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 March 31,September 30, 2021
or
☐ 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 LONG/SHORT COMMODITY FUND;
FRONTIER MASTERS FUND;
FRONTIER BALANCED FUND;
FRONTIER SELECT FUND;
FRONTIER GLOBAL FUND;
FRONTIER HERITAGE FUND
(Exact Name of Registrant as specified in Its 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 (Address of Principal Executive Offices)
|
Registrant’s Telephone Number, 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:
Title of Each Class
Frontier Diversified Fund Class 1, Class 2 and Class 3 Units;
Frontier Long/Short Commodity Fund Class 2, Class 3, Class 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 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–Accelerated Filer | ☒ | Smaller Reporting 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 Contents
| (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 SEVERALA 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 MARCH 31,SEPTEMBER 30, 2021, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.
ii
PART I. FINANCIAL INFORMATION
The Series of Frontier Funds Statements of Financial Condition The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Financial Condition The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Financial Condition The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments Frontier Long/Short The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Condensed Schedule of Investments December 31, 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Operations (Unaudited) For the Three Months Ended The accompanying notes are an integral part of these financial statements. The Series of the Frontier Funds Statements of For the Three Months Ended The accompanying notes are an integral part of these financial statements. The Series of the Frontier Funds Statements of Operations (Unaudited) For the Three Months Ended September 30, 2021 and 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Operations (Unaudited) For the Nine Months Ended September 30, 2021 and 2020 The accompanying notes are an integral part of these financial statements. The Series of the Frontier Funds Statements of Operations (Unaudited) For the Nine Months Ended September 30, 2021 and 2020 The accompanying notes are an integral part of these financial statements. The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Three Months Ended September 30, 2021 The accompanying notes are an integral part of these financial statements. The accompanying notes are an integral part of these financial statements. The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Three Months Ended September 30, 2021 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Nine Months Ended September 30, 2021 The accompanying notes are an integral part of these financial statements. The accompanying notes are an integral part of these financial statements. The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Nine Months Ended September 30, 2021 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Cash Flows (Unaudited) For the Nine Months Ended September 30, 2021 and September 30, 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Cash Flows (Unaudited) For the Nine Months Ended September 30, 2021 and September 30, 2020 The accompanying notes are an integral part of these financial statements. The Series of Frontier Funds Statements of Cash Flows (Unaudited) For the Nine Months Ended September 30, 2021 and September 30, 2020 The accompanying notes are an integral part of these financial statements. Notes to Financial Statements 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 Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as may be amended from time to time (“Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. The Trust has been organized to pool investor funds for the purpose of trading in the United States (“U.S.”) and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts. The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, 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: 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 Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. 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 predetermined 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 Use of Estimates—The preparation of financial statements in conformity with GAAP may require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates, and such differences could be material. Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted. Interest 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 Series of the Trust deposit assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, 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 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 Foreign Currency Transactions—The Series’ functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Allocation of Earnings—Each Series of the Trust may maintain three to seven subclasses of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a, Class 3a, and Class 1AP. All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class 3, Class 3a and Class 1AP Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series. Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific Series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Companies or Galaxy Plus entities. Investments and Swaps—The Trust, with respect to the Series, records investment transactions on a trade date basis and at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust can 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. For the quarter ended September 30, 2021, the Trust did not have any total return swap investments. Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740 Income 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 2017 through 2020 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 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 2018, 2019 and 2020 the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, 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 Adopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated the impacts of ASU 2018-13 and ensured that the financial statements are compliant. Subsequent Events—The Series 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 Swap Contracts.Certain Series of the Trust may 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 Investment in Unconsolidated Trading 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 The following table summarizes investment in each Series measured at fair value on a recurring basis as of The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading For the Year Ended December 31, 2020 Swaps Investments in Unconsolidated Trading Companies 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 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 The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2020. 4. Swap Contracts In addition to authorizing Trading Advisors to manage Each Series’ investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 2020, The Series may strategically invest assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any swap entered into by these Series. In addition, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such swap is a Trading Advisor to these Series. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020. The Series have invested in the following swaps as of and for the year ended December 31, 2020: 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 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 Galaxy Plus entities are made up The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of The following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies and private investment companies for the three and nine months ended Three months ended September 30, 2021 and 2020 53,589 Nine months ended September 30, 2021 and 2020 The Series’ investments in private investment companies as of 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 The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. Trading Fees— In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pays to the Managing Owner an FCM fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily. Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. 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. The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2021. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, The following table summarizes fees earned by the Managing Owner The following table summarizes fees payable to the Managing Owner With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) of average net assets less any fair market value related to swaps is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. Frontier The following table outlines the interest paid by each 7. Financial Highlights The following information presents the financial highlights of the Series, for the three and nine months ended For the three months ended For the three months ended 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 nine months ended September 30, 2021 For the nine months ended September 30, 2020 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 The following tables summarize the monthly averages of futures contracts bought and sold for each respective Series of the Trust: For the Monthly average contracts: For the Monthly average contracts: For the nine months ended September 30, 2021 Monthly average contracts: For the nine Months ended September 30, 2020 Monthly average contracts: The following tables summarize the trading revenues for the three and nine months ended Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended Frontier Fund Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended Frontier Fund Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2021 Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2020 Net Change in Open Trade Equity from Futures, Forwards and Options for the Three Months Ended Frontier Fund Net Change in Open Trade Equity from Futures, Forwards and Options for the Three Months Ended Frontier Balanced Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2021 Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2020 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 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 As of As of December 31, 2020 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 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 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 Frontier Funds Consolidated Statements of Financial Condition The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Condensed Schedule of Investments September 30, 2021 The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Condensed Schedule of Investments December 31, 2020 The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Statements of Operations (Unaudited) For the Three