -21.71%  -21.37%  -21.32%  -1.31%  -1.15%  -1.09%  7.89%  8.65%  8.40%  8.60%  8.52%
Total return after incentive fees (2)  -21.71%  -21.37%  -21.32%  -1.31%  -1.15%  -1.09%  7.89%  8.65%  8.40%  8.60%  8.52%
                                             
Incentive fee per share  -   -   -   -   -   -                     
Incentive Fee to ANA  0.00%  0.00%  0.00%  0.00%  0.00%  0.00%                    

 

  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                 
Net asset value, March 31, 2019 $100.84  $119.69  $111.62  $88.19  $104.69  $98.04  $50.14  $93.67  $58.96  $98.25  $61.96 
Net operating results:                                            
Interest income  0.01   0.01   0.01   0.03   0.04   0.04   0.01   0.02   0.01   0.02   0.01 
Expenses  (1.69)  (1.12)  (1.05)  (2.10)  (1.68)  (1.57)  (0.82)  (0.66)  (0.41)  (0.69)  (0.44)
Net gain/(loss) on investments, net of non-controlling interests  3.29   3.53  3.38  1.20  1.05  1.02  3.53  5.49  3.68  5.76  3.92
Net income/(loss)  1.60  2.42  2.34  (0.86)  (0.59)  (0.51)  2.72  4.85  3.28  5.09  3.49
Net asset value, June 30, 2019  $102.44  $122.11  $113.96  $87.33  $104.10  $97.53  $52.86  $98.52  $62.24  $103.34  $65.45 
                                             
Ratios to average net assets                                            
Net investment income/(loss)  -6.74%  -3.73%  -3.73%  -9.40%  -6.32%  -6.32%  -6.30%  -2.66%  -2.66%  -2.66%  -2.66%
Expenses before incentive fees (3)(4)  6.77%  3.76%  3.76%  9.55%  6.48%  6.48%  6.38%  2.74%  2.74%  2.74%  2.74%
Expenses after incentive fees (3)(4)  6.77%  3.76%  3.76%  9.55%  6.48%  6.48%  6.38%  2.74%  2.74%  2.74%  2.74%
Total return before incentive fees (2)  1.59%  2.02%  2.10%  -0.98%  -0.56%  -0.52%  5.42%  5.18%  5.56%  5.18%  5.63%
Total return after incentive fees (2)  1.59%  2.02%  2.10%  -0.98%  -0.56%  -0.52%  5.42%  5.18%  5.56%  5.18%  5.63%

41

  Frontier Balanced Fund  Frontier Select Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                        
Net asset value, December 31, 2019 $117.23  $137.81  $185.82  $161.04  $160.50  $66.56  $78.51  $103.94 
Net operating results:                                
Interest income  0.03   0.04   0.05   0.05   0.05   0.00   0.00   0.00 
Expenses  (1.94)  (1.29)  (1.73)  (1.50)  (1.50)  (0.93)  (0.49)  (0.65)
Net gain/(loss) on investments, net of non-controlling interests  (29.31)  (34.70)  (46.77)  (40.51)  (40.39)  1.85   1.97   2.86 
Net income/(loss)  (31.21)  (35.94)  (48.45)  (41.97)  (41.84)  0.92   1.49   2.21 
Net asset value, March 31, 2020 $86.02  $101.87  $137.37  $119.07  $118.66  $67.48  $79.99  $106.15 
                                 
Ratios to average net assets                                
Net investment income/(loss)  -6.74%  -3.75%  -3.75%  -3.75%  -3.75%  -5.44%  -2.43%  -2.43%
Expenses before incentive fees (3)(4)  6.86%  3.87%  3.87%  3.87%  3.87%  5.44%  2.43%  2.43%
Expenses after incentive fees (3)(4)  6.86%  3.87%  3.87%  3.87%  3.87%  5.44%  2.43%  2.43%
Total return before incentive fees (2)  -26.62%  -26.08%  -26.08%  -26.06%  -26.07%  1.39%  1.89%  2.13%
Total return after incentive fees (2)  -26.62%  -26.08%  -26.08%  -26.06%  -26.07%  1.39%  1.89%  2.13%
                                 
Incentive fee per share  -   -   -   -   -   -   -   - 
Incentive Fee to ANA  0.00%  0.00%  0.00%  0.00%  0.00%  0.00%  0.00%  0.00%

 

  Frontier Balanced Fund  Frontier Select Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                        
Net asset value, March 31, 2019 $114.89  $132.01  $178.04  $154.27  $153.78  $70.76  $82.30  $107.99 
Net operating results:                                
Interest income  0.06   0.07   0.09   0.08   0.08   0.00   0.00   0.00 
Expenses  (2.00)  (1.30)  (1.76)  (1.52)  (1.52)  (1.00)  (0.52)  (0.69)
Net gain/(loss) on investments, net of non-controlling interests  3.41  3.91  5.28  4.66  4.57  6.27   6.56   9.66 
Net income/(loss)  1.47  2.68  3.62  3.22  3.13  5.27  6.04  8.97
Net asset value, June 30, 2019  $116.36  $134.69  $181.66  $157.49  $156.91  $76.03  $88.34  $116.96 
                                 
Ratios to average net assets                                
Net investment income/(loss)  -6.76%  -3.72%  -3.72%  -3.72%  -3.72%  -5.52%  -2.49%  -2.49%
Expenses before incentive fees (3)(4)  6.97%  3.93%  3.93%  3.93%  3.93%  5.52%  2.49%  2.49%
Expenses after incentive fees (3)(4)  6.97%  3.93%  3.93%  3.93%  3.93%  5.52%  2.49%  2.49%
Total return before incentive fees (2)  1.28%  2.03%  2.03%  2.09%  2.04%  7.45%  7.34%  8.31%
Total return after incentive fees (2)  1.28%  2.03%  2.03%  2.09%  2.04%  7.45%  7.34%  8.31%

42

  Frontier Global Fund  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                  
Net asset value, March 31, 2019 $136.33  $156.50  $195.48  $99.68  $112.44  $153.46 
Net operating results:                        
Interest income  0.00   0.00   0.00   0.00   0.00   0.00 
Expenses  (3.15)  (2.42)  (3.02)  (1.71)  (1.12)  (1.46)
Net gain/(loss) on investments, net of non-controlling interests  10.46   12.05   15.02   11.63   15.02   17.96 
Net income/(loss)  7.31   9.63   12.00   9.92  13.90   16.50 
Net asset value, June 30, 2019  $143.64  $166.13  $207.48  $109.60  $126.34  $169.96 
                         
Ratios to average net assets                        
Net investment income/(loss)  -9.11%  -6.07%  -6.07%  -6.75%  -3.71%  -3.71%
Expenses before incentive fees (3)(4)  9.11%  6.07%  6.07%  6.75%  3.71%  3.71%
Expenses after incentive fees (3)(4)  9.11%  6.07%  6.07%  6.75%  3.71%  3.71%
Total return before incentive fees (2)  5.36%  6.15%  6.14%  9.95%  12.36%  10.75%
Total return after incentive fees (2)  5.36%  6.15%  6.14%  9.95%  12.36%  10.75%

 

(1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.
(3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(4)Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return.

 


  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                 
Net asset value, March 31, 2018 $106.53  $124.26  $115.59  $98.30  $114.67  $107.10  $77.86  $112.44  $89.95  $117.97  $94.24 
Net operating results:                                            
Interest income  0.06   0.07   0.07   0.10   0.12   0.11   0.07   0.11   0.08   0.11   0.09 
Expenses  (1.73)  (1.07)  (0.99)  (2.19)  (1.94)  (1.81)  (1.23)  (0.67)  (0.53)  (0.70)  (0.56)
Net gain/(loss) on investments, net of non-controlling interests  3.44   3.61   3.43   3.12   3.53   3.37   (5.92)  (5.36)  (7.37)  (5.63)  (7.66)
Net income/(loss)  1.77   2.61   2.50   1.03   1.71   1.67   (7.08)  (5.92)  (7.82)  (6.22)  (8.13)
Net asset value, June 30, 2018 $108.30  $126.87  $118.09  $99.33  $116.38  $108.77  $70.78  $106.52  $82.13  $111.75  $86.11 
                                             
Ratios to average net assets                                            
Net investment income/(loss)  -6.27%  -3.20%  -3.20%  -8.68%  -6.48%  -6.48%  -6.13%  -2.05%  -2.05%  -2.05%  -2.05%
Expenses before incentive fees (3)(4)  6.50%  3.43%  3.43%  9.11%  6.91%  6.91%  6.51%  2.43%  2.43%  2.43%  2.43%
Expenses after incentive fees (3)(4)  6.50%  3.43%  3.43%  9.11%  6.91%  6.91%  6.51%  2.43%  2.43%  2.43%  2.43%
Total return before incentive fees (2)  1.66%  2.10%  2.16%  1.05%  1.49%  1.56%  -9.09%  -5.27%  -8.69%  -5.27%  -8.63%
Total return after incentive fees (2)  1.66%  2.10%  2.16%  1.05%  1.49%  1.56%  -9.09%  -5.27%  -8.69%  -5.27%  -8.63%

  Frontier Balanced Fund  Frontier Select Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                        
Net asset value, March 31, 2018 $124.93  $139.33  $187.88  $162.67  $162.12  $76.47  $85.36  $113.28 
Net operating results:                                
Interest income  0.03   0.03   0.04   0.03   0.03   0.00   0.00   0.00 
Expenses  (2.08)  (1.29)  (1.74)  (1.51)  (1.50)  (0.98)  (0.48)  (0.63)
Net gain/(loss) on investments, net of non-controlling interests  2.33   2.61   3.54   3.14   3.12   (0.74)  (0.81)  (1.09)
Net income/(loss)  0.28   1.35   1.84   1.66   1.65   (1.72)  (1.29)  (1.72)
Net asset value, June 30, 2018 $125.21  $140.68  $189.72  $164.33  $163.77  $74.75  $84.07  $111.56 
                                 
Ratios to average net assets                                
Net investment income/(loss)  -6.64%  -3.64%  -3.64%  -3.64%  -3.64%  -5.28%  -2.28%  -2.28%
Expenses before incentive fees (3)(4)  6.73%  3.73%  3.73%  3.73%  3.73%  5.28%  2.28%  2.28%
Expenses after incentive fees (3)(4)  6.73%  3.73%  3.73%  3.73%  3.73%  5.28%  2.28%  2.28%
Total return before incentive fees (2)  0.22%  0.97%  0.98%  1.02%  1.02%  -2.25%  -1.51%  -1.52%
Total return after incentive fees (2)  0.22%  0.97%  0.98%  1.02%  1.02%  -2.25%  -1.51%  -1.52%

  Frontier Winton Fund  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                  
Net asset value, March 31, 2018 $144.60  $161.61  $196.85  $104.50  $116.64  $156.11 
Net operating results:                        
Interest income  0.00   0.00   0.00   0.00   0.00   0.00 
Expenses  (3.72)  (2.95)  (3.59)  (2.27)  (1.68)  (2.25)
Net gain/(loss) on investments, net of non-controlling interests  7.78   8.53   10.21   0.45   0.50   0.68 
Net income/(loss)  4.06   5.58   6.62   (1.82)  (1.18)  (1.57)
Net asset value, June 30, 2018 $148.66  $167.19  $203.47  $102.68  $115.46  $154.54 
                         
Ratios to average net assets                        
Net investment income/(loss)  -10.21%  -7.20%  -7.20%  -8.87%  -5.87%  -5.87%
Expenses before incentive fees (3)(4)  -10.21%  7.20%  7.20%  8.87%  5.87%  5.87%
Expenses after incentive fees (3)(4)  -10.21%  7.20%  7.20%  8.87%  5.87%  5.87%
Total return before incentive fees (2)  2.81%  3.45%  3.36%  -1.74%  -1.01%  -1.01%
Total return after incentive fees (2)  2.81%  3.45%  3.36%  -1.74%  -1.01%  -1.01%


  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                 
Net asset value, December 31, 2018 $102.25  $120.84  $112.62  $91.10  $107.68  $100.77  $56.80  $98.82  $66.52  $103.66  $69.83 
Net operating results:                                            
Interest income  0.04   0.05   0.05   0.04   0.05   0.05   0.03   0.05   0.03   0.05   0.03 
Expenses  (3.32)  (2.16)  (2.02)  (3.59)  (3.12)  (2.92)  (1.59)  (1.25)  (0.78)  (1.31)  (0.83)
Net gain/(loss) on investments, net of non-controlling interests  3.47   3.38   3.31   (0.22)  (0.51)  (0.37)  (2.38)  0.90   (3.53)  0.94   (3.59)
Net income/(loss)  0.19   1.27   1.34   (3.77)  (3.58)  (3.24)  (3.94)  (0.30)  (4.28)  (0.32)  (4.38)
Net asset value, June 30, 2019 $102.44  $122.11  $113.96  $87.33  $104.10  $97.53  $52.86  $98.52  $62.24  $103.34  $65.45 
                                             
Ratios to average net assets                                            
Net investment income/(loss)  -13.31%  -7.23%  -7.23%  -16.90%  -12.15%  -12.15%  -12.58%  -5.12%  -5.12%  -5.12%  -5.12%
Expenses before incentive fees (3)(4)  13.49%  7.40%  7.40%  17.10%  12.35%  12.35%  12.80%  5.34%  5.34%  5.34%  5.34%
Expenses after incentive fees (3)(4)  13.49%  7.40%  7.40%  17.10%  12.35%  12.35%  12.80%  5.34%  5.34%  5.34%  5.34%
Total return before incentive fees (2)  0.19%  1.05%  1.19%  -4.14%  -3.32%  -3.22%  -6.94%  -0.30%  -6.43%  -0.31%  -6.27%
Total return after incentive fees (2)  0.19%  1.05%  1.19%  -4.14%  -3.32%  -3.22%  -6.94%  -0.30%  -6.43%  -0.31%  -6.27%

  Frontier Balanced Fund  Frontier Select Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                        
Net asset value, December 31, 2018 $117.63  $134.16  $180.94  $156.81  $156.26  $71.41  $82.48  $108.18 
Net operating results:                                
Interest income  0.10   0.12   0.16   0.14   0.14   0.00   0.00   0.00 
Expenses  (3.96)  (2.60)  (3.50)  (3.04)  (3.03)  (1.92)  (1.04)  (1.33)
Net gain/(loss) on investments, net of non-controlling interests  2.59   3.01   4.06   3.58   3.54   6.54   6.90   10.11 
Net income/(loss)  (1.27)  0.53   0.72   0.68   0.65   4.62   5.86   8.78 
Net asset value, June 30, 2019 $116.36  $134.69  $181.66  $157.49  $156.91  $76.03  $88.34  $116.96 
                                 
Ratios to average net assets                                
Net investment income/(loss)  -13.67%  -7.63%  -7.63%  -7.63%  -7.63%  -11.10%  -5.06%  -5.06%
Expenses before incentive fees (3)(4)  14.04%  8.00%  8.00%  8.00%  8.00%  11.10%  5.06%  5.06%
Expenses after incentive fees (3)(4)  14.04%  8.00%  8.00%  8.00%  8.00%  11.10%  5.06%  5.06%
Total return before incentive fees (2)  -1.08%  0.40%  0.40%  0.43%  0.42%  6.47%  7.10%  8.12%
Total return after incentive fees (2)  -1.08%  0.40%  0.40%  0.43%  0.42%  6.47%  7.10%  8.12%

  Frontier Global Fund  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                  
Net asset value, December 31, 2018 $131.57  $149.92  $187.17  $99.83  $111.78  $152.53 
Net operating results:                        
Interest income  0.00   0.00   0.00   0.00   0.00   0.00 
Expenses  (5.21)  (3.73)  (4.65)  (3.24)  (2.16)  (2.75)
Net gain/(loss) on investments, net of non-controlling interests  17.28   19.94   24.96   13.01   16.72   20.18 
Net income/(loss)  12.07   16.21   20.31   9.77   14.56   17.43 
Net asset value, June 30, 2019 $143.64  $166.13  $207.48  $109.60  $126.34  $169.96 
                         
Ratios to average net assets          ��             
Net investment income/(loss)  -15.82%  -9.78%  -9.78%  -13.39%  -7.34%  -7.34%
Expenses before incentive fees (3)(4)  15.82%  9.78%  9.78%  13.39%  7.34%  7.34%
Expenses after incentive fees (3)(4)  15.82%  9.78%  9.78%  13.39%  7.34%  7.34%
Total return before incentive fees (2)  9.17%  10.81%  10.85%  9.79%  13.03%  11.43%
Total return after incentive fees (2)  9.17%  10.81%  10.85%  9.79%  13.03%  11.43%


  Frontier Balanced Fund  Frontier Select Fund 
  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                                
Net asset value, December 31, 2018 $117.63  $134.16  $180.94  $156.81  $156.26  $71.41  $82.48  $108.18 
Net operating results:                                
Interest income  0.10   0.12   0.16   0.14   0.14   0.00   0.00   0.00 
Expenses  (3.96)  (2.60)  (3.50)  (3.04)  (3.03)  (1.92)  (1.04)  (1.33)
Net gain/(loss) on investments, net of non-controlling interests  2.59   3.01   4.06   3.58   3.54   6.54   6.90   10.11 
Net income/(loss)  (1.27)  0.53   0.72   0.68   0.65   4.62   5.86   8.78 
Net asset value, June 30, 2019 $116.36  $134.69  $181.66  $157.49  $156.91  $76.03  $88.34  $116.96 
                                 
Ratios to average net assets                                
Net investment income/(loss)  -13.67%  -7.63%  -7.63%  -7.63%  -7.63%  -11.10%  -5.06%  -5.06%
Expenses before incentive fees (3)(4)  14.04%  8.00%  8.00%  8.00%  8.00%  11.10%  5.06%  5.06%
Expenses after incentive fees (3)(4)  14.04%  8.00%  8.00%  8.00%  8.00%  11.10%  5.06%  5.06%
Total return before incentive fees (2)  -1.08%  0.40%  0.40%  0.43%  0.42%  6.47%  7.10%  8.12%
Total return after incentive fees (2)  -1.08%  0.40%  0.40%  0.43%  0.42%  6.47%  7.10%  8.12%

 Frontier Global Fund  Frontier Heritage Fund  Frontier Global Fund  Frontier Heritage Fund 
 Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                                     
Net asset value, December 31, 2018 $131.57  $149.92  $187.17  $99.83  $111.78  $152.53 
Net asset value, December 31, 2019 $131.52  $154.43  $192.82  $97.54  $114.15  $153.59 
Net operating results:                                                
Interest income  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Expenses  (5.21)  (3.73)  (4.65)  (3.24)  (2.16)  (2.75)  (2.73)  (2.02)  (2.51)  (1.82)  (1.24)  (1.65)
Net gain/(loss) on investments, net of non-controlling interests  17.28   19.94   24.96   13.01   16.72   20.18   17.19   20.67   25.33   18.50   22.46   29.23 
Net income/(loss)  12.07   16.21   20.31   9.77   14.56   17.43   14.46   18.66   22.82   16.67   21.22   27.58 
Net asset value, June 30, 2019 $143.64  $166.13  $207.48  $109.60  $126.34  $169.96 
Net asset value, March 31, 2020 $145.97  $173.08  $215.64  $114.21  $135.37  $181.17 
                                                
Ratios to average net assets                                                
Net investment income/(loss)  -15.82%  -9.78%  -9.78%  -13.39%  -7.34%  -7.34%  -8.01%  -5.01%  -5.01%  -7.05%  -4.04%  -4.04%
Expenses before incentive fees (3)(4)  15.82%  9.78%  9.78%  13.39%  7.34%  7.34%  8.01%  5.01%  5.01%  7.05%  4.04%  4.04%
Expenses after incentive fees (3)(4)  15.82%  9.78%  9.78%  13.39%  7.34%  7.34%  8.01%  5.01%  5.01%  7.05%  4.04%  4.04%
Total return before incentive fees (2)  9.17%  10.81%  10.85%  9.79%  13.03%  11.43%  10.99%  12.08%  11.83%  17.09%  18.59%  17.96%
Total return after incentive fees (2)  9.17%  10.81%  10.85%  9.79%  13.03%  11.43%  10.99%  12.08%  11.83%  17.09%  18.59%  17.96%

 

(1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner'sowner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.
(3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(4)Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return.