Months Ended 976,504 The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Statements of For the The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Consolidated Statements of For the Three Months Consolidated Statements of Changes in Owners’ Capital (Unaudited) For the Nine Months Ending September 30, 2021 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 (Unaudited) For the Nine Months Ended September 30, 2021 and 2020 The accompanying notes are an integral part of these consolidated financial statements. Frontier Funds Notes to Consolidated Financial Statements 1. Organization and Purpose Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust and is set to expire on December 31, 2053. The Trust is a multi-advisor commodity pool, as described in Purchasers of Units are Limited Owners of the Trust with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as amended from time to time (the “Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series. The Trust has been organized to pool investor funds for the purpose of trading in the U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts. The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, and Frontier Heritage Fund. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units. The Trust, with respect to each Series: 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, As of 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 Trust. Basis of Presentation—The Trust follows 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 predetermined 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 Galaxy Plus entities are co-mingled investment vehicles. In addition to the Trust, there are other non-affiliated investors in Galaxy Use of Estimates—The preparation of consolidated financial statements in conformity with GAAP may require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates and such differences could be material. Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted. Interest U.S. Treasury Securities—U.S. Treasury Securities are reported at fair value as Level 1 inputs under ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). The Trust values U.S. Treasury Securities at fair value and records the daily change in value in the consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable. Receivable from Futures Commission Merchants—The Trust deposits assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of 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 Foreign Currency Transactions—The Series of the Trust’s functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Allocation of Earnings—Each Series of the Trust may maintain three to seven classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a, Class 3a and Class 1AP. All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class 3, Class 3a and Class 1AP Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series. Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust, or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Companies or Galaxy Plus entities. Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews, 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. Income Taxes—The Trust applies the provisions of ASC 740 Income Taxes In the opinion of the Managing Owner, (i) the Trust is treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. Federal Income Tax Consequences” correctly summarizes the material Federal income tax consequences as of the date of the Prospectus to potential U.S. Limited Owners of the purchase, ownership and disposition of Series Units of the Trust. Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statement of Operations. Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the 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 2020, 2019 and 2018, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2021 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 These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue1 sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Pending Owner Additions—Funds received for new subscriptions and for additions to existing owner interests are recorded as capital additions at the NAV per unit of the second business day following receipt. Owner Recently Adopted Accounting Pronouncements—In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has evaluated the impacts of ASU 2018-13 and ensured that the financial statements are compliant. Subsequent Events—The Trust follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 3. Fair Value Measurements In connection with the valuation of investments the Trust applies ASC 820, Fair Value Measurement (“ASC 820”). ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of an asset or liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements. Level 1 Inputs Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date. Level 2 Inputs Inputs other than quoted prices included in Level 1 that are observable for the financial assets or liabilities, either directly or indirectly. These might include quoted prices for similar financial assets in active markets, quoted prices for identical or similar financial assets in markets that are not active, inputs other than quoted prices that are observable for the financial assets or inputs that are derived principally from or corroborated by market data by correlation or other means. Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trust uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities. These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs. Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews, compares and Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. The private investment companies are excluded from the fair value hierarchy table below. The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Swaps 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 The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2020: Swaps $(4,384,210). 4. Swap Contracts In addition to authorizing Trading Advisors to manage The Trust’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 2020, all swaps were sold so that no Trust’s assets were deposited with over-the-counter counterparties. The Trust strategically invests assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of the Trust will be invested will not own any of the investments or indices referenced by any swap entered into by the Trust. In addition, neither the swap counterparty nor any advisor referenced by any such swap is a Trading Advisor to the Trust. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investment were liquidated on December 21, 2020. The Trust had invested in the following swaps as of and for the year ended December 31, 2020: 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 The following table summarizes the Trust’s equity in earnings from each of the private investment companies during the three and nine months ended Three months ended September 30, 2021 and 2020 Nine months ended September 30, 2021 and 2020 The Trust’s investments in private investment companies 6. Transactions with Affiliates The Managing Owner contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses and in return will receive units designated as general units in the Series of the Trust in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or management advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of the Trust so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Frontier Balanced Fund Class 1AP Units and Frontier Balanced Fund Class 2a Units, aggregated, and each of the Frontier Long/Short Commodity Fund, Frontier Diversified Fund, and Frontier Masters Fund. The 1% interest in these specific Series of the Trust is included in computing the Minimum Purchase Commitment in aggregate capital. In addition to the general units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase limited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, as well. All units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. Expenses Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pays to the Managing Owner an FCM fee of up to 2.25% per annum of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pays to the Managing Owner an FCM fee of up to 2.25% of notional assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily. Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier 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 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 As of December 31, 2020, the Trust had a payable to the Managing Owner in the amounts of $0, $8,854, $2,107, $81,698, and $36,705 for incentive fees, management fees, interest, trading fees, and service fees, respectively. For the three months ended For the three months ended For the nine months ended September 30, 2021, the Managing Owner earned $104,764, 13,978, 4,193, 342,856, and $716,291, for incentive fees, management fees, risk analysis fees, service fees, and trading fees, respectively. For the nine months ended September 30, 2020, the Managing Owner earned $0, $14,753, $4,426, $483,402, and $1,057,985, for incentive fees, management fees, risk analysis 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. 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 During the three months ended 7. Financial Highlights The following information presents the financial highlights of the Trust for the nine months and three months ended Three months ended September 30 Nine months ended September 30 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 For the three months ended For the nine months ended September 30, 2021 and September 30, 2020, the monthly average of futures, forwards and options contracts bought was approximately 293 and 578, respectively and sold was approximately 322 and 568, respectively. The following tables summarize the trading revenues for the three months ended Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2021 Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2020 Net Change in Open Trade Equity from Futures, Forwards and Options for the Three Months Ended Net Change in Open Trade Equity from Futures, Forwards and Options for the Three Months Ended Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2021 Net Change in Open Trade Equity from Futures, Forwards and Options for the Nine Months Ended September 30, 2020 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 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 As of As of December 31, 2020 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 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 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 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 custodian of the referenced Series, as allocated from the Trading Company. 