For the three months ended March 31, 2019

  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                            
Net asset value, December 31, 2017 $116.41  $135.19  $125.68  $114.74  $133.27  $124.40  $81.35  $115.81  $93.59  $121.50  $97.99 
Net operating results:                                            
Interest income  0.10   0.12   0.11   0.19   0.22   0.20   0.16   0.22   0.18   0.23   0.19 
Expenses  (3.56)  (2.23)  (2.07)  (4.47)  (3.94)  (3.66)  (2.42)  (1.36)  (1.10)  (1.42)  (1.15)
Net gain/(loss) on investments, net of non-controlling interests  (4.65)  (6.21)  (5.63)  (11.13)  (13.17)  (12.17)  (8.31)  (8.15)  (10.54)  (8.56)  (10.92)
Net income/(loss)  (8.11)  (8.32)  (7.59)  (15.41)  (16.89)  (15.63)  (10.57)  (9.29)  (11.46)  (9.75)  (11.88)
Net asset value, June 30, 2018 $108.30  $126.87  $118.09  $99.33  $116.38  $108.77  $70.78  $106.52  $82.13  $111.75  $86.11 
                                             
Ratios to average net assets                                            
Net investment income/(loss)  -6.37%  -3.33%  -3.33%  -8.50%  -6.26%  -6.26%  -5.67%  -2.02%  -2.02%  -2.02%  -2.02%
Expenses before incentive fees (3)(4)  6.55%  3.51%  3.51%  8.87%  6.63%  6.63%  6.06%  2.41%  2.41%  2.41%  2.41%
Expenses after incentive fees (3)(4)  6.56%  3.52%  3.52%  8.87%  6.63%  6.63%  6.06%  2.41%  2.41%  2.41%  2.41%
Total return before incentive fees (2)  -6.96%  -6.14%  -6.03%  -13.43%  -12.67%  -12.56%  -12.99%  -8.02%  -12.24%  -8.02%  -12.12%
Total return after incentive fees (2)  -6.97%  -6.15%  -6.04%  -13.43%  -12.67%  -12.56%  -12.99%  -8.02%  -12.24%  -8.02%  -12.12%

 

 Frontier Balanced Fund  Frontier Select Fund  Frontier Diversified Fund  Frontier Masters Fund  Frontier Long/Short Commodity Fund 
 Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 1a  Class 2  Class 2a  Class 3  Class 3a 
Per unit operating performance (1)                                                       
Net asset value, December 31, 2017 $135.96  $150.56  $202.90  $175.77  $175.18  $90.27  $100.02  $132.73 
Net asset value, December 31, 2018 $102.25  $120.84  $112.62  $91.10  $107.68  $100.77  $56.80  $98.82  $66.52  $103.66  $69.83 
Net operating results:                                                                            
Interest income  0.08   0.08   0.11   0.10   0.10   0.00   0.00   0.00   0.03   0.04   0.04   0.01   0.01   0.01   0.02   0.03   0.02   0.03   0.02 
Expenses  (4.67)  (3.10)  (4.18)  (3.63)  (3.62)  (2.13)  (1.05)  (1.42)  (1.63)  (1.05)  (0.98)  (1.69)  (1.46)  (1.37)  (0.77)  (0.59)  (0.37)  (0.62)  (0.39)
Net gain/(loss) on investments, net of non-controlling interests  (6.16)  (6.86)  (9.11)  (7.91)  (7.89)  (13.39)  (14.90)  (19.75)  0.19   (0.14)   (0.06)   (1.23)  (1.54)  (1.37)  (5.90)  (4.59)  (7.21)  (4.82)  (7.49)
Net income/(loss)  (10.75)  (9.88)  (13.18)  (11.44)  (11.41)  (15.52)  (15.95)  (21.17)  (1.41)   (1.15)   (1.00)   (2.91)  (2.99)  (2.73)  (6.66)  (5.15)  (7.56)  (5.41)  (7.87)
Net asset value, June 30, 2018 $125.21  $140.68  $189.72  $164.33  $163.77  $74.75  $84.07  $111.56 
Net asset value, March 31, 2019 $100.84  $119.69  $111.62  $88.19  $104.69  $98.04  $50.14  $93.67  $58.96  $98.25  $61.96 
                                                                            
Ratios to average net assets                                                                            
Net investment income/(loss)  -6.94%  -3.95%  -3.95%  -3.95%  -3.95%  -5.38%  -2.38%  -2.38%  -6.58%  -3.51%  -3.51%  -8.08%  -5.87%  -5.87%  -6.28%  -2.46%  -2.46%  -2.46%  -2.46%
Expenses before incentive fees (3)(4)  6.72%  3.72%  3.72%  3.72%  3.72%  5.38%  2.38%  2.38%  6.71%  3.64%  3.64%  8.14%  5.93%  5.93%  6.41%  2.60%  2.60%  2.60%  2.60%
Expenses after incentive fees (3)(4)  7.06%  4.07%  4.07%  4.07%  4.07%  5.38%  2.38%  2.38%  6.71%  3.64%  3.64%  8.14%  5.93%  5.93%  6.41%  2.60%  2.60%  2.60%  2.60%
Total return before incentive fees (2)  -7.56%  -6.22%  -6.15%  -6.16%  -6.17%  -17.19%  -15.95%  -15.95%  -1.38%  -0.95%  -0.89%  -3.19%  -2.78%  -2.71%  -11.73%  -5.21%  -11.37%  -5.22%  -11.27%
Total return after incentive fees (2)  -7.91%  -6.56%  -6.50%  -6.51%  -6.51%  -17.19%  -15.95%  -15.95%  -1.38%  -0.95%  -0.89%  -3.19%  -2.78%  -2.71%  -11.73%  -5.21%  -11.37%  -5.22%  -11.27%

 


43

 Frontier Global Fund (formerly Frontier Winton Fund)  Frontier Heritage Fund  Frontier Balanced Fund  Frontier Select Fund 
 Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2  Class 2a  Class 3a  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                                         
Net asset value, December 31, 2017 $159.08  $176.44  $216.50  $121.19  $134.28  $179.70 
Net asset value, December 31, 2018 $117.63  $134.16  $180.94  $156.81  $156.26  $71.41  $82.48  $108.18 
Net operating results:                                                        
Interest income  0.00   0.00   0.00   0.00   0.00   0.00   0.04   0.05   0.07   0.06   0.06   0.00  0.00   0.00 
Expenses  (7.15)  (5.46)  (6.87)  (4.74)  (3.48)  (4.63)  (1.97)  (1.29)  (1.74)  (1.51)  (1.51)  (0.92)  (0.49)  (0.65)
Net gain/(loss) on investments, net of non-controlling interests  (3.27)  (3.79)  (6.16)  (13.77)  (15.34)  (20.53)  (0.82)   (0.91)   (1.22)   (1.09)   (1.03)   0.27   0.31   0.46 
Net income/(loss)  (10.42)  (9.25)  (13.03)  (18.51)  (18.82)  (25.16)  (2.74)  (2.15)   (2.90)   (2.54)   (2.49 )  (0.65)   (0.18)   (0.19) 
Net asset value, June 30, 2018 $148.66  $167.19  $203.47  $102.68  $115.46  $154.54 
Net asset value, March 31, 2019 $114.89  $132.01  $178.04  $154.27  $153.78  $70.76  $82.30  $107.99 
                                                        
Ratios to average net assets                                                        
Net investment income/(loss)  -9.53%  -6.53%  -6.53%  -8.69%  -5.69%  -5.69%  -6.90%  -3.90%  -3.90%  -3.90%  -3.90%  -5.58%  -2.58%  -2.58%
Expenses before incentive fees (3)(4)  9.53%  6.53%  6.53%  8.66%  5.67%  5.67%  7.06%  4.06%  4.06%  4.06%  4.06%  5.58%  2.58%  2.58%
Expenses after incentive fees (3)(4)  9.53%  6.53%  6.53%  8.69%  5.69%  5.69%  7.06%  4.06%  4.06%  4.06%  4.06%  5.58%  2.58%  2.58%
Total return before incentive fees (2)  -6.55%  -5.24%  -6.02%  -15.25%  -13.99%  -13.97%  -2.33%  -1.60%  -1.60%  -1.62%  -1.59%  -0.91%  -0.22%  -0.18%
Total return after incentive fees (2)  -6.55%  -5.24%  -6.02%  -15.27%  -14.02%  -14.00%  -2.33%  -1.60%  -1.60%  -1.62%  -1.59%  -0.91%  -0.22%  -0.18%

  Frontier Global Fund  Frontier Heritage Fund 
  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2 
Per unit operating performance (1)                  
Net asset value, December 31, 2018 $131.57  $149.92  $187.17  $99.83  $111.78  $152.53 
Net operating results:                        
Interest income  0.00   0.00   0.00   000   0.00   0.00 
Expenses  (2.19)   (1.42)  (1.77)  (1.54)  (0.97)  (1.30)
Net gain/(loss) on investments, net of non-controlling interests  6.95   8.00   10.08   1.39   1.63   2.23 
Net income/(loss)  4.76   6.58   8.31   (0.15)  0.66   0.93 
Net asset value, March 31, 2019 $136.33  $156.50  $195.48  $99.68  $112.44  $153.46 
                         
Ratios to average net assets                        
Net investment income/(loss)  -6.91%  -3.91%  -3.91%  -6.63%  -3.63%  

-3.63

%
Expenses before incentive fees (3)(4)  6.91%  3.91%  3.91%  6.63%  3.63%  3.63%
Expenses after incentive fees (3)(4)  6.91%  3.91%  3.91%  6.63%  3.63%  3.63%
Total return before incentive fees (2)  3.62%  4.39%  4.44%  -0.15%  0.59%  0.61%
Total return after incentive fees (2)  3.62%  4.39%  4.44%  -0.15%  0.59%  0.61%

 

(1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.
(3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(4)Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees areis included in the total return.

 


44

8. Derivative Instruments and Hedging Activities

 

The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815,Derivatives and Hedging (“(“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of June 30, 2019March 31, 2020 and December 31, 20182019 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts. As further described in Note 6 above, thereThere are embedded management fees embedded in transacting these swaps ranging from 1% to 1.5% accruedbased on fair value of swaps and the relevant notional amount of the swap andembedded incentive fees embedded in these swaps ranging from 15% to 25% accrued based on the net new trading profits of theon swaps.

 

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

 

For the Three Months ended June 30,March 31, 2020

Monthly average contracts:

  Bought  Sold 
         
Frontier Balanced Fund  628   625 

For the Three Months ended March 31, 2019

 

Monthly average contracts:

 

  Bought  Sold 
Frontier Balanced Fund  228   275 
  Bought  Sold 
         
Frontier Balanced Fund  251   306 

 

For the Three Months Ended June 30, 2018

Monthly average contracts

  Bought  Sold 
Frontier Balanced Fund  174   301 

For the Six Months ended June 30, 2019

Monthly average contracts:

  Bought  Sold 
Frontier Balanced Fund  480   581 

For the Six Months Ended June 30, 2018

Monthly average contracts

  Bought  Sold 
Frontier Balanced Fund  1,522   1,518 


The following tables summarize the trading revenues for the three and six months ended June 30,March 31, 2020, and March 31, 2019 and 2018 by sector:

 

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2019March 31, 2020

 

Type of contract Frontier Balanced Fund  Frontier Balanced Fund 
       
Agriculturals $64,042  $75,122 
Currencies  (123,270)  106,325 
Energies  (7,996)  35,710 
Interest rates  312,541   88,571 
Metals  13,674   313,738 
Stock indices  (5,618)  22,768 
Realized trading income/(loss)(1) $253,372  $642,234 

 

45

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2019

Type of contract Frontier Balanced Fund 
    
Agriculturals $18,952 
Currencies  (241,334)
Energies  (37,678)
Interest rates  548,174 
Metals  8,700 
Stock indices  (38,915)
Realized trading income/(loss)(1) $257,898 

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018March 31, 2019

 

Type of contract Frontier Balanced Fund 
    
Metals $(46,019)
Currencies  (222,765)
Energies  19,021 
Agriculturals  22,712 
Interest rates  (10,368)
Stock indices  (20,242)
Realized trading income/(loss)(1) $(257,661)

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2018

Type of contract Frontier Balanced Fund  Frontier Balanced Fund 
      
Metals $(105,544)
Agriculturals $(45,090)
Currencies  (199,028)  (118,064)
Energies  61,256   (29,682)
Agriculturals  50,782 
Interest rates  (97,212)  235,633 
Metals  (4,975)
Stock indices  6,410   (33,296)
Realized trading income/(loss)(1) $(283,336) $4,526 

 

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


Unrealized Trading RevenueNet Change in Open Trade Equity from Futures, Forwards and Options

for the Three Months Ended June 30, 2019March 31, 2020

 

Type of contract Frontier Balanced Fund  Frontier Balanced Fund 
      
Agriculturals $(17,348) $978 
Currencies  16,367   21,386 
Energies  (7,260)  (1,845)
Interest rates  (99,664)  4,169 
Metals  4,519   (43,253)
Stock indices  9,106   (7,154)
Change in unrealized trading income/(loss)(1) $(94,279)
Change in unrealized trading income/(loss)(1)  $(25,719)

 

Unrealized Trading RevenueNet Change in Open Trade Equity from Futures, Forwards and Options

for the Six Months Ended June 30, 2019

Type of contract Frontier Balanced Fund 
    
Agriculturals $(41,639)
Currencies  (57,496)
Energies  1,510 
Interest rates  (107,355)
Metals  6,931 
Stock indices  1,534 
Change in unrealized trading income/(loss)(1) $(196,516)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018March 31, 2019

 

Type of contract Frontier Balanced Fund 
    
Metals $9,429 
Currencies  (61,638)
Energies  (5,285)
Agriculturals  (84,319)
Interest rates  (36,616)
Stock indices  (9,498)
Change in unrealized trading income/(loss)(1) $(187,927)

Type of contract Frontier Balanced Fund 
    
Agriculturals $(24,291)
Currencies  (73,863)
Energies  8,770 
Interest rates  (7,691)
Metals  2,411 
Stock indices  (7,572)
Change in unrealized trading income/(loss)(1)   $(102,236)

(1)Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit)

 

Unrealized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 201846

 

Type of contract Frontier Balanced Fund 
    
Metals $23,123 
Currencies  (101,409)
Energies  (51,468)
Agriculturals  (43,085)
Interest rates  112,053 
Stock indices  (16,876)
Change in unrealized trading income/(loss)(1)  (77,662)

 

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


Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from futures commission merchants (each, an “FCM”)FCMs are subject to master netting arrangements and collateral arrangements and meet the GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition.

 

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of June 30, 2019March 31, 2020 and December 31, 2018.2019.

 

As of June 30, 2019March 31, 2020

 

 Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial  Net Amounts Presented in the Statements of Financial Condition 
        Gross Amounts of
recognized
Derivative Assets		  Gross Amounts
offset in the
Statements of
Financial Condition		  Net Amounts Presented in the Statements of Financial Condition 
Frontier Balanced Fund                
Open Trade Equity/(Deficit) $242,957  $(201,096) $41,861  $53,568  $(51,460) $2,108 
Swap Contracts  10,691,012   -  $10,691,012   7,285,942   -  $7,285,942 
                        
Frontier Diversified Fund��                       
Swap Contracts $5,881,358  $-  $5,881,358  $4,742,032  $-  $4,742,032 
                        
Frontier Long/Short Commodity Fund                        
Swap Contracts $435,901  $-  $435,901  $613,963  $-  $613,963 
                        
Frontier Heritage Fund                        
Swap Contracts $3,036,673  $-  $3,036,673  $3,094,855  $-  $3,094,855 

 

As of December 31, 20182019

 

  Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial  Net Amounts Presented in the Statements of Financial Condition 
          
Frontier Balanced Fund         
Open Trade Equity/(Deficit) $348,879  $(128,220) $220,659 
Swap Contracts  10,794,908   -  $10,794,908 
             
Frontier Diversified Fund            
Swap Contracts $5,920,414  $-  $5,920,414 
             
Frontier Long/Short Commodity Fund            
Swap Contracts $479,102  $-  $479,102 
             
Frontier Heritage Fund            
Swap Contracts $2,955,444  $-  $2,955,444 

  Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial Condition  Net Amounts Presented in the Statements of Financial Condition 
Frontier Balanced Fund         
Open Trade Equity/(Deficit) $154,778  $(38,594) $116,184 
Swap Contracts  11,944,753   -  $11,944,753 
             
Frontier Diversified Fund            
Swap Contracts $6,384,583  $-  $6,384,583 
             
Frontier Long/Short Commodity Fund            
Swap Contracts $362,521  $-  $362,521 
             
Frontier Heritage Fund            
Swap Contracts $2,888,009  $-  $2,888,009 

 

47

9. Trading Activities and Related Risks

 

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

 


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

 

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

 

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

 

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

 

10. Indemnifications and Guarantees noted in Management Discussion and Analysis

 

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with the custodian of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

 

11. Subsequent Events

 

The Managing Owner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The Managing Owner has assessed the subsequent events through the date that the financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to or disclosure in the financial statements.

 

From JulyApril 1, 20192020 through August 14, 2019,May 11, 2020, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Global Fund paid 902,280, 308,070, 59,320, 28,409, 121,292, 121,641$231,875, $1,310,939, $4,062, $28,760, $131,595, $30,786 and 119,800,$127,159, respectively, in redemptions.

 

Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

Effective April 1, 2020, Doherty Advisors became a new major advisor for Frontier Select Fund and Frontier Masters Fund.


48

Frontier Funds

Consolidated Statements of Financial Condition
June 30, 2019 (unaudited)

March 31, 2020 (Unaudited) and December 31, 20182019

 

 March 31,
2020		  December 31,
2019		 
 June 30,
2019		 December 31,
2018		      
ASSETS          
     
Cash and cash equivalents $316,615  $1,729,879  $2,284,405  $367,568 
U.S. Treasury securities, at fair value  1,619,710   5,684,327   207,675   650,728 
Receivable from futures commission merchants  2,969,199   11,255,848   145,332   2,526,242 
Open trade equity, at fair value  42,147   -   2,108   116,184 
Incentive fee receivable  -   78,845 
Swap contracts, at fair value  20,044,944   20,149,868   15,736,792   21,579,865 
Investments in private investment companies, at fair value  45,725,137   46,557,428   31,029,355   35,926,037 
Interest receivable  32,415   117,168   1,986   13,363 
Receivable from related parties  11,453   11,453 
Redemptions receivable from private investment companies  1,652,017   552,017 
Other assets  6,153   -   6,163   5,700 
                
Total Assets $70,756,320  $85,573,363  $51,077,286  $61,749,157 
                
LIABILITIES & CAPITAL                
        
LIABILITIES                
Open trade deficit, at fair value $-  $398,189 
Owner redemptions payable  449,276   23,759 
Incentive fees payable to Managing Owner  -   10,897 
Redemptions payable $-  $133,633 
Management fees payable to Managing Owner  8,828   78,045   9,115   8,795 
Interest payable to Managing Owner  1,630   10,852   2,583   327 
Trading fees payable to Managing Owner  75,274   222,241   132,199   160,907 
Service fees payable to Managing Owner  173,515   96,152   56,706   68,762 
Risk analysis fees payable  9,994   27,562   9,971   8,465 
Advance on unrealized Swap Appreciation  12,191,555   12,191,555   12,191,555   12,191,555 
Subscriptions in advance for service fee rebates  564,008   497,326   611,968   598,042 
Other liabilities  20,662   4,003   21,659   22,078 
                
Total Liabilities  13,494,742   13,560,581   13,035,756   13,192,564 
                
OWNERS CAPITAL                
Managing Owner Units  595,404   851,595   416,567   487,974 
Limited Owner Units  56,666,174   71,161,187   37,624,963   48,068,619 
                
Total Owners Capital  57,261,578   72,012,782   38,041,530   48,556,593 
                
Total Liabilities and Owners Capital $70,756,320  $85,573,363  $51,077,286  $61,749,157 

 

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

 


49

Frontier Funds

Consolidated Condensed Schedule of Investments
June 30, 2019

March 31, 2020 (unaudited)

 

  Fair  % of Total Capital 
Description Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *        
Various agriculture futures contracts (U.S.) $(7,390)  -0.01%
Various base metals futures contracts (U.S.)  3,030   0.01%
Various interest rates futures contracts (Canada)  (3,156)  -0.01%
Various interest rates futures contracts (Europe)  61,445   0.11%
Various interest rates futures contracts (Far East)  14,846   0.03%
Various interest rates futures contracts (Oceanic)  3,380   0.01%
Various interest rates futures contracts (U.S.)  6,586   0.01%
Various precious metal futures contracts (U.S.)  15,580   0.03%
Various soft futures contracts (Far East)  (1,336)  0.00%
Various soft futures contracts (U.S.)  (5,556)  -0.01%
Various stock index futures contracts (Africa)  (548)  0.00%
Various stock index futures contracts (Canada)  286   0.00%
Various stock index futures contracts (Europe)  3,686   0.01%
Various stock index futures contracts (Oceanic)  5,404   0.01%
Various stock index futures contracts (U.S.)  8,686   0.02%
Total Long Futures Contracts $104,943   0.21%
SHORT FUTURES CONTRACTS *        
Various agriculture futures contracts (U.S.) $19,766   0.03%
Various base metals futures contracts (U.S.)  (15,221)  -0.03%
Various energy futures contracts (U.S.)  (4,480)  -0.01%
Various soft futures contracts (U.S.)  (1,170)  0.00%
Total Short Futures Contracts $(1,105)  -0.01%
CURRENCY FORWARDS *        
Various currency forwards contracts (NA) $(61,691)  -0.11%
Total Currency Forwards $(61,691)  -0.11%
Total Open Trade Equity (Deficit) $42,147   0.09%
SWAPS (1)        
Frontier Brevan Howard swap (U.S.) $3,036,673   5.30%
Frontier XXXIV Balanced select swap (U.S.)  10,691,012   18.67%
Frontier XXXV Diversified select swap (U.S.)  5,881,358   10.27%
Frontier XXXVII L/S select swap (U.S.)  435,901   0.76%
Total Swaps $20,044,944   35.00%
PRIVATE INVESTMENT COMPANIES (2)        
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  2,847,337   4.97%
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  3,146,329   5.49%
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  5,597,455   9.78%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  3,889,473   6.79%
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  552,017   0.96%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC  152,963   0.27%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  984,631   1.72%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  13,075,038   22.83%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  12,115,010   21.16%
Galaxy Plus Fund - TT Feeder Fund (531) LLC  2,036,068   3.56%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  1,328,816   2.32%
Total Private Investment Companies $45,725,137   79.85%

U.S. TREASURY SECURITIES      
          
FACE VALUE Fair Value    
       
$1,255,000  US Treasury Note 6.875% due 08/15/2025 (Cost $1,606,935)  1,619,710   2.83%
    Total U.S. Treasury Securities $1,619,710   2.83%
    % of Total
Capital		 
Description Fair Value  (Net Asset
Value)		 
LONG FUTURES CONTRACTS *      
Various base metals futures contracts (U.S.) $(25,730)  -0.07%
Various stock index futures contracts (U.S.)  -   0.00%
Total Long Futures Contracts $(25,730)  -0.07%
SHORT FUTURES CONTRACTS *        
Various base metals futures contracts (U.S.) $27,838   0.07%
Various stock index futures contracts (U.S.)  -   0.00%
Total Short Futures Contracts $27,838   0.07%
Total Open Trade Equity (Deficit) $2,108   0.00%
SWAPS (1)        
Frontier Brevan Howard swap (U.S.) $3,094,855   8.14%
Frontier XXXIV Balanced select swap (U.S.)  7,285,942   19.15%
Frontier XXXV Diversified select swap (U.S.)  4,742,032   12.47%
Frontier XXXVII L/S select swap (U.S.)  613,963   1.61%
Total Swaps $15,736,792   41.37%
PRIVATE INVESTMENT COMPANIES (2)        
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $210,254   0.55%
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  2,882,867   7.58%
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  3,363,243   8.84%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  2,338,528   6.15%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC  103,670   0.27%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  1,325,975   3.49%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  11,088,248   29.15%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  8,009,600   21.05%
Galaxy Plus Fund - TT Feeder Fund (531) LLC  1,284,811   3.38%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  422,159   1.11%
Total Private Investment Companies $31,029,355   81.57%

 

U.S. TREASURY SECURITIES

FACE VALUE

   Fair Value    
        
$155,000  US Treasury Note 6.875% due 08/15/2025 (Cost $199,768)  207,675   0.55%
    Total U.S. Treasury Securities $207,675   0.55%

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Notes to Consolidated Financial Statements, Note 4.
(2)See Notes to Consolidated Financial Statements, Note 5.

 

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

 


50

Frontier Funds

Consolidated Condensed Schedule of Investments

December 31, 20182019

 

    % of Total Capital   % of Total Capital 
Description Fair Value  (Net Asset Value)  Fair Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *          
Various agriculture futures contracts (Europe) $(1,315)  0.00%
Various base metals futures contracts (U.S.) $(3,344)  -0.01%
Various agriculture futures contracts (U.S.)  9,510   0.01%  22,437   0.05%
Various base metals futures contracts (U.S.)  (429,385)  -0.60%
Various currency futures contracts (Latin America)  42,160   0.06%
Various soft futures contracts (Far East)  709   0.00%
Various energy futures contracts (U.S.)  (643,321)  -0.89%  (735)  0.00%
Various interest rates futures contracts (Canada)  13,487   0.02%
Various soft futures contracts (U.S.)  1,740   0.00%
Various interest rates futures contracts (Europe)  360,817   0.50%  (2,763)  -0.01%
Various interest rates futures contracts (Far East)  36,092   0.05%
Various interest rates futures contracts (Oceanic)  78,270   0.11%
Various interest rates futures contracts (U.S.)  44,250   0.06%
Various precious metal futures contracts (U.S.)  14,730   0.02%  45,590   0.09%
Various soft futures contracts (U.S.)  (20,705)  -0.03%
Various stock index futures contracts (Europe)  (18,456)  -0.03%  (2,506)  -0.01%
Various stock index futures contracts (Far East)  (23,446)  -0.03%  (7,157)  -0.01%
Various stock index futures contracts (Oceanic)  1,338   0.00%  (21,237)  -0.04%
Various stock index futures contracts (U.S.)  (75,392)  -0.10%  21,385   0.04%
Total Long Futures Contracts $(611,366)  -0.85% $54,119   0.10%
SHORT FUTURES CONTRACTS *                
Various agriculture futures contracts (Canada) $9,817   0.01%
Various agriculture futures contracts (Europe)  400   0.00%
Various base metals futures contracts (U.S.) $(6,369)  -0.01%
Various agriculture futures contracts (U.S.)  81,243   0.11%  (1,410)  0.00%
Various base metals futures contracts (U.S.)  147,521   0.20%
Various currency futures contracts (Europe)  (63,875)  -0.09%
Various currency futures contracts (Far East)  (180,813)  -0.25%
Various currency futures contracts (Oceanic)  33,405   0.05%
Various energy futures contracts (U.S.)  425,052   0.59%  3,380   0.01%
Various interest rates futures contracts (Europe)  (79,801)  -0.11%  9,572   0.02%
Various interest rates futures contracts (Oceanic)  (309)  0.00%
Various interest rates futures contracts (U.S.)  (35,688)  -0.05%
Various precious metal futures contracts (U.S.)  (226,300)  -0.31%
Various interest rates futures contracts (Far East)  1,104   0.00%
Various soft futures contracts (U.S.)  22,291   0.03%  (3,340)  -0.01%
Various stock index futures contracts (Africa)  (1,220)  0.00%
Various stock index futures contracts (Canada)  3,027   0.00%
Various stock index futures contracts (Europe)  12,826   0.02%
Various stock index futures contracts (Far East)  283   0.00%
Various stock index futures contracts (U.S.)  62,711   0.09%
Total Short Futures Contracts $210,570   0.29% $2,937   0.01%
CURRENCY FORWARDS *                
Various currency forwards contracts (NA) $2,607   0.00%  59,128   0.12%
Total Currency Forwards $2,607   0.00% $59,128   0.12%
Total Open Trade Equity (Deficit) $(398,189)  -0.56% $116,184   0.23%
SWAPS (1)                
Frontier Brevan Howard swap (U.S.) $2,955,444   4.10% $2,888,008   5.95%
Frontier XXXIV Balanced select swap (U.S.)  10,794,908   14.99%  11,944,753   24.60%
Frontier XXXV Diversified select swap (U.S.)  5,920,414   8.22%  6,384,583   13.15%
Frontier XXXVII L/S select swap (U.S.)  479,102   0.67%  362,521   0.75%
Total Swaps $20,149,868   27.98% $21,579,865   44.45%
PRIVATE INVESTMENT COMPANIES (2)                
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  3,308,411   4.59% $1,484,422   3.06%
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  3,003,247   4.17%  3,180,963   6.55%
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  4,981,003   6.92%  4,620,630   9.52%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  4,968,683   6.90%  4,016,291   8.27%
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  5,503,821   7.64%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC  808,116   1.12%  157,773   0.32%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  930,806   1.29%  1,032,745   2.13%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  1,103,278   1.53%  12,052,434   24.82%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  18,370,991   25.51%  6,565,468   13.52%
Galaxy Plus Fund - TT Feeder Fund (531) LLC  2,595,925   3.60%  1,821,275   3.75%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  983,147   1.37%  994,036   2.05%
Total Private Investment Companies $46,557,428   64.64% $35,926,037   73.99%

 

U.S. TREASURY SECURITIES      
          
FACE VALUE Fair Value    
             
$4,512,000  US Treasury Note 6.875% due 08/15/2025 (Cost $5,589,456)  5,684,327   7.89%
    Total U.S. Treasury Securities $5,684,327   7.89%

U.S. TREASURY SECURITIES

FACE VALUE

   Fair Value    
        
$510,000  US Treasury Note 6.875% due 08/15/2025 (Cost $652,026) $650,728   1.34%
    Total U.S. Treasury Securities $650,728   1.34%

 

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

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

(2)See Notes to Consolidated Financial Statements, Note 5.

 

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


51

Frontier Funds

Consolidated Statements of Operations

For the Six Months Ended June 30, 2019 and 2018 (unaudited)

  

June 30,

2019

  June 30,
2018		 
Investment income:        
Interest - net $60,906  $116,557 
         
Total Income  60,906   116,557 
         
Expenses:        
Incentive Fees (rebate)  -   148,409 
Management Fees  69,666   461,121 
Risk analysis Fees  2,872   43,720 
Service Fees - Class 1, 1A, 2 and 2A  549,256   877,098 
Trading Fees  1,165,209   1,632,215 
         
Total Expenses  1,787,003   3,162,563 
         
Investment income/(loss) - net  (1,726,097)  (3,046,006)
         
Realized and unrealized gain/(loss) on investments:        
Net realized gain/(loss) on futures, forwards and options  (1,098,852)  (38,891)
Net unrealized gain/(loss) on private investment companies  4,859,737   (7,806,201)
Net realized gain/(loss) on private investment companies  (1,792,671)  423,435 
Net change in open trade equity/(deficit)  506,148   (514,240)
Net realized gain/(loss) on swap contracts  -   - 
Net unrealized gain/(loss) on swap contracts  (104,923)  1,588,330 
Net realized gain/(loss) on U.S. Treasury securities  59,596   (401,667)
Net unrealized gain/(loss) on U.S. Treasury securities  (32,268)  21,019 
Trading commissions  (20,240)  (51,747)
         
Net gain/(loss) on investments  2,376,527   (6,779,962)
         
NET INCREASE/(DECREASE) IN OWNERS’ CAPITALRESULTING FROM OPERATIONS $650,430  $(9,825,968)

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


Frontier Funds

Consolidated Statements of Operations

For the Three Months Ended June 30,March 31, 2020 and 2019 and 2018 (unaudited)

 

  June 30,
2019		  June 30,
2018		 
Investment income:        
Interest - net $16,734  $56,231 
         
Total Income  16,734   56,231 
         
Expenses:        
Incentive Fees (rebate)  -   - 
Management Fees  17,989   230,232 
Risk analysis Fees  (3,820)  20,922 
Service Fees - Class 1, 1A, 2 and 2A  257,901   411,318 
Trading Fees  581,958   761,690 
Other Fees  -   - 
         
Total Expenses  854,028   1,424,162 
         
Investment income/(loss) - net  (837,294)  (1,367,931)
         
Realized and unrealized gain/(loss) on investments:        
Net realized gain/(loss) on futures, forwards and options  178,497   715,860 
Net unrealized gain/(loss) on private investment companies  2,025,004   1,333,361 
Net realized gain/(loss) on private investment companies  127,735   (421,358)
Net change in open trade equity/(deficit)  (19,404)  249,677 
Net realized gain/(loss) on swap contracts  -   - 
Net unrealized gain/(loss) on swap contracts  244,541   56,022 
Net realized gain/(loss) on U.S. Treasury securities  (43,742)  (112,843)
Net unrealized gain/(loss) on U.S. Treasury securities  53,004   34,631 
Trading commissions  (9,167)  (32,749)
         
Net gain/(loss) on investments  2,556,468   1,822,601 
         
         
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $1,719,174  $454,670 

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


Frontier Funds

Consolidated Statements of Changes in Owners’ Capital
For the Six Months Ending June 30, 2019 (unaudited)

  Managing Owner  Limited Owners  Total 
          
Owners’ Capital, December 31, 2018 $851,595  $71,161,187  $72,012,782 
             
Sale of Units (including transfers)  -   -   - 
Redemption of Units (including transfers)  (256,000)  (15,145,634)  (15,401,634)
Net increase/(decrease) in Owners’            
Capital resulting from operations  (191)  650,621   650,430 
             
Owners’ Capital, June 30, 2019 $595,404  $56,666,174  $57,261,578 

The consolidated Trust is not unitized as are the individual Series of the Trust

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


Frontier Funds

Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2019 and 2018 (unaudited)

  June 30,
2019		  June 30,
2018		 
Cash Flows from Operating Activities:      
Net increase/(decrease) in capital resulting from operations $650,430  $(9,825,968)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:        
Change in:        
Net change in open trade equity  (440,336)  498,388 
Net unrealized (gain)/loss on swap contracts  104,923   (1,588,330)
Net unrealized (gain)/loss on U.S. Treasury securities  32,268   (21,019)
Net realized (gain)/loss on U.S. Treasuries securities  (59,596)  401,667 
Net unrealized (gain)/loss on private investment companies  (4,859,737)  7,806,201 
Net realized (gain)/loss on private investment companies  1,792,671   (423,435)
(Purchases) sales of:        
(Purchases) of U.S. Treasury securities  (8,596,723)  13,523,255 
Sales of U.S. Treasury securities  12,656,776   (16,729,100)
(Purchases) of Private Investment Companies  (22,654,399)  (17,440,372)
Sales of Private Investment Companies  26,557,496   23,949,869 
Reduction of collateral in Swap contracts  -   3,100,000 
U.S. Treasury interest and premium paid/amortized  28,153   158,988 
Increase and/or decrease in:        
Receivable from futures commission merchants  8,286,649   10,869,332 
Interest receivable  84,753   (62,590)
Receivable from related parties  -   58,146 
Other assets  (6,153)  - 
Incentive fees payable to Managing Owner  67,948   (53,036)
Management fees payable to Managing Owner, net of change in receivable  (69,217)  (15,342)
Interest payable to Managing Owner  (9,222)  (4,502)
Trading fees payable to Managing Owner  (146,967)  (225,266)
Service fees payable to Managing Owner  77,363   89,964 
Due from Managing Owner  -   31,887 
Risk analysis fees payable  (17,568)  (4,132)
Subscriptions in advance for service fee rebates  66,682   - 
Other liabilities  16,659   (9,653)
         
Net cash provided by operating activities  13,562,853   14,084,952 
Cash Flows from Financing Activities:        
         
Payment for redemption of capital  (15,401,634)  (15,595,187)
Redemptions payable  425,517   173,229 
         
Net cash used in financing activities  (14,976,117)  (15,421,958)
         
Net increase (decrease) in cash and cash equivalents  (1,413,264)  (1,337,006)
         
Cash and cash equivalents, beginning of period  1,729,879   2,695,377 
Cash and cash equivalents, end of period $316,615  $1,358,371 
  March 31,
2020		  March 31,
2019		 
Investment income:      
Interest - net $7,982  $44,172 
         
Total Income  7,982   44,172 
         
Expenses:        
Management Fees  (5,020)  51,677 
Risk analysis Fees  (1,506)  6,692 
Service Fees - Class 1  (202,335)  291,355 

Due Diligence Fees

  (4,132)  - 
Trading Fees  (443,896)  583,251 
Total Expenses  (656,889)  932,975 
         
Investment income/(loss) - net  (648,907)  (888,803)
         
Realized and unrealized gain/(loss) on investments:        
Net realized gain/(loss) on futures, forwards and options  642,235   (1,277,349)
Net unrealized gain/(loss) on private investment companies  792,691   2,834,733 
Net realized gain/(loss) on private investment companies  (219,121)  (1,920,406)
Net change in open trade equity/(deficit)  (25,719)  525,552 
Net unrealized gain/(loss) on swap contracts  (7,490,918)  (349,464)
Net realized gain/(loss) on U.S. Treasury securities  39,967   103,338 
Net unrealized gain/(loss) on U.S. Treasury securities  12,311   (85,272)
Trading commissions  (8,375)  (11,073)
         
Net gain/(loss) on investments  (6,256,929)  (179,941)
        
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $(6,905,836) $(1,068,744)

 

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

 


52

Frontier Funds

Consolidated Statements of Changes in Owners’ Capital

For the Three Months Ending March 31, 2020 (unaudited)

  Managing Owner  Limited Owners  Total 
Owners’ Capital, December 31, 2019 $487,974  $48,068,619  $48,556,593 
             
Sale of Units (including transfers)  -   -   - 
Redemption of Units (including transfers)  -   (3,609,228)  (3,609,228)
Payment made by Related Party  -   -   - 
Payment made by Managing Owner  -   -   - 
Net increase/(decrease) in Owners’  (71,407)  (6,834,428)  (6,905,835)
Capital resulting from operations            
Owners’ Capital, March 31, 2020 $416,567  $37,624,963  $38,041,530 

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

53

Frontier Funds

Consolidated Statements of Cash Flows

For the Three Months Ended March 31, 20120 and 2019 (Unaudited)

  March 31,
2020		  March 31,
2019		 
Cash Flows from Operating Activities:      
Net increase/(decrease) in capital resulting from operations $(6,905,836) $(1,068,744)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:        
Change in:        
Net change in open trade equity  114,076   (534,165)
Net unrealized (gain)/loss on swap contracts  7,490,918   349,463 
Net unrealized (gain)/loss on U.S. Treasury securities  (12,311)  85,272 
Net realized (gain)/loss on U.S. Treasuries securities  (39,967)  (103,338)
Net unrealized (gain)/loss on private investment companies  (792,691)  (2,834,733)
Net realized (gain)/loss on private investment companies  219,121   1,920,406 
(Purchases) sales of:        
Sales of swap contracts  -   - 
(Purchases) of swap contracts  (1,647,845)  - 
(Purchases) of U.S. Treasury securities  (2,941,281)  (5,275,023)
Sales of U.S. Treasury securities  3,421,048   8,139,078 
(Purchases) of Private Investment Companies  (1,974,303)  (18,881,035)
Sales of Private Investment Companies  7,444,555   14,680,430 
U.S. Treasury interest and premium paid/amortized  15,565   31,024 
Increase and/or decrease in:        
Receivable from futures commission merchants  2,380,910   8,387,671 
Interest receivable  11,377   98,264 
Other assets  (1,100,463)  (381,566)
Incentive fees payable to Managing Owner  -   (10,897)
Management fees payable to Managing Owner, net of change in receivable  320   (69,079)
Interest payable to Managing Owner  2,256   (3,455)
Trading fees payable to Managing Owner  (28,708)  (26,079)
Service fees payable to Managing Owner  (12,056)  (17,362)
Due from Managing Owner  -   (3,727)
Risk analysis fees payable  1,506   (12,295)
Subscriptions in advance for service fee rebates  13,926   51,370 
Other liabilities  (419)  132,043 
         
Net cash provided by operating activities  5,659,698   4,653,523 
Cash Flows from Financing Activities:        
         
Proceeds from sale of capital        
Payment for redemption of capital  (3,609,228)  (6,030,355)
Redemptions payable  (133,633)  65,936 
         
Net cash used in financing activities  (3,742,861)  (5,964,419)
         
Net increase (decrease) in cash and cash equivalents  1,916,837   (1,310,896)
         
Cash and cash equivalents, beginning of period  367,568   1,729,879 
Cash and cash equivalents, end of period $2,284,405  $418,983 

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

54

Frontier Funds

Notes to Consolidated Financial Statements (Unaudited)

 

1. Organization and Purpose

 

Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust and is set to expire on December 31, 2053. The Trust is a multi-advisor commodity pool, as described in in CFTC Regulation § 4.10(d)(2). The Trust has authority to issue separate Series of Units pursuant to the requirements of the Trust Act. The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act. It is managed by the Managing Owner.

 

Purchasers of Units are Limited Owners of the Trust with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as amended from time to time (the “Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series.

 

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

 

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, (Formerly Frontier Winton Fund), and Frontier Heritage Fund. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units.

 

The Trust, with respect to each Series:

 

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

 

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

 

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

 


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

 

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

55

 

 ●maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold)sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and

 

 ●all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund will be classified as Class 3 or Class 3a Units of such Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) business day to be received by the Managing Owner prior to 4:00 PM in New York.

 

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

 


As of June 30, 2019,March 31, 2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund Frontier Global Fund and Frontier Heritage Fund separates Units into a maximum of three separate Classes –Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus entities, 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 entities, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

 

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As of March 31, 2020, Frontier Global Fund has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the remaining Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.

 

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or willful misconduct.

 

2. Significant Accounting Policies

 

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Trust follows GAAP,U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946.

 

Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus entities, authorize certain Trading Advisors to place trades and manage assets at pre-determinedpredetermined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Investment interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Trust’s interest in the NAV in the Galaxy Plus entities. The equity interest held by Trust is shown as investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion to of the investment level of the private investment companies is shown in the statements of operations as net unrealized gain/(loss) on private investment companies. The Trading Companies and Series of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in consolidation.

 


Galaxy Plus entities are co-mingled investment vehicles. In addition to the Trust, there are other non-affiliated investors in Galaxy Plus.Plus entities. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the TrustTrust’s ownership percentage in Galaxy Plus.Plus entities. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by week basis which could also result in frequent changes in the consolidating Series. Such fluctuations make consolidating the financial statements of the Galaxy Plus entities both impractical and misleading. Non-consolidation of these Galaxy Plus entities presents a more useful financial statement for the readers. As such, management has decided that presenting Galaxy Plus entities on a non-consolidated basis as investments in other investments companies (a “fund of funds” approach) is appropriate and preferable to the users of these financial statements. Refer to Note 5 for additional disclosures related to these private investment companies.

 

Change in Consolidation Method—In February 2017, the Trust elected to change its method by which it consolidates its investments in the Galaxy Plus entities and applied to its December 31, 2016 financial statements. Prior to the change, any Series that had a controlling interest in a Galaxy Plus entity would consolidate the assets and liabilities of that entity into its Statement of Financial Condition and the profit and loss into the Statement of Operations. The Managing Owner believes that this treatment does not provide meaningful data to the end user of the financial statements. As such, all investments in Galaxy Plus entities are accounted for using the net asset value as the practical expedient. In accordance with ASC 250 (Accounting Changes and Error Corrections), the comparative financial statements as of and for the three and nine months ended September 30, 2016 have been adjusted to apply the new method retrospectively. This will impact management fees, incentive fees (rebate), net realized gain/(loss) on futures, forwards and options, net change in open trade equity/(deficit), net unrealized gain/(loss) on private investment companies, net realized gain/(loss) on private investment companies, and operations attributable to non-controlling interests on the Statement of Operations. We also note that there is no impact to total capital or net increase/(decrease) in capital resulting from operations attributable to controlling interests.

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

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Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted.

Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasuries and assets held at a futures commission merchant (“FCM”),an FCM of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations.

U.S. Treasury Securities—U.S. Treasury Securities are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures (“ASC 820”). The Trust values U.S. Treasury Securities at fair value and records the daily change in value in the consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable.

 

Receivable from Futures Commission Merchants—Merchants—The Trust deposits assets with aan FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20182019 and June 30, 2019March 31, 2020 included restricted cash for margin requirements of $1,717,065$2,890,330 and $2,609,013$1,322,883, for the Frontier Trading Company I LLC, and $4,621,100 and $0 for Frontier Trading Company II LLC, respectively.LLC.

 


Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the consolidated statements of financial condition as a net unrealized gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with FASB ASC 210,Balance Sheet (“ASC 210”) and Accounting Standards Update (ASU) 2013-01,Balance Sheet (Topic 210).

 

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

 

Purchase and Sales of Private Investment Companies—– The Trust is able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the private investment companies is determined by the Sponsor and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceeds and the fair value calculated by the Sponsor and is recorded as net unrealized gain/(loss) on private investment companies on the statements of operations.

 

Foreign Currency Transactions—The Series of the Trust’s functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments.

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

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Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust, or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Companies or Galaxy Plus entities.

Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews, compares and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts.

 

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Income Taxes—The Trust applies the provisions of ASC 740Income Taxes (“(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the quarter ended June 30, 2019.March 31, 2020. The 20152016 through 20182019 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Consolidated Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Consolidated StatementsStatement of Operations.

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisorscommodity trading advisors up to 10% of New Net Profits (as defined in the prospectus).new net profits. If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period, then the Managing Owner is obligated to return any amount in excess. The returned amounts are recorded as Incentive Fee (Rebate) on the Consolidated Statements of Operations.

59

Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Sellingselling agents.

 


Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2017, 2018 and 2018,2019, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2019 when2020 as such time the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $497,326$598,042 and $564,008$611,968 as of December 31, 20182019 and June 30, 2019,March 31, 2020, respectively.

 

These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blueblue1 sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months.

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

 

Owner redemptions payable—Funds payable for existing owner redemption requests are recorded as capital subtractions at the NAV per unit on the second business day following receipt or request.

Recently IssuedAdopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management is currently evaluating the impacts ASU 2018-13 will have on the consolidated financial statements. Refer to Note 11.statements

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

 

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3. Fair Value Measurements

 

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

Level 1 Inputs

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

 

Level 2 Inputs

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

Level 3 Inputs

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

 

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

Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs.

 

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

Swap contracts are reported at fair value uponvalue.  Valuation reports are generated and disseminated daily reports from the counterparty. In addition, a third party takesswap counterparty to the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price.third-party administrator.  The fair value measurements ofis applied by the swap contracts are valued using unadjusted inputs that were not internally developed.third-party administrator to calculate the daily performance.  The Managing Owner reviews the third-party administrator performance reports and compares approved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, in addition to reports from the administrator. Differences in prices exceeding 5%any noticeable exceptions are investigated.  Unexplainable differencesUnexplained exceptions are escalated to the Managing Owner’s Valuation Committee for further evaluation and resolution.  The Swap Contractscontracts are reported at fair value using Level 3 inputs.

Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. The private investment companies are excluded from the fair value hierarchy table below.

 


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The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series in aggregate, measured at fair value on a recurring basis as of June 30, 2019March 31, 2020 and December 31, 201831,2019, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.value:

 

June 30, 2019 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
March 31, 2020 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
Open Trade Equity (Deficit) $103,838 $(61,691) $-  $42,147  $2,108  $    -  $-  $2,108 
Swap Contracts  -   -   20,044,944   20,044,944   -   -   15,736,792   15,736,792 
U.S. Treasury Securities  1,619,710   -   -   1,619,710   207,675   -   -   207,675 

 

December 31, 2018 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
December 31, 2019 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
Open Trade Equity (Deficit) $(400,796) $2,607  $-  $(398,189) $57,056  $59,128  $-  $116,184 
Swap Contracts  -   -   20,149,868   20,149,868   -   -   21,579,865   21,579,865 
U.S. Treasury Securities  5,684,327   -   -   5,684,327   650,728   -   -   650,728 

 

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the Consolidated Statementstatements of Operations.operations.

 

Swaps

  For the
Six Three Months
ended June 30,March 31,
20192020		 
    
Balance of recurring Level 3 assets as of January 1, 20182019  20,149,86821,579,865 
Total gains or losses (realized/unrealized):    
Included in earnings-realized  - 
Included in earnings-unrealized  (104,9237,490,918)
Proceeds from collateral reduction  -
Purchase of investments  -1,647,845 
Sale of investments  - 
Transfers in and/or out of Level 3  - 
     
Balance of recurring Level 3 assets as of June 30, 2019March 31, 2020  20,044,94515,736,792 

 

  For the
Year ended
December 31,
20182019		 
    
Balance of recurring Level 3 assets as of January 1, 20182019  21,208,83820,149,868 
Total gains or losses (realized/unrealized):    
Included in earnings-realized  - 
Included in earnings-unrealized  2,041,0281,429,997 
Proceeds from collateral reduction  (3,099,998-)
Purchase of investments  - 
Sale of investments  - 
Transfers in and/or out of Level 3  - 
     
Balance of recurring Level 3 assets as of December 31, 20182019  20,149,86821,579,865 

 


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The Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the sixthree months ended June 30,March 31, 2020 and December 31, 2019, the Trust did not transfer any assets between Levels 1, 2 and 3.

 

The total change in unrealized appreciation (depreciation) included in the consolidated statements of operations attributable to level 3 investments still held at June 30, 2019:March 31, 2020: Swaps $(7,490,918)

 

Swaps$(104,924)

The total change in unrealized appreciation (depreciation) included in the consolidated statements of operations attributable to level 3 investments still held at December 31, 2018:

Swaps$2,041,028

2019: Swaps $1,429,997

 

4. SwapsSwap Contracts

 

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

 

The Trust’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust and are not used for hedging purposes.

 

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of June 30, 2019March 31, 2020 and December 31, 2018,2019, approximately 2.06%7.4% or $1,177,400$2,825,243 and 1.46%2.4% or $1,180,900$1,177,400, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as Swap Contracts,swap contracts, at fair value on the Consolidated Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted.


 

The Trust strategically invests assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of the Trust will be invested will not own any of the investments or indices referenced by any swap entered into by the Trust. In addition, neither the swap counterparty nor any advisor referenced by any such swap is a Trading Advisor to the Trust.

 

To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The TrustSeries are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of March 31, 2020, the XXXIV Balanced select swap, the XXXV Diversified select swap, the XXXVII Long/Short select swap and Brevan Howard Swap, had invested$6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the followingSeries’ Statements of Financial Conditions under advance on unrealized swap contracts as of and forappreciation, which relates to the six months ended June 30, 2019:  Trading Companies’ total return swaps with Deutsche Bank AG.

 

63

  XXXIV Balanced
select swap		  XXXV Diversified
select swap		  XXXVII L/S
select swap		  Brevan Howard 
  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap 
Counterparty Deutsche Bank AG  Deutsche Bank AG  Deutsche Bank AG  Deutsche Bank AG 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $86,000  $86,000  $29,950  $975,450 
Swap Value $10,605,012  $5,747,765  $431,716  $1,929,799 
                 
Investee Returns Total Returns  Total Returns  Total Returns  Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $(103,896) $(39,056) $(43,201) $81,229
Fair Value as of June 30, 2019 $10,691,012  $5,833,765  $461,666  $2,905,249 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)

 

The Trust had invested in the following swap contractsswaps as of and for the three months ended March 31, 2020:

  XXXIV Balanced select swap  XXXV Diversified select swap  XXXVII L/S select swap  Brevan Howard 
  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap 
Counterparty DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $1,264,696  $555,147  $29,950  $975,450 
Swap Value $6,021,245  $4,186,885  $584,013  $2,119,405 
Investee Returns Total Returns  Total Returns  Total Returns  Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $(5,837,509) $(2,111,698) $

251,441

  $

206,846

 
Fair Value as of March 31, 2020 $7,285,941  $4,742,032  $613,963  $3,094,855 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)

The Trust had invested in the following swaps as of and for the year ended December 31, 2018:2019:

 

 XXXIV Balanced
select swap		 XXXV Diversified
select swap		 XXXVII L/S
select swap		 Brevan Howard  XXXIV Balanced
select swap		  XXXV Diversified select swap  XXXVII L/S select swap  Brevan Howard 
 Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap 
Counterparty Deutsche Bank AG Deutsche Bank AG Deutsche Bank AG Deutsche Bank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG 
Notional Amount $7,420,403  $1,761,834  $653,610  $2,072,056  $7,420,403  $1,761,834  $653,610  $2,072,056 
Termination Date  7/31/2023   7/31/2023   7/31/2023   3/27/2023   7/31/2023   7/31/2023   7/31/2023   3/27/2023 
Cash Collateral $86,000  $86,000  $29,950  $978,950  $86,000  $86,000  $29,950  $975,450 
Swap Value $10,708,908  $5,834,414  $449,152  $1,976,494  $11,858,754  $6,298,583  $332,571  $1,912,559 
                
Investee Returns  Total Returns  Total Returns  Total Returns  Total Returns  Total Returns  Total Returns  Total Returns  Total Returns 
Realized Gain/(Loss) $0  $0  $0  $0  $0  $0  $0  $0 
Change in Unrealized Gain/(Loss) $1,453,948  $643,941  $82,063  $(138,924) $1,149,846  $464,169  $(116,581) $(67,435)
Fair Value as of December 31, 2018 $10,794,908  $5,920,414  $479,102  $2,955,444 
Fair Value as of December 31, 2019 $11,944,754  $6,384,583  $362,521  $2,888,009 
Advance on swap appreciation $(6,176,555) $(4,000,000) $(115,000) $(1,900,000) $(6,176,555) $(4,000,000) $(115,000) $(1,900,000)


64

5. Investments in Private Investment Companies

 

Investments in private investment companies represent cash and open trade equity invested in the private investment companies as well as the cumulative trading profits or losses allocated to the Trust by the private investment companies. Private investment companies allocate trading profits or losses on the basis of the proportion of the Trust’s capital allocated for trading to each respective private investment company, which bears no relationship to the amount of cash invested by the Trust in the private investment companies. Investments in private investment companies are valued using the NAV provided by the underlying private investment.

 

The Galaxy Plus structure is made up of feeder funds in which the Trust invests and master trading entities into which the feeder funds invest. No investment held by a Galaxy Plus master trading entity is greater than 5% of the Trust’s total capital.

 

The following table summarizes the Trust’s equity in earnings from each of the private investment companies during the three and six months ended June 30, 2019March 31, 2020 and 2018:March 31, 2019:

 

  Three Months Ended June 30, 2019 
  Trading  Commissions  Realized Gain/(Loss)  Change in Unrealized  Gain/(Loss)  Net Income
(Loss)		 
             
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (158,814)  2,086,802   (875,257)  1,052,731 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (13,321)  14,745   (20,773)  (19,349)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (236,151)  (7,141,659)  5,727,526   (1,650,284)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (21,036)  878,281   (312,243)  545,002 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   629,968   629,968 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (36,503)  (513,014)  282,753   (266,764)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  -   -   (106,211)  (106,211)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (5,508)  106,886   (16,733)  84,645 
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC  -   -   (48,550)  (48,550)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (35,417)  596,596   (170,169)  391,010 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (96,343)  2,623,329   (986,444)  1,540,542 
Total $(603,093) $(1,348,034) $4,103,867  $2,152,740 

  Three Months Ended June 30, 2018 
  Trading  Commissions  Realized Gain/(Loss)  Change in Unrealized  Gain/(Loss)  Net Income
(Loss)		 
             
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $(18,210) $(211,229) $96,828 $(132,611)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (24,246)  204,335   (60,057)  120,032 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (279,001)  (910,595)  1,645,342   455,746 
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (24,197)  472,234   (87,469)  360,568 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (804)  (62)  (201,421)  (202,287)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (57,884)  424,725   601,499   968,340 
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (32,845)  (213,339)  26,389  (219,795)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (15,080)  (107,644)  50,578  (72,146)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC  -   -   (49,181)  (49,181)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (20,302)  50,363   72,752   102,813 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (240,251)  (74,466)  (104,759)  (419,476)
Total $(712,820) $(365,678) $1,990,501  $912,003 


  Six Months Ended June 30, 2019 
  Trading  Commissions  Realized Gain/(Loss)  Change in Unrealized  Gain/(Loss)  Net Income  (Loss) 
             
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (269,187)  2,700,121   577,393   3,008,327 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   -   -   - 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (31,968)  74,118   (127,801)  (85,651)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (401,934)  (2,471,708)  273,362   (2,600,280)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (39,734)  2,103,831   (131,961)  1,932,139 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  -   -   574,339   574,339 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (85,197)  (1,510,044)  299,093   (1,296,148)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (38,565)  34,869   (128,735)  (132,431)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (14,734)  91,152   40,981   117,399 
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC  -   -   (80,033)  (80,033)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (83,364)  474,500   (156,448)  234,688 
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (205,190)  2,300,30   (700,123)  1,394,717 
Total $(1,169,873) $3,796,872  $440,067  $3,067,066 

 Six Months Ended June 30, 2018 
 Trading  Commissions Realized Gain/(Loss) Change in Unrealized  Gain/(Loss) Net Income  (Loss)  Three Months Ended March 31, 2020  Three Months Ended March 31, 2019 
          Realized
Gain/(Loss)		 Change in
Unrealized		 Net Income
(Loss)
Gain/(Loss)		 Realized
Gain/(Loss)		 Change in
Unrealized
Gain/(Loss)		 Net Income
(Loss)		 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $(68,124) $(282,837) $9,237  $(341,724)  562,016   908,905   1,470,921   502,946   1,452,650   1,955,596 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  -   (76,396)  68,413   (7,983)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (51,029)  (229,609)  2,223   (278,415)  (16,830)  (62,286)  (79,116)  40,726   (107,028)  (66,302)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (521,358)  929,287   (178,780)  229,149 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (889,479)  (422,917)  (1,312,396)  4,504,168   (5,454,164)  (949,996)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  (53,977)  (151,779)  19,215   (186,541)  187,934   (655,091)  (467,157)  1,206,855   180,282   1,387,137 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  (804)  (62)  (54,811)  (55,677)  12,047   (556,149)  (544,102)  -   (55,629)  (55,629)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (115,169)  (944,354)  62,600   (996,923)  (27,823)  (331,521)  (359,344)  (1,045,724)  16,340   (1,029,384)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (99,908)  (98,637)  17,730   (180,815)  -   -   -   (3,696)  (22,524)  (26,220)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (29,450)  (83,146)  6,332   (106,264)  (35,202)  300,986   265,784   (24,960)  57,714   32,754 
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC  -   -   (76,792)  (76,792)  -   -   -   -   (31,483)  (31,483)
Galaxy Plus Fund - TT Feeder Fund (531) LLC  (95,405)  (147,216)  (333,152)  (575,773)  (11,083)  (361,554)  (372,637)  (170,043)  13,721   (156,322)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  (543,620)  (4,460,709)  195,593   (4,808,736   (5,532)  2,030,359   2,024,827   (432,146)  286,321   (145,825)
Total $(1,578,844) $(5,545,458) $(262,192) $(7,386,494) $(223,952) $850,732  $626,780  $4,578,126  $(3,663,800) $914,326 

 

The Trust’s investments in private investment companies as of March 31, 2020 have certain redemption and liquidity restrictions which are described in the following table:

 

  RedemptionsRedemptionsLiquidity
Notice Period Redemptions Permitted Liquidity Restrictions
Frontier Funds      
Multi-Strategy      
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursDailyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours Daily None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None
Trend Following      
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None
Galaxy Plus Fund - TT Feeder Fund (531) LLC24 hoursWeeklyNone
Option Trading      
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC 24 hours Daily None

 

Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisors to the Trust.

Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

Effective April 1, 2020, Doherty Advisors became a new major advisor for Frontier Select Fund and Frontier Masters Fund.


65

6. Transactions with Affiliates

 

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

Expenses

 

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2019March 31, 2020 and December 31, 2018,2019, the range of management fees embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and (iv) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee was accrued on the relevant notional amount of the swap.

 

The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.

 

Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pays to the Managing Owner an FCM fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.


Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. Because the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2019,March 31, 2020, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap.swap.

 

66

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 3% and 2% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. With respect to Class 2 Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 0.25% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust.

 

As of June 30,March 31, 2020, the Trust had a payable to the Managing Owner in the amounts of $0, $9,115, $2,583, $132,199 and $56,706 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2019, the Trust had a payable to the Managing Owner in the amounts of $0, $8,828, $1,630, $173,515, $9,994$8,795, $327, $160,907, and $75,274 for incentive fees, management fees, interest, service fees, risk analysis fees, and trading fees, respectively.

As of December 31, 2018, the Trust had a payable to the Managing Owner in the amounts of $10,897, $78,045, $10,852, $222,241, and $96,152$68,762 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

 

For the three months ended June 30, 2019 the Trust paidMarch 31, 2020, the Managing Owner earned $0, $17,989, $(3,820), $257,901$5,020, $202,335 and $581,958 for incentive fees, management fees, risk analysis fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2019 the Trust paid the Managing Owner $0, $69,666, $2,872, $549,256 and $1,165,209 for incentive fees, management fees, risk analysis fees, service fees, and trading fees, respectively.

For the three months ended June 30, 2018 the Trust paid the Managing Owner $0, $230,232, $411,318 and $761,690$443,896 for incentive fees, management fees, service fees, and trading fees, respectively.

 

For the sixthree months ended June 30, 2018 the Trust paidMarch 31, 2019 the Managing Owner $148,409, $461,121, $877,096earned $0, $51,677, $291,355 and $1,632,215$583,251 for incentive fees, management fees, service fees, and trading fees, respectively.

 

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months.

For the three months ended June 30,March 31, 2020 and March 31, 2019, and 2018, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $0 and $0, respectively.


Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class(for the three months ended March 31, 2020, and March 31, 2019 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees Class 1a, Class 2a and Class 3a only)3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 100% of the interest is retained by the respective Series.

During the three months ended June 30,March 31, 2020 and March 31, 2019 and, 2018, the Trust paid $8,299$5,872, and $55,400,$25,609, respectively of such interest income to the Managing Owner. Such amounts are not included in the Consolidated Statementconsolidated statements of Operationsoperations of the Trust. All other interest income is recorded by the Trust on the Consolidated Statementconsolidated statements of Operations.operations.

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7. Financial Highlights

 

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three andsix months ended June 30, 2019March 31, 2020 and 2018.March 31, 2019. This data has been derived from the information presented in the consolidated financial statements.

 

Three months ended June 30March 31

  2019  2018 
Ratios to average net assets (1)        
Net investment income/(loss) (1)  -5.41%  -5.90%
Expenses before incentive fees (3) (4)  5.52%  6.14%
Expenses after incentive fees (3) (4)  5.52%  6.14%
Total return before incentive fees (2)  2.74%  0.49%
Total return after incentive fees (2)  2.74%  0.49%

 

Six months ended June 30

 2020  2019 
 2019  2018      
Ratios to average net assets (1)             
Net investment income/(loss) (1)  -5.57%  -6.03%  -5.77%  -5.42%
Expenses before incentive fees (3) (4)  -5.77%  6.12%  5.84%  5.69%
Expenses after incentive fees (3) (4)  -5.77%  6.27%  5.84%  5.69%
        
Total return before incentive fees (2)  1.04%  -9.74%  -15.26%  -1.61%
Total return after incentive fees (2)  1.04%  -9.89%  -15.26%  -1.61%

 

(1)Annualized with the exception of incentive fees.

(2)Total returns are not annualized.

(3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Consolidated Statements of Operations of the Trust. See footnote 5.

(4)Does not include management and incentive fees at Galaxy Plus.

 

The Trust financial highlights are calculated based upon the Trust’s consolidated financial statements. The consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data.

 

8. Derivative Instruments and Hedging Activities

 

The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of June 30, 2019March 31, 2020 and December 31, 20182019 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. As further described in Note 6 above, thereThere are embedded management fees embedded in transacting these swaps ranging from 1% to 1.5% accruedbased on fair value of swaps and the relevant notional amount of the swap andembedded incentive fees embedded in these swaps ranging from 15% to 25% accrued based on the net new trading profits of theon swaps.

 

For the three months ended June 30,March 31, 2020 and March 31, 2019, and June 30, 2018, the monthly average of futures, forwards options and futuresoptions contracts bought was approximately 230628, and 707,274, respectively and sold was approximately 277625, and 613,1,348, respectively.

 


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The following tables summarize the trading revenues for the three and six months ended June 30,March 31, 2020 and March 31, 2019 and 2018 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2019

Type of contract   
    
Agriculturals $64,042 
Currencies  (190,296)
Energies  (7,996)
Interest rates  312,541 
Metals  5,826 
Stock indices  (5,618)
Realized trading income/(loss)(1) $178,497 

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

Type of contract   
    
Metals $110,822 
Currencies  (735,456)
Energies  1,237,113
Agriculturals  154,718 
Interest rates  132,403 
Stock indices  (183,740)
Realized trading income/(loss)(1) $715,860 

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2019

Type of contract  
    
Agriculturals $4,479 
Currencies  (690,957)
Energies  (592,892)
Interest rates  865,211 
Metals  (611,514)
Stock indices  (73,178)
Realized trading income/(loss)(1) $(1,098,852)

contract type:

 

Realized Trading Revenue from Futures, Forwards and Options

for the SixThree Months Ended June 30, 2018March 31, 2020

Type of contract   
Agriculturals $75,122 
Currencies  106,325 
Energies    35,710 
Interest rates  88,571 
Metals    313,738 
Stock indices  

22,769

 
Realized trading income/(loss)(1)   $

642,235

 

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2019

 

Type of contract      
   
Metals $286,692 
Agriculturals $(59,562)
Currencies  (1,063,187)  (500,661)
Energies  972,529  (584,896)
Agriculturals  (9,340)
Interest rates  (46,591)  552,670 
Metals   (617,340)
Stock indices  (178,994)  (67,560)
Realized trading income/(loss)(1) $(38,891) $(1,277,349)

 

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

 


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

for the Three Months Ended June 30, 2019

 

Type of contract   
    
Agriculturals $(17,348)
Currencies  83,394
Energies  589
Interest rates  (99,664)
Metals  4,519
Stock indices  9,106
Change in unrealized trading income/(loss)(1) $(19,404)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

Type of contract   
    
Metals $206,966 
Currencies  (9,676)
Energies  (90,184)
Agriculturals  (21,184)
Interest rates  72,443
Stock indices  91,312
Change in unrealized trading income/(loss)(1) $(249,677)

 

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

for the SixThree Months Ended June 30, 2019March 31, 2020

 

Type of contract   
    
Agriculturals $(96,927)
Currencies  170,634 
Energies  221,638 
Interest rates  (334,017)
Metals  488,974 
Stock indices  55,845 
Change in unrealized trading income/(loss)(1) $506,148 

Type of contract   
Agriculturals $978 
Currencies  21,386 
Energies  (1,845)
Interest rates  4,169 
Metals  (43,253)
Stock indices  (7,154)
Change in unrealized trading income/(loss)(1)   $(25,719)

 

Unrealized Trading RevenueNet Change in Open Trade Equity from Futures, Forwards and Options

for the SixThree Months Ended June 30, 2018March 31, 2019

 

Type of contract      
   
Metals $(382,688)
Agriculturals $(79,579)
Currencies  (278,092)  87,240 
Energies  (61,956)  221,050 
Agriculturals  21,007 
Interest rates  384,926   (234,353)
Metals  484,455 
Stock indices  (197,437)  46,739 
Change in unrealized trading income/(loss)(1) $(514,240) $525,552 

 

(1)Amounts recorded in the Consolidated Statements of Operations under Net change in open trade equity/(deficit)

 

Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Trust’s open trade equity/(deficit), options written, and receivables from futures commission merchants (each, an “FCM”)FCMs are subject to master netting arrangements and collateral arrangements and meet the GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Trust’s policy is to recognize amounts subject to master netting arrangements on a net basis on the consolidated statements of financial condition.

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The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the consolidated statements of financial condition as of June 30, 2019March 31, 2020 and December 31, 2018:2019:

 

As of June 30, 2019March 31, 2020

 

 Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial  Net Amounts Presented
in the Statements of Financial Condition		  Gross Amounts of recognized Derivative Assets Gross Amounts offset in the Statements of Financial Condition Net Amounts Presented in the Statements of Financial Condition 
              
Open Trade Equity/(Deficit) $242,957  $(201,096) $41,861 $53,568  $(51,460) $2,108 
Swap Contracts  20,044,944   -   20,044,944  $15,736,792   -  $15,736,792 

 

As of December 31, 20182019

 

 Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial  Net Amounts Presented
in the Statements of Financial Condition		  Gross Amounts of recognized Derivative Assets  Gross Amounts offset in the Statements of Financial Condition  Net Amounts Presented in the Statements of Financial Condition 
              
Open Trade Equity/(Deficit) $3,244,057  $(3,642,246) $(398,189) $154,778  $(38,594) $116,184 
Swap Contracts  20,149,868   -   20,149,868   21,579,866   -   21,579,866 

 

9. Trading Activities and Related Risks

 

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

 

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

 


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

 

71

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

 

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

 

10. Indemnifications and Guarantees

 

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Trust up to the amount of equity at risk with the custodians of the Trust.Macquarie Futures USA LLC. The Trust has not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

 

11. Subsequent Events

 

The Managing Owner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The Managing Owner has assessed the subsequent events through the date that the financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to or disclosure in the financial statements.

 

From JulyApril 1, 20192020 through August 14, 2019,May 11, 2020, the Trust paid $1,660,812$ 1,865,176 in redemptions.

 


Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

Effective April 1, 2020, Doherty Advisors became a new major advisor for Frontier Select Fund and Frontier Masters Fund.

Item 2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

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IntroductionItem 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

Introduction

 

The following discussion and analysis contain forward-looking statements about the Managing Owner’s expectations of what may happen in the future. Forward-lookingForward looking statements are based on a number of assumptions and estimates that are inherently subject to significant risks and uncertainties, and our results could differ materially from the results anticipated by our forward-looking statements as a result of many known or unknown factors, including, but not limited to, those factors discussed in “Risk Factors.” See also the “Special Note About Forward-Looking Statements” set forth at the beginning of this report.

 

The following discussion and tables should be read in conjunction with our unaudited consolidated financial statements and notes thereto included in this quarterly report and our 20182019 Annual Report on Form 10-K for the year ended December 31, 2018.2019.

Overview

 

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

 

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including swaps). The Trust allocates funds to affiliated Trading Companies and Galaxy Plus entities, each of which has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s or Galaxy Plus entity’s assets, and make the trading decisions for the assets of each Series invested in such Trading Company or Gemini Plus entity. The assets of each Trading Company and Galaxy Plus entity will be segregated from the assets of each other Trading Company and Galaxy Plus entity. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies). For additional overview of the Trust’s structure and business activities, see Item 1.

All management fees, incentive fees, service fees, risk analysis fee (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the assets allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees or incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations. Embedded in the swap fair value is management and incentive fees being paid to Trading Advisors. As of June 30, 2019,March 31, 2020, the management fees and range of incentive fees by Trading Company were as follows:

Trading Company Management Fee Incentive Fee  Management
Fee		 Incentive
Fee		 
Frontier Trading Company XXXIV LLC       1% 20-25% 1% 20-25%
Frontier Trading Company XXXV LLC 1% 20-25% 1% 20-25%
Frontier Trading Company XXXVII LLC 1.5% 25% 1.5% 25%
Frontier Trading Company XXXIX LLC 1% 15% 1% 15%

 

For further discussion of fees paid by the Trust, see Item 1-Notes 2 and 6 “Significant Accounting Policies” and “Transactions with Affiliates”, respectively, in the Notes to Financial Statements (unaudited)

 


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Critical Accounting Policies and Estimates

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s most significant accounting policy, described below, includes the valuation of its futures and forward contracts, options contracts, swap contracts, U.S. treasury securities and investments in unconsolidated Trading Companies and Galaxy Plus entities, theentities. The majority of these investments are exchange traded contracts valued upon exchange settlement prices or non-exchange traded contracts and obligations with valuation based on third-party quoted dealer values on the Interbank market.

 

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

Investment Transactions and Valuation

 

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

 

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

 

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

 

In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard ASC 820 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. A full disclosure of the fair value hierarchy is presented in Note 3 of the financial statements—Fair Value Measurements.Measurements.

 

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Selection and Replacement of Trading Advisors

 

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

 

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

 

The Managing Owner’scommodity pool operator’s research department is continually refining ways to assimilate vast amounts of trading advisorTrading 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 advisorsTrading 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 systemcommodity pool operator applies a variety of statistical measures towards the evaluation of current and historical advisor performance data. Statistical measures may 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.

85

Qualitative Analysis

 

Although quantitative analysis statistically identifies the top performing trading advisors,Trading Advisors, qualitative analysis plays a major role in the trading advisorTrading Advisor evaluation and final selection process. Each trading advisor in the Managing Owner’s top decile universe initiallyTrading Advisor candidate undergoes extensive qualitative review by the Managing Owner’s research department, as well as continualongoing monitoring. This analysis generally includes,may include but is not limited to: (1) preliminary information and due diligence, (2) background review, (3) extensive 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 advisorsTrading Advisors and access to broader global markets. Multiple trading advisorsPortfolios comprised of multiple Trading Advisors can provide diversification across trading methodologies, trading time horizons, and markets traded. Additionally, multi-manager portfolios tendtraded, which may but is not guaranteed to provide a greater level of professional management with ongoing risk management and review. The result can begenerate more consistent performance returns with lowerover time while potentially lowering overall portfolio volatility.

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

 

Major Commodity Trading Advisor Trading System Style Accessed Through
Aspect Capital Limited Systematic Galaxy Plus
Beach HorizonSystematicTrading Company
BH-DG Systematic Trading LLP Systematic Swap
Crabel Capital Partners LLPC Systematic Swap
Doherty Advisors, LLCDiscretionaryGalaxy Plus
Emil Van Essen, LLC Discretionary Galaxy Plus
Fort, L.P. Systematic Galaxy Plus
H2O Asset Management Systematic Swap
J E Moody & Company Systematic Swap
Landmark Trading CompanyDiscretionaryGalaxy Plus
Quantitative Investment Management, LLC Systematic Galaxy Plus
Quest Partners LLC Systematic Galaxy Plus
Red Oak Commodity Advisors, Inc.DiscretionaryGalaxy Plus
Rosetta Capital Management, LLC DiscretionaryGalaxy Plus
Transtrend B.V.Systematic Galaxy Plus
Welton Investment Partners LLC Systematic Galaxy Plus
Wimmer HorizonSystematicTrading Company

 


Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as a commodity trading advisors to the Trust.

Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

Effective April 1, 2020, Doherty Advisors became a new major advisor for Frontier Select Fund and Frontier Masters Fund.

As of June 30, 2019,March 31, 2020, the allocation of the assets of each applicable Series of the Trust betweenamong the Trading Advisors was as follows:

Allocation as of June 30, 2019March 31, 2020 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

 

Advisor Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Masters Fund  Frontier Balanced Fund  

Frontier Select

Fund

  

Frontier Global

Fund

  Frontier Heritage Fund  Frontier Diversified Fund  Frontier Long/Short Commodity Fund  Frontier Masters Fund  Frontier Balanced Fund  Frontier Select Fund  Frontier Global Fund  Frontier Heritage Fund 
Aspect Capital Limited  18%         —   47%  16%      —   100%  46%  29%  —   73%  23%  —   100%  56%
BH-DG Systematic Trading LLP  —   —   —   —   23%  —   21%  —   —   —   —   40%  —   23%
Crabel Capital Partners, LLPC  6%  —   —   5%  —   —   —   7%  —   —   8%  —   —   — 
Doherty  6%          5%              10%  —   10%  8%  20%  —   — 
Emil Van Essen, LLC  9%  17%  20%  7%  —   —   — 
Fort, L.P.  17%  —   —   13%  —   —   —   17%  —   —   14%  —   —   — 
H2O Asset Management  13%  —   —   20%  —   —   —   3%  —   —   3%  —   —   — 
J E Moody & Company  —   17%  —   —   —   —   —   —   36%  —   —   —   —   — 
Landmark  2%  10%      2%            
Quantitative Investment Management, LLC  13%  —   —   12%  —   —   —   10%  —   —   15%  —   —   — 
Quest Partners LLC  4%  —   —   2%  —   —   — 
Red Oak Commodity Advisors, Inc.  —   2%  —   —   —   —   — 
Quest Partners, LLC  9%  —   —   5%  —   —   — 
Rosetta Capital Management, LLC  —   37%  —   —   —   —   —   —   41%  —   —   —   —   — 
Transtrend B.V.  —   —   10%  —   24%  —   — 
Welton Investment Partners LLC  14%  17%  23%  13%  54%  —   33%  15%  23%  17%  15%  40%  —   21%
Wimmer Horizon  —   —   —   5%  —   —   —   —   —   —   9%  —   —   — 

Effective March 12, 2020, Emil Van Essen and Transtrend BV ceased to act as commodity trading advisors to the Trust.

Effective April 1, 2020, Landmark Trading Company ceased to act as a commodity trading advisor to the Trust.

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Liquidity and Capital Resources

 

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

 

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

 

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At June 30, 2019,March 31, 2020, cash deposited at the clearing brokers was $4,146,414$1,322,883 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. As of June 30, 2019,March 31, 2020, with the Federal Funds target rate at 2.25%0.00 to 2.50 %,0.25%, this amount is estimated to be 2.25%0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds and time deposits. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to 2.00%2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to the Series was paid to the Managing Owner from January 1, 2017 through April 28, 2017; thereafter 100% of the interest is retained by the respective Series. The amount reflected in the financial statements for the Trust and Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.

 


Approximately 10% to 30% of the Trust’s assets are expected to be committed as required margin for futures contracts and forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange ActCEA and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act,CEA, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 64% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of June 30, 2019,March 31, 2020, total cash and cash equivalents held at banking institutions were $37,348$229,432 for the Frontier Diversified Fund, $75,541 for the Frontier Masters Fund, $26,414$126,375 for the Frontier Long/Short Commodity Fund, $12,895$176,877 for the Frontier Masters Fund, $1,214,004 for the Frontier Balanced Fund, $76,187$137,502 for the Frontier Select Fund, $38,052$248,015 for the Frontier Global Fund, and $50,178$152,200 for the Frontier Heritage Fund.

 

As a commodity pool, the Trust has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally, the Trust has not been forced to liquidate positions to fund redemptions. During the three months ended June 30, 2019,March 31, 2020, the Trust was able to pay all redemptions.

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Off-Balance Sheet Risk

 

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

 

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

 

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

 


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

Disclosure of Contractual Obligations

 

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

Results of Operations for the Three Months Ended March 31, 2020

 

Series Returns and Other Information

 

The returns for each Series and Class of Units for the three months ended June 30,March 31, 2020 and 2019, and 2018, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

 

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Each Series had exposure to commodity interest positions within one or more sectors during the three months ended June 30, 2019March 31, 2020 and 2018.2019. The performance of each Series was impacted over the course of the periods by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the periods presented.

 

As of the date of this report, for a Series that has invested in a swap, a trading advisor does not receive any management fees directly from the Series for such swap, and instead the relevant trading advisor receives compensation via the fees embedded in the swap. As of June 30, 2019,March 31, 2020, the effectiveweighted average management fee embedded in (i) swaps owned by Frontier Diversified Fund was 0.80%0.77% per annum, (ii) swaps owned by Frontier Balanced Fund was 0.62%0.56% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.92%1.86% per annum, (iv) swaps owned by Frontier Heritage Fund was 2.18%2.17% per annum, and (v) swaps owned by Frontier Select Fund was 2.04%1.74% per annum and the managing owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

 

Three months ended June 30, 2019March 31, 2020 Compared to Three Months Ended June 30, 2018.March 31, 2019.

 

Frontier Diversified Fund

The Frontier Diversified Fund— Class 1 NAV gained 1.59%lost 21.71% and gained 1.66%lost 1.38%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 2.02%lost 21.37% and gained 2.10%lost 0.95%, respectively for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 2.10%lost 21.32% and gained 2.16%lost 0.90%, respectively for the three months ended June 30, 2019March 31, 2020 and 2018.2019.

 


For the three months ended June 30,March 31, 2020, the Frontier Diversified Fund recorded net loss on investments of $2,140,625, net investment loss of $111,606, and total expenses of $111,640 resulting in a net decrease in Owners’ capital from operations of $2,251,871. For the three months ended March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $136,258,$66,078, net investment gainloss of $417,973,$137,867, and total expenses of $137,392$142,735 resulting in a net increasedecrease in Owners’ capital from operations of $281,715. For the three months ended June 30, 2018, the Frontier Diversified Fund recorded net loss on investments of $161,110, net investment gain of $537,649, and total expenses of $171,531 resulting in a net increase in Owners’ capital from operations of $376,539.$203,945.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018March 31, 2019 –Frontier Diversified Fund.”

Frontier Masters Fund

The Frontier Masters Fund—Class 1 NAV lost 0.98%1.31% and gained 1.05%lost 3.19% for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 0.56%1.15% and gained 1.49%lost 2.78% for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 0.52%1.09% and gained 1.56%lost 2.71% for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses.

 

For the three months ended June 30,March 31, 2020, the Frontier Masters Fund recorded net gain on investments of $10,450, net investment loss of $32,660, and total expenses of $33,650, resulting in a net decrease in Owners’ capital from operations of $22,210. For the three months ended March 31, 2019, the Frontier Masters Fund recorded net loss on investments of $61,592,$103,616, net investment gainloss of $75,795,$74,955, and total expenses of $63,058,$75,465, resulting in a net increasedecrease in Owners’ capital from operations of $14,203. For the three months ended June 30, 2018, the Frontier Masters Fund recorded net gain on investments of $202,533, net investment loss of $139,474, and total expenses of $147,789, resulting in a net increase in Owners’ capital from operations of $63,059.$178,571.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018—March 31, 2019— Frontier Masters Fund.”

 

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Frontier Long/Short Commodity Fund

The Frontier Long/Short Commodity Fund—Class 2 NAV gained 5.18%8.65% and lost 5.27%5.21%, respectively, for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV gained 5.18%8.60% and lost 5.27%5.22% respectively for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV gained 5.42%7.89% and lost 9.09%11.73% respectively, for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV gained 5.56%8.40% and lost 8.69%11.37% respectively, for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 5.63%8.52% and lost 8.63%11.27%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses.

 

For the three months ended June 30,March 31, 2020, the Frontier Long/Short Commodity Fund recorded net gain on investments of $122,801, net investment loss of $9,104, and total expenses of $9,751, resulting in a net increase in Owners’ capital from operations of $113,697. For the three months ended March 31, 2019, the Frontier Long/Short Commodity Fund recorded net loss on investments of $14,080,$152,085, net investment gainloss of $123,196,$13,316, and total expenses of $14,517, resulting in a net increase in Owners’ capital from operations of $109,116. For the three months ended June 30, 2018, the Frontier Long/Short Commodity Fund recorded net loss on investments of $204,528, net investment loss of $18,502, and total expenses of $21,926,$14,014, resulting in a net decrease in Owners’ capital from operations of $223,030. $165,401.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018March 31, 2019 – Frontier Long/Short Commodity Fund.”

 

Frontier Balanced Fund

 

The Frontier Balanced Fund—Class 1 NAV gained 1.28%lost 26.62% and gained 0.22%lost 2.33%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV gained 2.03%lost 26.08% and gained 0.98%lost 1.60%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV gained 2.09%lost 26.06% and gained 1.02%lost 1.62%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV gained 2.04%lost 26.07% and gained 1.02%lost 1.59%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV gained 2.03%lost 26.08% and gained 0.97%lost 1.60% for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses.

 


For the three months ended June 30,March 31, 2020, the Frontier Balanced Fund recorded net loss on investments of $5,418,209 net investment loss of $324,508, and total expenses of $330,819, resulting in a net decrease in Owners’ capital from operations of $5,742,717. For the three months ended March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $395,382,$273,490, net investment gainloss of $791,404,$445,648, and total expenses of $408,884,$457,008, resulting in a net increasedecrease in Owners’ capital from operations of $396,022. For the three months ended June 30, 2018, the Frontier Balanced Fund recorded net gain on investments of $739,375 net investment loss of $598,409, and total expenses of $606,837, resulting in a net increase in Owners’ capital from operations of $140,996. $719,138.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018March 31, 2019 – Frontier Balanced Fund.”

Frontier Select Fund

The Frontier Select Fund—Class 1 NAV gained 7.45%1.39% and lost 2.25%0.91%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 8.31%2.13% and lost 1.52%0.21% respectively for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV gained 7.34%1.89% and lost 1.51%0.18%, respectively, for the three months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the three months ended June 30, 2019,March 31, 2020, the Frontier Select Fund recorded net lossgain on investments of $49,037,$81,804, net investment gainloss of $316,822$37,115 and total expenses of $49,037,$37,115, resulting in a net increase in Owners’ capital from operations of $267,785.$44,689. For the three months ended June 30, 2018,March 31, 2019, the Frontier Select Fund recorded net lossgain on investments of $68,312,$7,059, net investment loss of $61,382$48,137 and total expenses of $61,382,$48,137, resulting in a net decrease in Owners’ capital from operations of $129,694.$41,078.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018March 31, 2019 – Frontier Select Fund.”

 

Frontier Global Fund (formerly, Frontier Winton Fund)

 

The Frontier Global Fund—Class 1 NAV gained 5.36%10.99% and gained 2.81%3.63%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Global Fund —Class 2 NAV gained 6.14%11.83% and gained 3.36%4.43%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Global Fund —Class 1AP NAV gained 6.15%12.08% and gained 3.45%4.39%, respectively, for the three months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the three months ended June 30, 2019,March 31, 2020, the Frontier Global Fund recorded net lossgain on investments of $134,908,$559,705, net investment gainloss of $468,112,$85,996, and total expenses of $134,908,$85,996, resulting in a net increase in Owners’ capital from operations of $333,204.$473,709. For the three months ended June 30, 2018,March 31, 2019, the Frontier Global Fund recorded net gain on investments of $621,227,$355,477, net investment loss of $293,292,$94,838, and total expenses of $293,292,$94,838, resulting in a net increase in Owners’ capital from operations of $327,935.$240,639.

 

Please see additional discussion under “Six“Three Months Ended June 30, 2019March 31, 2020 Compared to SixThree Months Ended June 30, 2018March 31, 2019 – Frontier Global Fund.”

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Frontier Heritage Fund

 

The Frontier Heritage Fund—Class 1 NAV gained 9.95%17.09% and lost 1.74%0.15%, respectively, for the three months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV gained 10.75%17.96% and lost 1.01%gained 0.61%, respectively for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV gained 12.36%18.59% and lost 1.01%gained 0.60%, respectively, for the three months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the three months ended June 30,March 31, 2020, the Frontier Heritage Fund recorded net gain on investments of $627,072, net investment loss of $47,918, and total expenses of $47,918, resulting in a net increase in Owners’ capital from operations of $478,867, after non-controlling interests of $100,287. For the three months ended March 31, 2019, the Frontier Heritage Fund recorded net lossgain on investments of $51,466,$22,807, net investment gainloss of $435,107,$51,199, and total expenses of $51,466,$51,199, resulting in a net decrease in Owners’ capital from operations of $319,922,$28,392, after non-controlling interests of $63,719. $24,336.

Please see additional discussion under “Three Months Ended March 31, 2020 Compared to Three Months Ended March 31, 2019 – Frontier Heritage Fund.”

Three months ended March 31, 2020 Compared to Three Months Ended March 31, 2019

Frontier Diversified Fund

2020

The Frontier Diversified Fund— Class 1 NAV lost 21.71% and lost 1.38%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 21.37% and lost 0.95%, respectively for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 21.32% and lost 0.90%, respectively for the three months ended March 31, 2020 and 2019.

For the three months ended June 30, 2018,March 31, 2020, the Frontier HeritageDiversified Fund recorded net loss on investments of $26,200,$2,140,265, net investment loss of $102,050,$111,606, and total expenses of $102,050,$111,640 resulting in a net decrease in Owners’ capital from operations of $86,681, after non-controlling interests of $41,569.

Please see additional discussion under “Six Months Ended June 30, 2019 Compared to Six Months Ended June 30, 2018 – Frontier Heritage Fund.”


Six$2,251,871. For the three months ended June 30, 2019 Compared to Six Months Ended June 30, 2018.

Frontier Diversified Fund

2019

The Frontier Diversified Fund— Class 1 NAV gained 0.19% and lost 6.97%, respectively, for the six months ended June 30, 2019 and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 1.05% and lost 6.15%, respectively for the six months ended June 30, 2019 and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 1.19% and lost 6.04%, respectively for the six months ended June 30, 2019 and 2018.

For the six months ended June 30,March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $276,391,$66,078, net investment gainloss of $354,161,$137,867, and total expenses of $282,393$142,735 resulting in a net increasedecrease in Owners’ capital from operations of $77,770. $203,945.

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The NAV per Unit, Class 1, increaseddecreased from $102.25$101.10 at December 31, 20182019 to $102.44$79.15 as of June 30, 2019.March 31, 2020. The NAV per Unit, Class 2, increaseddecreased from $120.84$121.58 at December 31, 20182019 to $122.11$95.60 as of June 30, 2019.March 31, 2020. The NAV per Unit, Class 3 increaseddecreased from $112.62$113.61 at December 31, 20182019 to $113.96$89.39 as of June 30, 2019.March 31, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $37,232,$589,750, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,800,104,$1,274,585, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $1,121,206,$(369,037), respectively. Ending capital at June 30, 2019March 31, 2020 was $1,492,841$572,402 for Class 1, $5,885,291$3,397,113 for Class 2 and $5,897,606$4,282,935 for Class 3. Ending capital at December 31, 2018 was $1,703,5562019, is $1,303,195 for Class 1 $7,672,754and $5,600,851 for Class 2 and $6,780,200$5,095,574 for Class 3.

 

The Frontier Diversified Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

 

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the management fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

 

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps range from 20% to 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management fees and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

 

As of June 30, 2019,March 31, 2020, the management fee embedded in swaps owned by the Frontier Diversified Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from those Seriesthe Frontier Diversified Fund in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

 


Based on an analysis of the management fees charged to Frontier Diversified Fund, the effective management fee rate of the Frontier Diversified Fund was higher than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended June 30, 2019,March 31, 2020, the effective management fee rate of the Frontier Diversified Fund was 0.80%0.77%, compared to a management fee payable to the Managing Owner of 0.75%. For the quarter ended June 30, 2019,March 31, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Diversified Fund was $16,804.$51,714.

82

 

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

 

 

One sector whichThree of the six sectors traded in the Frontier Diversified Fund waswere profitable in Q2 2019Q1 2020. Metals, Energies and one was profitable YTD. Interest Rates were profitable for Q2 2019 while Metals, Currencies, Energies, Agriculturals and Stock Indices finished negative for the quarter.

Metals, Energies and Interest RatesRate sectors were profitable YTDpositive year-to-date (“YTD”) while Metals, Currencies, Energies, Agriculturals and Stock Indices finishedwere negative YTD.

 


In terms of major CTA performance, four of the eight major CTAs in the Frontier Diversified Fund were profitable in Q1 2020. Aspect, H20, Quest, Welton and FortCrabel finished positive for the quarter. Crabel, Emil Van Essen, Fort, H2O and QIM werefinished negative for the quarter.

In terms of YTD performance, Aspect, H20, Quest, Welton and Fort finishedCrabel were positive YTD. Crabel,YTD while Emil Van Essen, QIM, QuantmetricsFort, H2O and WintonQIM were negative YTD.

 

2018

83

2019

 

The Frontier Diversified Fund— Class 1 NAV lost 6.97%1.38% and lost 4.04%8.49%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 6.15%0.95% and lost 3.25%8.08%, respectively for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 6.04%0.90% and lost 3.12%8.03%, respectively for the sixthree months ended June 30, 2018March 31, 2019 and 2017.2018.

 

For the sixthree months ended June 30, 2018,March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $977,245$66,078, net investment loss of $348,202,$137,867, and total expenses of $366,240$142,735 resulting in a net decrease in Owners’ capital from operations of $1,325,447.$203,945. The NAV per Unit, Class 1, decreased from $116.41$102.25 at December 31, 20172018 to $108.30$100.84 as of June 30, 2018.March 31, 2019. The NAV per Unit, Class 2, decreased from $135.19$120.84 at December 31, 20172018 to $126.87$119.69 as of June 30, 2018.March 31, 2019. The NAV per Unit, Class 3 decreased from $125.68$112.62 at December 31, 20172018 to $118.09$111.62 as of June 30, 2018.March 31, 2019. Total Class 1 subscriptions and redemptions for the period were $0 and $213,456,$37,231, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $776,442,$1,394,381, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $842,320,$343,798, respectively. Ending capital at June 30, 2018March 31, 2019 was $1,951,083$1,583,757 for Class 1, $8,276,500$6,166,872 for Class 2 and $8,081,439$6,426,526 for Class 3. Ending capital at December 31, 20172018 was $2,332,222$1,703,556 for Class 1, $9,632,746$7,672,754 for Class 2 and $9,501,719$6,780,200 for Class 3.

 

The Frontier Diversified Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps range from 20% to 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management fees and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

As of March 31, 2019, the management fee embedded in swaps owned by the Frontier Diversified Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from the Frontier Diversified Fund in respect of such the Frontier Diversified Fund’s investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

Based on an analysis of the management fees charged to Frontier Diversified Fund, the effective management fee rate of the Frontier Diversified Fund was higher than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended March 31, 2019, the effective management fee rate of the Frontier Diversified Fund was 0.80%, compared to a management fee payable to the Managing Owner of 0.75%. For the quarter ended March 31, 2019, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Diversified Fund was $29,656.

84

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

 

 


 

ThreeTwo sectors which traded in the Frontier Diversified Fund were profitable in Q2 2018Q1 2019 and threetwo were profitable YTD. Currencies, Energies and Interest Rates were profitable for Q2 2018Q1 2019 while Metals, Currencies, Agriculturals and Stock Indices finished negative for the quarter. Currencies, Energies and Interest Rates were profitable YTD while Metals, Currencies, Agriculturals and Stock Indices finished negative YTD.

In terms of major CTA performance, Crabel, Emil Van Essen,Aspect, H20 and Fort Quantitative Investment Management and Winton finished positive for the quarter. Aspect, H20,Crabel, Emil Van Essen, QIM and Quantmetrics, Quest, PartnersWelton and WeltonWinton were negative for the quarter.

 

Aspect, H20 and Fort finished positive YTD. Crabel, Emil Van Essen, and H2O were positive YTD while Aspect, Fort, Quantitative Investment Management,QIM, Quantmetrics, Quest, Welton and Winton were negative YTD.

 

85

Frontier Masters Fund

2020

2019

 

The Frontier Masters Fund—Class 1 NAV lost 4.14%1.31% and lost 13.43%3.19% for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 3.32%1.15% and lost 12.67%2.78% for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 3.22%1.09% and lost 12.56%2.71% for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses.

 

For the sixthree months ended June 30,March 31, 2020, the Frontier Masters Fund recorded net gain on investments of $10,450, net investment loss of $32,660, and total expenses of $33,650, resulting in a net decrease in Owners’ capital from operations of $22,210. For the three months ended March 31, 2019, the Frontier Masters Fund recorded net loss on investments of $141,299,$103,616, net investment loss of $23,069,$74,955, and total expenses of $143,455,$75,465, resulting in a net decrease in Owners’ capital from operations of $164,368.$178,571.

 

The NAV per Unit, Class 1, decreased from $91.10$72.28 at December 31, 20182019 to $87.33$71.34 as of June 30, 2019.March 31, 2020. The NAV per Unit, Class 2, decreased from $107.68$87.18 at December 31, 20182019 to $104.10$86.18 as of June 30, 2019.March 31, 2020. The NAV per Unit, Class 3, decreased from $100.77$81.78 at December 31, 20182019 to $97.53$80.89 as of June 30, 2019.March 31, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $1,343,509,$0, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $114,053,$0, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $408,756,$119,501, respectively. Ending capital at June 30, 2019March 31, 2020 was $123,131$12,591 for Class 1, $1,130,931$841,014 for Class 2 and $2,287,385$1,242,724 for Class 3. Ending capital at December 31, 20182019, was $1,484,478$12,794 for Class 1, $1,292,975$850,808 for Class 2 and $2,794,680 for Class 3.


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

Two of the six sectors which traded in the Frontier Masters Fund were profitable in Q2 2019 and two of the six were profitable YTD. Interest Rates and Energies were profitable for Q2 2019 while Agriculturals, Metals, Currencies, and Stock Indices finished negative for the quarter. Interest Rates and Energies were profitable YTD while Agriculturals, Metals, Currencies, and Stock Indices finished negative YTD.

In terms of major CTA performance, Aspect, Transtrend and Welton finished positive for the quarter. Emil Van Essen was negative for the quarter. Aspect, Transtrend and Welton were positive YTD. Emil Van Essen and Winton were negative YTD.


2018

The Frontier Masters Fund—Class 1 NAV lost 13.43% and lost 9.23%, respectively, for the six months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 12.67%, and lost 8.45%, respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 12.56% and lost 8.33%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses.

For the six months ended June 30, 2018, the Frontier Masters Fund recorded net loss on investments of $1,260,314, net investment loss of $312,421, and total expenses of $329,155, resulting in a net decrease in Owners’ capital from operations of $1,572,735. The NAV per Unit, Class 1, decreased from $114.74 at December 31, 2017 to $99.33 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $133.27 at December 31, 2017 to $116.38 as of June 30, 2018. The NAV per Unit, Class 3, decreased from $124.40 at December 31, 2017 to $108.77 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $323,341, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,417,097, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $1,335,657, respectively. Ending capital at June 30, 2018 was $2,205,345 for Class 1, $1,620,107 for Class 2 and $3,563,115 for Class 3. Ending capital at December 31, 2017 was $2,913,542 for Class 1, $3,538,600 for Class 2 and $5,504,998$1,374,437 for Class 3.

 

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

 

86

 

 

Two of the six sectors which traded in the Frontier Masters Fund were profitable in Q2 2018Q1 2020 and onetwo of the six waswere profitable YTD. Energies and Interest Rates were profitable for Q2 2018Q1 2020 while Agriculturals, Metals, Currencies, Agriculturals and Stock Indices finished negative for the quarter. Energies and Interest Rates were profitable YTD while Agriculturals, Metals, Currencies, Agriculturals, Interest Rates and Stock Indices finished negative YTD.

 

In terms of major CTA performance, Aspect and Welton finished positive for the quarter. Transtrend and Emil Van Essen were negative for the quarter. Aspect and Welton were positive YTD. Transtrend and WintonEmil Van Essen were negative YTD.

2019

The Frontier Masters Fund—Class 1 NAV lost 3.19% and lost 14.33% for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 2.78% and lost 13.96% for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 2.71% and lost 13.91% for the three months ended March 31, 2019 and 2018, net of fees and expenses.

For the three months ended March 31, 2019, the Frontier Masters Fund recorded net loss on investments of $103,616, net investment loss of $74,955, and total expenses of $75,465, resulting in a net decrease in Owners’ capital from operations of $178,571. For the three months ended March 31, 2018, the Frontier Masters Fund recorded net loss on investments of $1,462,847, net investment loss of $172,947, and total expenses of $181,366, resulting in a net decrease in Owners’ capital from operations of $1,635,794.

The NAV per Unit, Class 1, decreased from $91.10 at December 31, 2018 to $88.19 as of March 31, 2019. The NAV per Unit, Class 2, decreased from $107.68 at December 31, 2018 to $104.69 as of March 31, 2019. The NAV per Unit, Class 3, decreased from $100.77 at December 31, 2018 to $98.04 as of March 31, 2019. Total Class 1 subscriptions and redemptions for the period were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $97,053, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $248,270, respectively. Ending capital at March 31, 2019 was $1,437,087 for Class 1, $1,153,978 for Class 2 and $2,457,174 for Class 3. Ending capital at December 31, 2018 was $1,484,478 for Class 1, $1,292,975 for Class 2 and $2,794,680 for Class 3.

87

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

 

One of the six sectors which traded in the Frontier Masters Fund was profitable in Q1 2019 and one of the six was profitable YTD. Interest Rates were profitable for Q1 2019 while Agriculturals, Metals, Currencies, Energies, and Stock Indices finished negative for the quarter. Interest Rates were profitable YTD while Agriculturals, Metals, Currencies, Energies, and Stock Indices finished negative YTD.

In terms of major CTA performance, Aspect and Transtrend finished positive for the quarter. Welton, wasEmil Van Essen and Winton were negative for the quarter

quarter. Aspect and Transtrend were positive YTD. Welton, Emil Van Essen was positive YTD while Transtrend, Welton and Winton were negative YTD.

9788

 

 

Frontier Long/Short Commodity Fund

 

20192020

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 0.30%gained 8.65% and lost 8.02%5.21%, respectively, for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 0.31%gained 8.60% and lost 8.02%5.22% respectively for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 6.94%gained 7.89% and lost 12.99%11.73% respectively, for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV lost 6.43%gained 8.40% and lost 12.24%11.37% respectively, for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 6.27%gained 8.52% and lost 8.02%11.27%, respectively, for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses.

 

For the sixthree months ended June 30,March 31, 2020, the Frontier Long/Short Commodity Fund recorded net gain on investments of $122,801, net investment loss of $9,104, and total expenses of $9,751, resulting in a net increase in Owners’ capital from operations of $113,697. For the three months ended March 31, 2019, the Frontier Long/Short Commodity Fund recorded net loss on investments of $27,396,$152,085, net investment loss of $28,889,$13,316, and total expenses of $28,531,$14,014, resulting in a net decrease in Owners’ capital from operations of $56,285.$165,401.

 

The NAV per Unit, Class 2, decreasedincreased from $98.82 at$81.60 as of December 31, 20182019 to $98.52 as of June 30, 2019.$88.66 at March 31, 2020. The NAV per Unit, Class 3, decreasedincreased from $103.66 at$85.64 as of December 31, 20182019 to $103.34 as of June 30, 2019.$93.01 at March 31, 2020. The NAV per Unit, Class 1a, decreasedincreased from $56.80 at$44.20 as of December 31, 20182019 to $52.86 as of June 30, 2019.$47.69 at March 31, 2020. The NAV per Unit, Class 2a, decreasedincreased from $66.52 at$52.55 as of December 31, 20182019 to $62.24 as of June 30, 2019.$56.98 at March 31, 2020. The NAV per Unit, Class 3a, decreasedincreased from $69.83 at$55.31 as of December 31, 20182019 to $65.45 as of June 30, 2019.$60.02 at March 31, 2020. Total Class 2 subscriptions and redemptions for the periodtwelve months were $20,093.$0 and $1,422, respectively. Total Class 3 subscriptions and redemptions for the periodthree months were $135,785.$0 and $8,248, respectively. Total Class 1a redemptions were $2,315. Class 2asubscriptions and redemptions for the periodthree months were $58,416.$0 and $0, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 3a subscriptions and redemptions for the periodthree months were $0 and $54,845$0, respectively.

Ending capital at June 30, 2019 was $62,659March 31, 2020, is $43,043 for Class 2, $1,646,165$1,068,324 for Class 3, $16,174$12,359 for Class 1a, $110,846$88,732 for Class 2a and $281,624$225,859 for Class 3a. Ending capital at December 31, 2018 was $84,0962019, is $41,045 for Class 2, $1,791,417$991,828 for Class 3, $20,051$11,447 for Class 1a, $186,469$81,826 for Class 2a and $363,174$208,144 for Class 3a.

 

The Frontier Long/Short Commodity Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

 

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the management fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”),CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

 

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.50% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

 

As of June 30, 2019, the management fee embedded in swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and the managing owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

Based on an analysis of the management fees charged to Frontier Long/Short Commodity Fund, the effective management fee rate of the Frontier Long/Short Commodity Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended June 30, 2019,March 31, 2020, the effective management fee rate of the Frontier Long/Short Commodity Fund was 1.92%1.86%, compared to a management fee payable to the Managing Owner of 2.00%. For the quarter ended June 30,March 31, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Long/Short Commodity Fund was $3,579.

89

The Frontier Long/Short Commodity Fund may have both long and short exposure to the Base Metals, Energies, Grains, Meats, Precious Metals, Financials and Softs sectors, although the majority of the exposure will typically be in the Energies, Metals and Softs sectors.

 
 
 

90

  
 

Six of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1 2020 and six of the seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious Metals, and Financials finished Q1 2020 positive while Softs finished negative for the quarter. Energies, Base Metals, Grains, Meats, Precious Metals, and Financials finished positive YTD. Softs were negative YTD.

In terms of major CTA performance, JE Moody and Welton finished positive for the quarter. Emil Van Essen and Rosetta were negative for the quarter.

In terms of YTD performance, JE Moody and Welton was positive YTD while Emil Van Essen and Rosetta were negative YTD.

91

2019

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 5.21% and lost 2.91%, respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 5.22% and lost 2.91% respectively for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 11.73% and lost 4.29% respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV lost 11.37% and lost 3.89% respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 11.27% and lost 3.83%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses.

For the three months ended March 31, 2019, the Frontier Long/Short Commodity Fund recorded net loss on investments of $152,085, net investment loss of $13,316, and total expenses of $14,014, resulting in a net decrease in Owners’ capital from operations of $165,401. For the three months ended March 31, 2018, the Frontier Long/Short Commodity Fund recorded net loss on investments of $103,393, net investment loss of $21,315, and total expenses of $21,315, resulting in a net decrease in Owners’ capital from operations of $124,708.

The Frontier Long/Short Commodity Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.50% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

Based on an analysis of the management fees charged to Frontier Long/Short Commodity Fund, the effective management fee rate of the Frontier Long/Short Commodity Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended March 31, 2019, the effective management fee rate of the Frontier Long/Short Commodity Fund was 1.91%, compared to a management fee payable to the Managing Owner of 2.00%. For the quarter ended March 31, 2019, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Long/Short Commodity Fund was $3,594.$3,583.

 


92

 

The Frontier Long/Short Commodity Fund may have both long and short exposure to the Base Metals, Energies, Grains, Meats, Precious Metals, Financials and Softs sectors, although the majority of the exposure will typically be in the Energies, Metals and Softs sectors.

 

 


 

Six

93

None of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q2Q1 2019 and fournone of the seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished positive for the quarter. Precious Metals finished negative for the quarter. Energies, Base Metals, Grains, Meats, and Financials were positive YTD. Base Metals, Precious Metals Softs and SoftsFinancials were negative YTD.

 

In terms of major CTA performance, Red Oak and Welton finished positive for the quarter. Emil Van Essen, JE Moody, Rosetta and RosettaWelton were negative for the quarter.

 

In terms of YTD performance, Red Oak and Welton werewas positive YTD while Emil Van Essen, JE Moody, Rosetta and RosettaWelton were negative YTD.

 


94

 

2018

Frontier Balanced Fund

2020

The Frontier Long/Short CommodityBalanced Fund—Class 21 NAV lost 8.02%26.62% and lost 10.20%2.33%, respectively, for the sixthree months ended June 30, 2018March 31, 2020 and 2017,2019, net of fees and expenses; the Frontier Long/Short CommodityBalanced Fund —Class 32 NAV lost 8.02%26.08% and lost 6.68%1.60%, respectively, for the sixthree months ended June 30, 2018March 31, 2020 and 2017,2019, net of fees and expenses; the Frontier Long/Short CommodityBalanced Fund —Class 1a2a NAV lost 12.99%26.06% and lost 9.86%1.62%, respectively, for the sixthree months ended June 30, 2018March 31, 2020 and 2017,2019, net of fees and expenses; the Frontier Long/Short CommodityBalanced Fund —Class 2a3a NAV lost 12.24%26.07% and lost 9.73%1.59%, respectively, for the sixthree months ended June 30, 2018March 31, 2020 and 2017,2019, net of fees and expenses; the Frontier Long/Short CommodityBalanced Fund Class 3a—Class 1AP NAV lost 8.02%26.08% and lost 7.20%, respectively,1.60% for the sixthree months ended June 30, 2018March 31, 2020 and 2017,2019, net of fees and expenses.

 

For the sixthree months ended June 30, 2018,March 31, 2020, the Frontier Long/Short CommodityBalanced Fund recorded net loss on investments of $307,921,$5,418,209 net investment loss of $39,817,$324,508, and total expenses of $47,276,$330,819, resulting in a net decrease in Owners’ capital from operations of $347,738.$5,742,717. For the three months ended March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $273,490 net investment loss of $445,648, and total expenses of $457,008, resulting in a net decrease in Owners’ capital from operations of $719,138.

 

The NAV per Unit, Class 1, decreased from $117.23 as of December 31, 2019 to $86.02 at March 31, 2020. The NAV per Unit, Class 1AP, decreased from $137.81 as of December 31, 2019 to $101.87 at March 31, 2020. The NAV per Unit, Class 2, decreased from $115.81 at$185.82 as of December 31, 20172019 to $106.52 as of June 30, 2018. The$137.37 at March 31, 2020. For Class 2a, the NAV per Unit Class 3, decreased from $121.50 at$161.04 as of December 31, 20172019 to $111.75 as of June 30, 2018. The$119.07 at March 31, 2020. For Class 3a, the NAV per Unit Class 1a, decreased from $81.35 at$160.50 as of December 31, 20172019 to $70.78 as of June 30, 2018. The NAV per Unit,$118.66 at March 31, 2020. Total Class 2a, decreased from $93.59 at December 31, 2017 to $82.13 as of June 30, 2018. The NAV per Unit,1 subscriptions and redemptions for the three months were $0 and $854,782, respectively. Total Class 3a, decreased from $97.99 at December 31, 2017 to $86.11 as of June 30, 2018.1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the periodthree months were $93,781.$0 and $65,517, respectively. Total Class 32a subscriptions and redemptions for the periodthree months were $174,654.$0 and $0, respectively. Total Class 1a redemptions were $69,082. Class 2a redemptions for the period were $90,372. Class 3a subscriptions and redemptions for the periodthree months were $0 and $174,654$0, respectively. Ending capital at June 30, 2018March 31, 2020, was $152,086$12,405,891 for Class 1, $176,344 for Class 1 AP, $2,438,379 for Class 2, $2,102,829 for Class 3, $35,941 for Class 1a, $307,608$144,303 for Class 2a and $697,725$665,828 for Class 3a. Ending capital at December 31, 20172019, was $258,900$17,797,600 for Class 1, $238,544 for Class 1 AP, $3,361,853 for Class 2, $2,472,994 for Class 3, $107,619 for Class 1a, $442,644$195,181 for Class 2a and $971,895$900,583 for Class 3a.

 

The Frontier Long/Short CommodityBalanced Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps ranges from 20% to 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

Based on an analysis of the management fees charged to Frontier Balanced Fund, the effective management fee rate of the Frontier Balanced Fund was higher than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended March 31, 2020, the effective management fee rate of the Frontier Balanced Fund was 0.56%, compared to a management fee payable to the Managing Owner of 0.50%. For the quarter ended March 31, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Balanced Fund was $26,677.

95

The Frontier Balanced Fund may have both long and short exposure to the Base Metals, Energies, Grains, Meats, Precious Metals, Financials, and Softs sectors, although the majority of the exposure will typically be in theInterest Rates, Currencies, Stock Indices, Energies, Metals and SoftsAgriculturals sectors.

 

96

 


OneFour of the sevensix sectors traded in the Frontier Long/Short CommodityBalanced Fund waswere profitable in Q2 2018Q1 2020 and onefour of the seven wassix were profitable YTD. Metals, Energies, Agriculturals and Interest Rates were profitable for Q2 2018Q1 2020 while Base Metals, Grains, Meats, Precious Metals, SoftsCurrencies and FinancialsStock Indices finished negative for the quarter. Metals, Energies, Agriculturals and Interest Rates were profitablepositive YTD while Base Metals, Grains, Meats, Precious Metals SoftsCurrencies and financials finishedStock Indices were negative YTD.

 

In terms of major CTA performance, Emil Van EssenAspect Capital, Crabel, Welton and Wimmer Horizon finished positive for the quarter. JE Moody, Red Oak, RosettaEmil Van Essen, Fort LP (GC), H2O AM and WeltonQuantitative Investment Management were negative for the quarterquarter.

 

Emil Van EssenAspect Capital, Crabel, Welton and RosettaWimmer Horizon were positive YTD while JE Moody, Red OakEmil Van Essen, Fort LP (GC), H2O AM and WeltonQuantitative Investment Management were negative YTD.

 

10297

 

 

Frontier Balanced Fund2019

 

2019

The Frontier Balanced Fund—Class 1 NAV lost 1.08%2.33% and lost 7.91%8.11%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV gained 0.40 %lost 1.60% and lost 6.50%7.40%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV gained 0.43%lost 1.62% and lost 6.51%7.45%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV gained 0.42%lost 1.59% and lost 6.51%7.46%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV gained 0.40%lost 1.60% and lost 6.56%7.46% for the sixthree months ended June 30,March 31, 2019 and 2018, net of fees and expenses.

 

For the sixthree months ended June 30,March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $843,761$273,490 net investment gainloss of $520,645,$445,648, and total expenses of $868,623,$457,008, resulting in a net decrease in Owners’ capital from operations of $323,116.

The NAV per Unit, Class 1, decreased from $117.63 at December$719,138. For the three months ended March 31, 2018, to $116.36 asthe Frontier Balanced Fund recorded net loss on investments of June 30, 2019. The NAV per Unit, Class 1AP, increased$2,907,257, net investment loss of $797,948, net investment income of $16,516, and total expenses of $814,464, resulting in a net increase in Owners’ capital from $134.16 at December 31, 2018 to $134.69 asoperations of June 30, 2019. The NAV per Unit, Class 2, increased from $180.94 at December 31, 2018 to $181.66 as of June 30, 2019. The NAV per Unit, Class 2a, increased from $156.81 at December 31, 2018 to $157.49 as of June 30, 2019. The NAV per Unit, Class 3a, increased from $156.26 at December 31, 2018 to $156.91 as of June 30, 2019. Total Class 1 subscriptions and redemptions for the period were $0 and $5,764,427 respectively. Total Class 1AP redemptions for the period were $0. Total Class 2 subscriptions and redemptions for the period were $0 and $445,310, respectively. Total Class 2a subscriptions and redemptions for the period were $0 and $114,068, respectively. Total Class 3a redemptions for the period were $16,647. Ending capital at June 30, 2019 was $19,585,430 for Class 1, $356,533 for Class 1AP, $4,108,325 for Class 2, $225,838 for Class 2a, and $880,403 for Class 3a. Ending capital at December 31, 2018 was $25,703,922 for Class 1, $355,112 for Class 1AP, $4,528,375 for Class 2, $339,173 for Class 2a and $893,515 for Class 3a.$3,705,205.

 

The Frontier Balanced Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

 

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the management fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

 

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps ranges from 20% to 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

 

As of June 30, 2019, the management fee embedded in swaps owned by Frontier Balanced Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap

Based on an analysis of the management fees charged to Frontier Balanced Fund, the effective management fee rate of Frontier Balanced Fund wasthe Series were higher than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the quarter ended June 30,March 31, 2019, the effective management fee rate of Frontier Balanced Fund was 0.62%0.61%, compared to a management fee payable to the Managing Owner of 0.50%. For the quarter ended June 30,March 31, 2019, the management and incentive fees embedded in gains (losses) from trading companies owned by Frontier Balanced Fund was $40,357.$75,567.

 


98

 

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

 

 

 

 


99

 

 

 

Two of the six sectors traded in the Frontier Balanced Fund were profitable in Q2Q1 2019 and two of the six were profitable YTD. EnergiesMetals and Interest Rates were profitable for Q2Q1 2019 while Metals, Agriculturals, Currencies, Energies and Stock Indices finished negative for the quarter. Metals Energies and Interest Rates were positive YTD while Agriculturals, Currencies, Metals and Stock Indices were negative YTD.

 

In terms of major CTA performance, Aspect Capital, Fort LP (GC), H2O AM Welton and Wimmer Horizon finished positive for the quarter. Crabel, Emil Van Essen, Quantmetrics, Welton, Winton and Quantitative Investment Management were negative for the quarter.

 

Aspect Capital, Fort LP (GC), H2O AM Welton and Wimmer Horizon were positive YTD while Crabel, Emil Van Essen, Quantmetrics, Welton, Winton and Quantitative Investment Management were negative YTD.

 


100

2018

 

The Frontier Balanced Fund—Class 1 NAV lost 7.91% and lost 3.68%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 6.50% and lost 2.24%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 6.51% and lost 1.94%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 6.51% and 1.94%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 6.56% and lost 2.25% for the six months ended June 30, 2018 and 2017, net of fees and expenses. 

For the six months ended June 30, 2018, the Frontier Balanced Fund recorded net loss on investments of $2,167,882 net investment loss of $1,396,357, and total expenses of $1,421,301, resulting in a net decrease in Owners’ capital from operations of $3,564,239. The NAV per Unit, Class 1, decreased from $135.96 at December 31, 2017 to $125.21 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $150.56 at December 31, 2017 to $140.68 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $202.90 at December 31, 2017 to $189.72 as of June 30, 2018. The NAV per Unit, Class 2a, decreased from $175.77 at December 31, 2017 to $164.33 as of June 30, 2018. The NAV per Unit, Class 3a, decreased from $175.18 at December 31, 2017 to $163.77 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $4,685,378 respectively. Total Class 1AP redemptions for the period were $4,344. Total Class 2 subscriptions and redemptions for the period were $0 and $800,571, respectively. Total Class 2a subscriptions and redemptions for the period were $0 and $75,968, respectively. Total Class 3a redemptions for the period were $262,250. Ending capital at June 30, 2018 was $31,143,397 for Class 1, $557,664 for Class 1AP, $5,726,766 for Class 2, $381,727 for Class 2a, and $1,029,875 for Class 3a. Ending capital at December 31, 2017 was $38,744,003 for Class 1, $601,247 for Class 1AP, $6,977,027 for Class 2, $529,931 for Class 2a and $1,379,971 for Class 3a.

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


Two of the six sectors traded in the Frontier Balanced Fund were profitable in Q2 2018 and three of the six were profitable YTD. Currencies and Energies were profitable for Q2 2018 while Currencies, Energies and Interest Rates were profitable YTD. Metals, Agriculturals Interest Rates and Stock Indices were negative for the quarter, while Agriculturals and Stock Indices finished negative YTD.

In terms of major CTA performance, Crabel, Emil Van Essen, Fort, Quantitative Investment Management and Winton finished positive for the quarter. Aspect, Beach Horizon, H20, Quantmetrics and Welton were negative for the quarter.

Crabel, Emil Van Essen and H20 were positive YTD while Aspect, Beach Horizon, Fort, Quantitative Investment Management, Quantmetrics, Welton and Winton were negative YTD.


Frontier Select Fund

 

20192020

The Frontier Select Fund—Class 1 NAV gained 6.47%1.39% and lost 17.19%0.91%, respectively, for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 8.12%2.13% and lost 15.95%0.18% respectively for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV gained 7.10%1.89% and lost 15.95%0.21%, respectively, for the sixthree months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the sixthree months ended June 30, 2019,March 31, 2020, the Frontier Select Fund recorded net lossgain on investments of $97,174,$81,804, net investment gainloss of $323,893$37,115 and total expenses of $97,174,$37,115, resulting in a net increase in Owners’ capital from operations of $226,719.$44,689. For the three months ended March 31, 2019, the Frontier Select Fund recorded net gain on investments of $7,059, net investment loss of $48,137 and total expenses of $48,137, resulting in a net decrease in Owners’ capital from operations of $41,078.

 

The NAV per Unit, Class 1, increased from $71.41 at$66.56 as of December 31, 20182019 to $76.03 as of June 30, 2019.$67.48 at March 31, 2020. The NAV per Unit, Class 1AP, increased from $82.48 at$78.51 as of December 31, 20182019 to $88.34 as of June 30, 2019.$79.99 at March 31, 2020. The NAV per Unit, Class 2, increased from $108.18 at$103.94 as of December 31, 20182019 to $116.96 as of June 30, 2019.$106.15 at March 31, 2020. Total Class 1 subscriptions and redemptions for the periodthree months ended March 31, 2020, were $0 and $353,695$162,985, respectively. Total Class 1AP subscriptions and redemptions for the periodthree months ended March 31, 2019, were $0.$0 and $0, respectively. Total Class 2 subscriptions and redemptions for the periodthree months ended March 31, 2019, were $0 and $44,191,$5,198, respectively. Ending capital, at June 30, 2019March 31, 2020, was $3,566,250$2,594,384 for Class 1, $12,191$11,067 for Class 1AP, and $107,254$87,681 for Class 2. Ending capital, at December 31, 20182019, was $3,709,130$2,715,051 for Class 1, $1,897$10,834 for Class 1AP, and $145,835$90,741 for Class 2.2

 

The Frontier Select Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

 

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the management fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”),CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

 

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fee that would otherwise be charged to a Series by the Managing Owner.

 

As of June 30, 2019,March 31, 2020, the management fee embedded in swaps owned by the Frontier Select Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from those Seriesthe Frontier Select Fund in respect of such Series’the Frontier Select Fund’s investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

 

101

Based on an analysis of the management fees charged to Frontier Select Fund, the effective management fee rate of the Frontier Select Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the period ended June 30, 2019,March 31, 2020, the effective management fee rate of Frontier Select Fund was 2.04%1.74%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended June 30, 2019,March 31, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by Frontier Select Fund was $4,701.$4,227.

 


The Frontier Select Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.

 

102

ThreeTwo of the six sectors traded in the Frontier Select Fund were profitable in Q2 2019Q1 2020 and two of the six were profitable YTD. Metals,Energies and Interest Rates and Stock Indices were positive while Metals, Currencies, EnergiesStock Indices and Agriculturals were negative for the quarter. AgriculturalsEnergies and Interest Rates were profitable YTD while Metals, Currencies, Stock Indices and EnergiesAgriculturals finished negative YTD.

 

In terms of major CTA performance, Brevan Howard Transtrend and Welton finished positive for the quarter and no CTA’sTranstrend finished negative for the quarter. Brevan Howard and Welton finished positive YTD while Transtrend finished negative YTD.

 


20182019

 

The Frontier Select Fund—Class 1 NAV lost 17.19%0.91% and lost 16.23%15.29%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 15.95%0.18% and lost 15.00%14.65% respectively for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Select Fund —ClassFund—Class 1AP NAV lost 15.95%0.21% and 15.09%lost 14.66%, respectively, for the sixthree months ended June 30, 2018March 31, 2019 and 2017. 2018.

 

For the sixthree months ended June 30,March 31, 2019, the Frontier Select Fund recorded net gain on investments of $7,059, net investment loss of $48,137 and total expenses of $48,137, resulting in a net decrease in Owners’ capital from operations of $41,078. For the three months ended March 31, 2018, the Frontier Select Fund recorded net loss on investments of $963,157,$894,845, net investment loss of $138,665,$77,283, and total expenses of $138,665,$77,283, resulting in a net decrease in Owners’ capital from operations of $1,101,822. $972,128.

The NAVFrontier Select Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per Unit, Class 1, decreasedannum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fee that would otherwise be charged to a Series by the Managing Owner.

103

As of March 31, 2019, the management fee embedded in swaps owned by the Frontier Select Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from $90.27 at December 31, 2017the Frontier Select Fund in respect of the Frontier Select Fund’s investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

Based on an analysis of the management fees charged to $74.75 asFrontier Select Fund, the effective management fee rate of June 30, 2018.the Frontier Select Fund was lower than the management fee rate otherwise payable to the Managing Owner. The NAV per Unit, Class 1AP, decreased from $100.02 at December 31, 2017 to $84.05 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $132.73 at December 31, 2017 to $111.56 as of June 30, 2018. Total Class 1 subscriptions and redemptionseffective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were $0 and $651,487 respectively. Total Class 1AP redemptions forpaid. For the period were $3,144. Total Class 2 subscriptionsended March 31, 2019, the effective management fee rate of the Frontier Select Fund was 2.24%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31, 2019, the management and redemptions forincentive fees embedded in gains (losses) from trading companies owned by the period were $0 and $338,374, respectively. Ending capital at June 30, 2018Frontier Select Fund was $4,305,014 for Class 1, $17,614 for Class 1AP and $384,473 for Class 2. Ending capital at December 31, 2017 was $5,912,980 for Class 1, $23,354 for Class 1AP and $865,594 for Class 2.$4,337.

 

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

 

 

104

 

TwoThree of the six sectors traded in the Frontier Select Fund were profitable in Q2 2018 and two of the six were profitable YTD. EnergiesQ4 2018. Metals, Currencies and Interest Rates were positive while Metals, Currencies, Agriculturals andEnergies, Stock Indices and Agriculturals were negative for the quarter. Interest Rates were positive YTD while Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable YTD while Metals, Currencies Agriculturals and Stock Indices finished negative YTD.

 

In terms of major CTA performance, TranstrendWelton finished positive for the quarter andwhile Brevan Howard and Transtrend finished the quarter negative. There was no positive CTA performance inWelton, Brevan Howard and Transtrend finished the Frontier Select Fund YTD.year negative.


Frontier Global Fund (formerly, Frontier Winton Fund)

2020

2019

 

The Frontier Global Fund—Class 1 NAV gained 9.17%10.99% and lost 6.55%gained 3.63%, respectively, for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 10.85%11.83% and lost 6.02%gained 4.43%, respectively, for the three months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gained 10.81%12.08% and lost 5.24%gained 4.39%, respectively, for the sixthree months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the sixthree months ended June 30, 2019,March 31, 2020, the Frontier Global Fund recorded net lossgain on investments of $258,894,$559,705, net investment gainloss of $832,737,$85,996, and total expenses of $258,894,$85,996, resulting in a net increase in Owners’ capital from operations of $573,843.$473,709. For the three months ended March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639.

 

The NAV per Unit, Class 1, increased from $131.57$131.52 at December 31, 20182019 to $143.64$145.97 as of June 30, 2019.March 31, 2020. The NAV per Unit, Class 2, increased from $192.82 at December 31, 2019 to $215.64 as of March 31, 2020. The NAV per Unit, Class 1AP, increased from $149.92$154.43 at December 31, 20182019 to $166.13$173.08 as of June 30, 2019. The NAV per Unit, Class 2, increased from $187.17 at DecemberMarch 31, 2018 to $207.48 as of June 30, 2019.2020. Total Class 1 subscriptions and redemptions for the period were $0 and $2,700,785,$832,035, respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $0 and $64,892,$0, respectively. Total Class 1AP subscriptions and redemptions for the period were $0 and $0, respectively. Ending capital at June 30, 2019March 31, 2020 was $5,583,992$4,069,172 for Class 1, $35,551$383,792 for Class 1AP,2 and $396,914$36,954 for Class 2.1AP. Ending capital at December 31, 20182019 was $7,755,444$4,471,980 for Class 1, $32,082$343,217 for Class 1AP2 and $420,765$33,047 for Class 2.1AP

 

The 105

Frontier Global Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.

 

 

TwoThree of the six sectors traded in the Frontier Global Fund were profitable in Q2 2019Q1 2020 and twothree of the six were profitable YTD. Interest Rates, Metals and Interest RatesEnergies were positive while Agriculturals, Currencies and Stock Indices and Energies were negative for the quarter.quarter Interest Rates, Metals and Energies were positive YTD while Agriculturals, Currencies and Stock Indices Metals and Energies were negative YTD.

2019

 

111

2018

The Frontier Global Fund—Class 1 NAV lost 6.55%gained 3.63% and lost 6.74%9.10%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Global Fund —ClassFund—Class 2 NAV lost 6.02%gained 4.43% and lost 5.37%9.12%, respectively, for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, net of fees and expenses; the Frontier Global Fund —ClassFund—Class 1AP NAV lost 5.24%gained 4.39% and lost 5.36%8.41%, respectively, for the three months ended June 30, 2018March 31, 2019 and 2017.2018.

 

For the sixthree months ended June 30,March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639. For the three months ended March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639. For the three months ended March 31, 2018, the Frontier Global Fund recorded net loss on investments of $405,326,$1,026,553, net investment loss of $600,787,$307,495, and total expenses of $600,787,$307,495, resulting in a net decrease in Owners’ capital from operations of $1,006,113. The NAV per Unit, Class 1, decreased from $159.08 at December 31, 2017 to $148.66 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $176.44 at December 31, 2017 to $167.19 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $216.50 at December 31, 2017 to $203.47 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $925,257, respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $0 and $872,124, respectively. Ending capital at June 30, 2018 was $10,409,429 for Class 1, $35,695 for Class 1AP, and $758,361 for Class 2. Ending capital at December 31, 2017 was $13,102,614 for Class 1, $37,761 for Class 1AP and $1,709,275 for Class 2.$1,334,048

106

 

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

 

 

Three

Two of the six sectors traded in the Frontier Global Fund were profitable in Q2 2018. Metals, EnergiesQ1 2019 and two of the six were profitable YTD. Interest Rates were positive while Currencies, Agriculturals and Stock Indices were positive while Agriculturals, Currencies, Metals and Energies were negative for the quarter. Energiesquarter Interest Rates and Interest RatesStock Indices were positive YTD while Agriculturals, Currencies,

Metals Currencies, Agriculturals and Stock IndicesEnergies were negative YTD.

 


Frontier Heritage Fund

2020

2019

 

The Frontier Heritage Fund—Class 1 NAV gained 9.79%17.09% and lost 15.27%0.15%, respectively, for the sixthree months ended June 30,March 31, 2020 and 2019 and 2018 net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 11.43%17.96% and lost 14.00%gained 0.61%, respectively for the sixthree months ended June 30,March 31, 2020 and 2019, and 2018, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 13.03%18.59% and lost 14.02%gained 0.60%, respectively, for the sixthree months ended June 30, 2019March 31, 2020 and 2018.2019.

 

For the sixthree months ended June 30,March 31, 2020, the Frontier Heritage Fund recorded net gain on investments of $627,072, net investment loss of $47,918, and total expenses of $47,918, resulting in a net increase in Owners’ capital from operations of $478,867, after non-controlling interests of $100,287. For the three months ended March 31, 2019, the Frontier Heritage Fund recorded net lossgain on investments of $107,933,$22,807, net investment gainloss of $463,182,$51,199, and total expenses of $107,933,$51,199, resulting in a net decrease in Owners’ capital from operations of $315,866,$28,392, after non-controlling interests of $39,383.$24,336

107

 

The NAV per Unit, Class 1, increased from $99.83 at$97.54 as of December 31, 20182019 to $109.60 as of June 30, 2019.$114.21 at March 31, 2020. The NAV per Unit, Class 1AP, increased from $111.78 at$114.15 as of December 31, 20182019 to $126.34 as of June 30, 2019.$135.37 at March 31, 2020. The NAV per Unit, Class 2, increased from $152.53 at$153.59 as of December 31, 20182019 to $169.96 as of June 30, 2019.$181.17 at March 31, 2020. Total Class 1 subscriptions and redemptions for the periodthree months were $0 and $736,567,$64,241, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0.$0 and $0, respectively. Total Class 2 subscriptions and redemptions for the periodthree months were $0 and $64,741,$0, respectively. Ending capital, at June 30, 2019March 31, 2020, was $2,839,339$2,614,943 for Class 1, $9,223$9,830 for Class 1AP and $619,680$615,866 for Class 2. Ending capital, at December 31, 20182019, was $3,331,725$2,295,623 for Class 1, $1,006$8,333 for Class 1AP and $620,953$522,057 for Class 2.

2

 

The Frontier Heritage Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

 

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the management fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”),CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

 

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

 

As of June 30, 2019,March 31, 2020, the management fee embedded in swaps owned by the Frontier Heritage Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from those Seriesthe Frontier Heritage Fund in respect of such Series’the Frontier Heritage Fund’s investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

 

Based on an analysis of the management fees charged to Frontier Heritage Fund, the effective management fee rate of the Frontier Heritage Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the period ended June 30, 2019,March 31, 2020, the effective management fee rate of the Frontier Heritage Fund was 2.18%2.17%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended June 30, 2019,March 31, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Heritage Fund was $4,397. $5,087.

 


108

The Frontier Heritage Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.

 

 

Four of the six sectors traded in the Frontier Heritage Fund were profitable in Q2Q1 2020 and four of the six were profitable YTD. Energies, Currencies, Metals and Interest Rates were positive while Agriculturals and Stock Indices were negative for the quarter. Energies, Currencies, Metals and Interest Rates were profitable YTD while Agriculturals and Stock Indices finished negative YTD.

In terms of major CTA performance, Aspect Capital, Brevan Howard and Welton were positive for Q1 while no CTA’s were negative for the quarter. Aspect Capital, Brevan Howard and Welton were positive YTD while no CTA’s were negative YTD.

109

2019

The Frontier Heritage Fund—Class 1 NAV lost 0.15% and lost 13.77%, respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 0.61% and lost 13.10%, respectively for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 0.60% and lost 13.14%, respectively, for the three months ended March 31, 2019 and 2018.

For the three months ended March 31, 2019, the Frontier Heritage Fund recorded net gain on investments of $22,807, net investment loss of $51,199, and total expenses of $51,199, resulting in a net decrease in Owners’ capital from operations of $28,392, after non-controlling interests of $24,336. For the three months ended March 31, 2018, the Frontier Heritage Fund recorded net loss on investments of $692,322, net investment loss $116,775, and total expenses of $116,775, resulting in a net decrease in Owners’ capital from operations of $809,097, after non-controlling interests of $2,326.

The Frontier Heritage Fund invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

The aggregate fees embedded in a swap are provided for in the index description for the relevant swap. In addition to the CTA Fees, each index provides for the deduction of a management fee to the counterparty for the swap. The counterparty management fee is determined based on the management fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently the value of the index.

The current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

As of March 31, 2019, the management fee embedded in swaps owned by the Frontier Heritage Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from the Frontier Heritage Fund in respect of the Frontier Heritage Fund’s investment in swaps. In each case, the embedded management fee is accrued on the relevant notional amount of the swap.

Based on an analysis of the management fees charged to Frontier Heritage Fund, the effective management fee rate of the Frontier Heritage Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the period ended March 31, 2019, the effective management fee rate of the Frontier Heritage Fund was 2.22%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31, 2019, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Heritage Fund was $4,605

110

The Frontier Heritage Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.

 

Two of the six sectors traded in the Frontier Heritage Fund were profitable in Q1 2019 and two of the six were profitable YTD. Agriculturals and Interest Rates Metals and Currencies were positive while Energies, Currencies, Metals and Stock Indices were negative for the quarter. Agriculturals and Interest Rates were profitable YTD while Energies, Currencies, Metals and Stock Indices finished negative YTD.

 

In terms of major CTA performance, Aspect Capital and Welton werewas positive for Q2Q1 while Brevan Howard, wasWelton and Winton were negative for the quarter. Aspect Capital and Welton werewas positive YTD while Welton, Brevan Howard and Winton were negative YTD.

 


111

2018

 

The Frontier Heritage Fund—Class 1 NAV lost 15.27% and lost 8.86%, respectively, for the six months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV lost 14.00% and lost 7.51%, respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 14.02% and lost 7.51%, respectively, for the six months ended June 30, 2018 and 2017. 

For the six months ended June 30, 2018, the Frontier Heritage Fund recorded net loss on investments of $718,522, net investment loss income $218,825, and total expenses of $218,825, resulting in a net decrease in Owners’ capital from operations of $893,452, after non-controlling interests of $43,895. The NAV per Unit, Class 1, decreased from $121.19 at December 31, 2017 to $102.68 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $134.28 at December 31, 2017 to $115.46 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $179.70 at December 31, 2017 to $154.54 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $698,774, respectively. Total Class 1AP redemptions were $4,081. Total Class 2 subscriptions and redemptions for the period were $0 and $7,000, respectively. Ending capital at June 30, 2018 was $3,951,288 for Class 1, $1,019 for Class 1AP and $647,010 for Class 2. Ending capital at December 31, 2017 was $5,435,871 for Class 1, $6,083 for Class 1AP and $760,672 for Class 2.

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

Three of the six sectors traded in the Frontier Heritage Fund were profitable in Q2 2018 and two of the six were profitable YTD. Energies, Agriculturals and Interest Rates were positive while Metals, Currencies and Stock Indices were negative for the quarter. Energies and Interest Rates were profitable YTD while Metals, Currencies, Agriculturals and Interest Rates finished negative YTD.

In terms of major CTA performance, Transtrend was positive for Q2 while both Brevan Howard and Winton were negative for the quarter and YTD.


 

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

The Trust is a speculative commodity pool. The market sensitive instruments, which are held by the Trading Companies or Galaxy Plus entities in which the Series are invested, are acquired for speculative trading purposes, and all or a substantial amount of the Series’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Series’ main line of business.

 

Market movements result in frequent changes in the fair market value of each Trading Company’s open positions and, consequently, in each Series of the Trust’s earnings and cash flow. The Trading Companies’ and Galaxy Plus entities’ and consequently the Series’ market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the open positions and the liquidity of the markets in which trades are made.

 

Each Trading Company and Galaxy Plus entity rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance for any Series is not necessarily indicative of the future results of such Series.

 

Additional risk of trading loss from investment in an unaffiliated Trading Company may result from the Managing Owner’s inability to directly control or stop trading in the event of exercise of certain withdrawal provisions in the investment agreement.

 

The Trading Companies’Companies and Galaxy Plus entities’entities, and consequently the Series’ primary market risk exposures as well as the strategies used and to be used by the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s and the Managing Owner’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trading Companies and Galaxy Plus entities and consequently the Trust. There can be no assurance that the Trading Companies’ and Galaxy Plus entities’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in a Series.

Quantitative Market Risk

Trading Risk

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

 

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

 


112

 

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

 

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

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

Value at Risk by Market Sectors

The following tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31, 2020 and December 31, 2019. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

DOMESTIC EXPOSURE

Frontier Diversified Fund:

  March 31, 2020  December 31, 2019 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
            

Interest Rates

 $4,742,032   57.46% $6,384,583   53.21%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $4,742,032   57.46% $6,384,583   53.21%

Frontier Long/Short Commodity Fund:

  March 31, 2020  December 31, 2019 
MARKET SECTOR 

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

  

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

 
             

Interest Rates

 $613,963   42.69% $362,521   27.17%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $613,963   42.69% $362,521   27.17%

113

Frontier Masters Fund:

  March 31, 2020  December 31, 2019 
MARKET SECTOR 

VALUE

AT RISK

  

% OF TOTAL
CAPITALIZATION

  

VALUE
AT RISK

  

% OF TOTAL
CAPITALIZATION

 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

Frontier Balanced Fund:

  March 31, 2020  December 31, 2019 
MARKET SECTOR 

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

  

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

 
             
Interest Rates $7,285,942   46.02% $11,944,754   53.10%
Currencies  80,928   0.51%  1,025,862   4.56%
Stock Indices  -   0.00%  21,385   0.10%
Metals  53,568   0.34%  55,303   0.25%
Agriculturals/Softs  -   0.00%  28,927   0.13%
Energy  -   0.00%  4,115   0.02%
Total: $7,420,438   46.87% $13,080,345   58.15%

Frontier Select Fund:

  March 31, 2020  December 31, 2019 
MARKET SECTOR 

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

  

VALUE

AT RISK

  

% OF TOTAL

CAPITALIZATION

 
             

Interest Rates

 $1,500,501   55.72% $1,400,214   49.71%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $1,500,501   55.72% $1,400,214   49.71%

Frontier Global Fund:

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             

Interest Rates

 $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

114

Frontier Heritage Fund: 

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $1,594,354   41.74% $1,487,795   45.02%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $1,594,354   41.74% $1,487,795   45.02%

As of December 31, 2019, portions of the assets of the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund are invested in swap contracts (Please refer to Note 4 in the Series Financial Statements). Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.

Value at Risk: Foreign Markets

 

The following tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of June 30, 2019March 31, 2020 and December 31, 2018.2019. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

 

FOREIGN EXPOSURE

Frontier Diversified Fund:Fund

 

  June 30, 2019  December 31, 2018 
MARKET SECTOR VALUE AT RISK  % OF TOTAL
CAPITALIZATION		  VALUE AT RISK  % OF TOTAL CAPITALIZATION 
             
Interest Rates $195   0.00% $5,930,458   36.71%
Equities  215,078   1.62%  15,386   0.10%
Fixed Income  224,637   1.69%  15,372   0.10%
FX  132,920   1.00%  42,011   0.26%
Commodities  9,088   0.07%  76,321   0.47%
Total: $581,918   4.38% $6,079,547   37.63%
  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

 


115

 

Frontier Long/Short Commodity Fund:Fund

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $-   0.00% $479,102   19.59%
Equities  -   0.00%  -   0.00%
Fixed Income  -   0.00%  -   0.00%
FX  -   0.00%  -   0.00%
Commodities  54,628   2.58%  -   0.00%
Total: $54,628   2.58% $479,102   19.59%
  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

 

Frontier Masters Fund:Fund

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $-   0.00% $8,114   0.15%
Equities  -   0.00%  12,429   0.22%
Fixed Income  -   0.00%  12,417   0.22%
FX  -   0.00%  33,937   0.61%
Commodities  -   0.00%  61,654   1.11%
Total: $     -   0.00% $128,550   2.31%

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

 

Frontier Balanced Fund:

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $46,311   0.18% $10,973,969   34.49%
Equities  621,445   2.47%  55,910   0.18%
Fixed Income  654,407   2.60%  193,676   0.61%
FX  451,980   1.80%  269,269   0.85%
Commodities  49,304   0.20%  262,465   0.82%
Total: $1,823,447   7.25% $11,755,289   36.94%

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $13,440   0.06%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  30,900   0.14%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  709   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $45,049   0.20%

 

Frontier Select Fund:

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $-   0.00% $-   0.00%
Equities  -   0.00%  -   0.00%
Fixed Income  -   0.00%  -   0.00%
FX  -   0.00%  -   0.00%
Commodities  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

 


116

Frontier Global Fund:

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $-   0.00% $41,507   0.51%
Equities  -   0.00%  63,583   0.77%
Fixed Income  -   0.00%  63,524   0.77%
FX  -   0.00%  173,614   2.12%
Commodities  -   0.00%  315,405   3.84%
Total: $    -   0.00% $657,634   8.01%

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

 

Frontier Heritage Fund:

 

  June 30, 2019  December 31, 2018 
  VALUE  % OF TOTAL  VALUE  % OF TOTAL 
MARKET SECTOR AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
             
Interest Rates $43,477   1.25% $2,962,601   66.35%
Equities  72,905   2.10%  10,964   0.25%
Fixed Income  96,830   2.79%  10,954   0.25%
FX  49,896   1.44%  29,937   0.67%
Commodities  47,032   1.36%  54,386   1.22%
Total: $310,141   8.94% $3,068,842   68.72%

  March 31, 2020  December 31, 2019 
MARKET SECTOR VALUE
AT RISK		  

% OF TOTAL

CAPITALIZATION

  VALUE
AT RISK		  % OF TOTAL
CAPITALIZATION		 
             
Interest Rates $-   0.00% $-   0.00%
Currencies  -   0.00%  -   0.00%
Stock Indices  -   0.00%  -   0.00%
Metals  -   0.00%  -   0.00%
Agriculturals/Softs  -   0.00%  -   0.00%
Energy  -   0.00%  -   0.00%
Total: $-   0.00% $-   0.00%

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

 

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

Non-Trading Risk

 

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

117

Qualitative Market Risk

 

The following are the primary trading risk exposures of the Series of the Trust as of June 30, 2019,March 31, 2020, by market sector.

Interest Rates

 

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies and Galaxy Plus entities also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and Galaxy Plus entities and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies and Galaxy Plus entities will be in medium- to long-term instruments. Consequently, even a material change in short-termshort term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Global Fund, Frontier Select Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2017 through April 28, 2017; thereafter 100% of the interest is retained by the respective Series.

 


Currencies

 

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

Stock Indices

 

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

 

Metals

 

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

Agriculturals/Softs

 

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

Energy

 

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

118

Other Trading Risks

 

As a result of leverage, small changes in the price of a Trading Company’s positions may result in substantial losses for a Series. Futures, forwards and options are typically traded on margin. This means that a small amount of capital can be used to invest in contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Trading Companies and Galaxy Plus entities may lose more than their initial margin deposits on a trade.

 

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

 

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

 


119

 

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

Cyber Risks and Security

 

The Trust’s business requires it to use and store investor, employee and business partner personally identifiable information (“PII”). This may include, among other information, names, addresses, phone numbers, email addresses, contact preferences, tax identification numbers and payment account information.

 

The Trust requires user namesusernames and passwords in order to access its information technology systems. The Trust also uses encryption and authentication technologies designed to secure the transmission and storage of data and prevent access to Trust data or accounts. These security measures are subject to third-party security breaches, employee error, malfeasance, faulty password management, or other irregularities. To help protect investors and the Trust, the Trust monitors accounts and systems for unusual activity and may freeze accounts under suspicious circumstances.

 

The Trust devotes significant resources to network security, data encryption and other security measures to protect its systems and data, but these security measures cannot provide absolute security. To the extent the Trust was to experience a breach of its systems and was unable to protect sensitive data, such a breach could materially damage business partner and investor relationships. Moreover, if a computer security breach affects the Trust’s systems or results in the unauthorized release of PII, the Trust’s reputation and brand could be materially damaged and the Trust could be exposed to a risk of loss or litigation and possible liability. While the Trust maintains insurance coverage that, subject to policy terms and conditions and subject to a significant self-insured retention, is designed to address certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses or all types of claims that may arise in the continually evolving area of cyber risk.

 

Qualitative Disclosures Regarding Means of Managing Risk Exposure

 

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

 

121

ITEM 4. CONTROLS AND PROCEDURES

 

Evaluation of Disclosure Controls and Procedures

 

Under the supervision and with the participation of the management of the Managing Owner, including its Chairman and Chief Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), for the Trust and each Series as of June 30, 2019March 31, 2020 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can only provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

 

Based upon that evaluation, the management of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were not effective due to the material weaknesses in internal control over financial reporting described below.

 

Amaterial weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting such that there is a reasonable possibility that a material misstatement of the Trust’s and each Series annual or interim financial statements will not be prevented or detected on a timely basis.

 

Changes in Internal Control Over Financial Reporting

120

 

Report on Management’s Assessment of Internal Control over Financial Reporting; Changes in Internal Control Over Financial Reporting  

 

The management of the Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting by the Trust. 

 

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. 

 

The internal control over financial reporting for the Trust and each Series includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures are being made only in accordance with authorizations of the management of the Managing Owner; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of assets that could have a material effect on the financial statements of the Trust or any Series. 

 

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements on a timely basis. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. 

 

Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of June 30, 2019,March 31, 2020, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its 2013 report entitled Internal Control-Integrated Framework. 


 

Based on that assessment, the Trust’s Chief Executive Officer and Chief Financial Officer concluded that the Trust did not maintain effective internal control over financial reporting as of June 30, 2019March 31, 2020 as a result of the material weaknesses described below:

 

 A.Consolidation

 

Management’s review of the consolidation for the various Series and Trust was not designed effectively, resulting in the need for reclassifications / adjustments between financial statement line items on the statements of operations and statements of financial condition at various series and at the Trust. In addition, documentation supporting adjustments to the trial balances or various financial statement line items as presented in the consolidation was in some cases incomplete or insufficient.

 

 B.Financial Reporting

 

Management did not perform an appropriate review of the financial reporting process (i.e., untimely accounting for certain significant transactions, inadequate review of journal entries, and financial statements and related disclosures) which increased the likelihood of misstatements requiring corrections and disclosure adjustments.

 

Remediation Efforts

 

Management is committed to the remediation of the material weaknesses described above, as well as the continued improvement of our internal control over financial reporting. We have identified, and are implementing the actions described below to remediate the underlying causes of the control deficiencies that gave rise to the material weaknesses. As we continue our evaluation and improve our internal control over financial reporting, management may modify the actions described below or identify and take additional measures to address control deficiencies. Until the remediation efforts described below, including any additional measures management identifies as necessary, are completed, the material weaknesses described above will continue to exist.

121

 

To address the material weakness noted above, management is in the process of:

 

 ●establishing proper controls to ensure that underlying balances and activity are appropriately consolidated during quarter and year end. This process will include preparing supporting schedules for account balances and adjusting entries as well as incorporating internal reviews of the consolidating schedules prior to the preparation of the quarterly and annual financial statements;

 

 ●implementing a process where the financial statements, footnotes and applicable supporting schedules are reviewed prior to the drafting of the form 10-Q;

 

 ●performing a comprehensive review of current procedures to ensure appropriate segregation of duties and compliance with the Trust’s accounting policies and GAAP.

 

This quarterly report does not include an attestation report of the Trust’s independent registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s independent registered public accounting firm pursuant to the rules of the SEC that permit the Trust to provide only management’s report in this quarterly report.

Scope of Exhibit 31 Certifications

 

The certificationcertifications of the ChairmanChief Executive Officer and Chief Financial Officer of the Managing Owner included respectively as ExhibitExhibits 31.1 and 31.2 to this Form 10-Q applies not only to the Trust as a whole but also to each Series individually.

 

123122

 

 

PART II. OTHER INFORMATION

 

ITEM 1. LEGAL PROCEEDINGS.

 

There are no material legal proceedings pending against the Trust, or any of the Series.

 

ITEM 1A. RISK FACTORS.

 

The sections each entitled “Risk Factors”There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Prospectuses filed pursuant to Rule 424(b)(3) (File Nos. 333-210313 and 333-155800) are incorporated by reference into this section.Trust’s annual report on Form 10-K for the fiscal year ended December 31, 2019.

 

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

 

The following table provides information regarding the sale of unregistered Units by the Trust for the three months ended June 30, 2019.March 31, 2020. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Trust claims an exemption from registration of each of the transactions listed below under Section 4(a)(2) of the Securities Act of 1933, as amended, as a sale by an issuer not involving a public offering.

 

SERIES DATE UNITS CONSIDERATION
NONE      

 

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

 

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

 

None

 

ITEM 4. MINE SAFETY DISCLOSURES.

 

Not applicable.

 

ITEM 5. OTHER INFORMATION.

 

NoneNone.

 


ITEM 6. EXHIBITS.

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

 

31.1Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and Principal15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2Certification of Chief Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a)15d-14(a) of the Securities Exchange Act of 1934 (furnished1934. (filed herewith)
  
32.1Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.2Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.3Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.4Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.5Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.6Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.7Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
32.8Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- OxleySarbanes-Oxley Act of 2002. (furnished herewith)
  
101Financials in XBRL format


123

SIGNATURES

 

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

 

 Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrickatrick J. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds


124

 

SIGNATURES

 

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

 

 Frontier Balanced Fund,
 a Series of Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrickatrick J. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 


125

 

SIGNATURES

 

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

 

 Frontier Heritage Fund,
 a Series of Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrick atrickJ. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds


126

SIGNATURES

 

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

 

 Frontier Global Fund
 a Series of Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrickatrick J. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 

129127

 

 

SIGNATURES

 

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

 

 Frontier Select Fund,
 

a Series of Frontier Funds

(Registrant)

   
Date: August 14, 2019May 15, 2020By:/s/ PPatrickatrick J. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 


Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

128

 

SIGNATURES

 

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

 

 

Frontier Long/Short Commodity Fund,

a Series of Frontier Funds

(Registrant)

   
Date: August 14, 2019May 15, 2020By:/s/ PPatrickatrick J. KaneKane
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 


Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

129

 

SIGNATURES

 

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

 

 Frontier Diversified Fund,
 a Series of Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrick atrickJ. KaneKane 
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 

132130

 

 

SIGNATURES

 

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

 

 Frontier Masters Fund,
 a Series of Frontier Funds
 (Registrant)
   
Date: August 14, 2019May 15, 2020By:/s/ PPatrick atrickJ. KaneKane 
  Patrick J. Kane
  

Chairman and Chief Financial Officer

Chief Accounting Officer and Managing Member of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020By:/s/ Patrick F. Hart III
Patrick F. Hart
President and Chief Executive Officer of Frontier Fund
Management LLC, the Managing Owner of Frontier Funds

 

 

133

131