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 Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.Item 1. Series Financial Statements March 31,September 30, 2021 (Unaudited) and December 31, 2020 Frontier Frontier Frontier Diversified Fund Masters Fund Long/Short Commodity Fund 3/31/2021 12/31/2020 3/31/2021 12/31/2020 3/31/2021 12/31/2020 ASSETS Cash and cash equivalents $ 73,527 $ 87,715 $ 42,138 $ 4,771 $ 48,324 $ 93,327 U.S. Treasury securities, at fair value 121,604 427,393 69,690 23,245 79,922 454,738 Investments in private investment companies, at fair value 3,817,118 3,644,603 883,076 1,014,591 1,200,790 738,053 Investments in unconsolidated trading companies, at fair value 23,731 16,669 13,600 907 15,597 17,736 Interest receivable 823 8,534 472 464 541 9,080 Receivable from related parties - 4,892 - 266 - 5,205 Redemptions receivable from private investment companies 30,863 31,886 23,149 24,837 - 1,251 Total Assets $ 4,067,666 $ 4,221,692 $ 1,032,125 $ 1,069,081 $ 1,345,174 $ 1,319,390 LIABILITIES & CAPITAL �� LIABILITIES Interest payable to Managing Owner $ - $ - $ - $ - $ 53 $ 87 Redemptions payable - - - 38,128 196 - Service fees payable to Managing Owner 365 385 74 70 - 18 Trading fees payable to Managing Owner 12,341 12,576 5,235 5,460 3,174 2,281 Subscriptions in advance for service fee rebates 22,650 22,650 31,725 31,725 411 393 Other liabilities 2,590 3,110 1,485 171 1,703 3,308 Total Liabilities $ 37,946 $ 38,721 $ 38,519 $ 75,554 $ 5,537 $ 6,087 CAPITAL Managing Owner - Class 2 2,280 2,212 2,826 6,265 4,140 3,939 Managing Owner - Class 2a - - - - 8,751 8,274 Managing Owner - Class 3 40,437 54,405 7,498 7,167 - - Managing Owner - Class 3a - - - - 1,109 1,048 Limited Owner - Class 1 158,366 154,260 10,139 9,740 - - Limited Owner - Class 2 409,718 464,012 261,837 257,673 31,447 30,334 Limited Owner - Class 2a - - - - 75,906 76,583 Limited Owner - Class 3 3,418,919 3,508,082 711,306 712,682 1,008,041 976,771 Limited Owner - Class 3a - - - - 210,243 216,354 Total Owners’ Capital 4,029,720 4,182,971 993,606 993,527 1,339,637 1,313,303 Non-Controlling Interests - - - - - - Total Capital 4,029,720 4,182,971 993,606 993,527 1,339,637 1,313,303 Total Liabilities and Capital $ 4,067,666 $ 4,221,692 $ 1,032,125 $ 1,069,081 $ 1,345,174 $ 1,319,390 Units Outstanding Class 1 2,122 2,122 177 177 N/A N/A Class 2 4,492 5,241 3,748 3,908 394 399 Class 2a N/A N/A N/A N/A 1,448 1,535 Class 3 40,241 42,754 10,818 11,333 10,631 10,828 Class 3a N/A N/A N/A N/A 3,422 3,725 Net Asset Value per Unit Class 1 $ 74.62 $ 72.68 $ 57.44 $ 55.18 N/A N/A Class 2 $ 91.71 $ 88.95 $ 70.61 $ 67.54 $ 90.39 $ 85.99 Class 2a N/A N/A N/A N/A $ 58.49 $ 55.29 Class 3 $ 85.97 $ 83.33 $ 66.45 $ 63.52 $ 94.82 $ 90.21 Class 3a N/A N/A N/A N/A $ 61.77 $ 58.37 Frontier Frontier Frontier Diversified Fund Masters Fund Long/Short Commodity Fund 9/30/2021 12/31/2020 9/30/2021 12/31/2020 9/30/2021 12/31/2020 ASSETS Cash and cash equivalents $ 42,657 $ 87,715 $ 22,653 $ 4,771 $ 29,728 $ 93,327 U.S. Treasury securities, at fair value 33,471 427,393 17,774 23,245 23,326 454,738 Investments in private investment companies, at fair value 3,061,135 3,644,603 782,240 1,014,591 1,335,596 738,053 Investments in unconsolidated trading companies, at fair value 30,579 16,669 16,239 907 21,311 17,736 Interest receivable 238 8,534 126 464 166 9,080 Receivable from related parties 8,886 4,892 4,719 266 6,193 5,205 Redemptions receivable from private investment companies - 31,886 - 24,837 - 1,251 Total Assets $ 3,176,966 $ 4,221,692 $ 843,751 $ 1,069,081 $ 1,416,320 $ 1,319,390 LIABILITIES & CAPITAL LIABILITIES Redemptions payable $ - $ - $ - $ 38,128 $ - $ - Interest payable to Managing Owner - - - - 37 87 Service fees payable to Managing Owner 85 385 44 70 19 18 Trading fees payable to Managing Owner 9,894 12,576 4,220 5,460 3,295 2,281 Subscriptions in advance for service fee rebates 22,650 22,650 31,725 31,725 393 393 Other liabilities 3,668 3,110 1,948 171 2,557 3,308 Total Liabilities $ 36,297 $ 38,721 $ 37,937 $ 75,554 $ 6,301 $ 6,087 CAPITAL Managing Owner - Class 2 8,048 2,212 4,047 6,265 4,539 3,939 Managing Owner - Class 2a - - - - 9,628 8,274 Managing Owner - Class 3 24,446 54,405 4,207 7,167 - - Managing Owner - Class 3a - - - - 1,221 1,048 Limited Owner - Class 1 - 154,260 - 9,740 - - Limited Owner - Class 2 390,873 464,012 211,953 257,673 27,428 30,334 Limited Owner - Class 2a - - - - 83,512 76,583 Limited Owner - Class 3 2,717,302 3,508,082 585,607 712,682 1,056,949 976,771 Limited Owner - Class 3a - - - - 226,742 216,354 Total Owners’ Capital 3,140,669 4,182,971 805,814 993,527 1,410,019 1,313,303 Non-Controlling Interests - - - - - - Total Capital 3,140,669 4,182,971 805,814 993,527 1,410,019 1,313,303 Total Liabilities and Capital $ 3,176,966 $ 4,221,692 $ 843,751 $ 1,069,081 $ 1,416,320 $ 1,319,390 Units Outstanding Class 1 N/A 2,122 N/A 177 N/A N/A Class 1AP N/A N/A N/A N/A N/A N/A Class 2 4,384 5,241 2,876 3,908 323 399 Class 2a N/A N/A N/A N/A 1,447 1,535 Class 3 32,107 42,754 8,336 11,333 10,168 10,828 Class 3a N/A N/A N/A N/A 3,350 3,725 Net Asset Value per Unit Class 1 N/A $ 72.68 N/A $ 55.18 N/A N/A Class 2 $ 90.99 $ 88.95 $ 75.10 $ 67.54 $ 99.09 $ 85.99 Class 2a N/A N/A N/A N/A $ 64.35 $ 55.29 Class 3 $ 85.39 $ 83.33 $ 70.76 $ 63.52 $ 103.95 $ 90.21 Class 3a N/A N/A N/A N/A $ 68.04 $ 58.37 1March 31,September 30, 2021 (Unaudited) and December 31, 2020 Frontier Balanced Fund Frontier Select Fund 3/31/2021 12/31/2020 3/31/2021 12/31/2020 ASSETS Cash and cash equivalents $ 104,891 $ 261,803 $ 29,713 $ - U.S. Treasury securities, at fair value 173,475 1,275,641 49,141 - Open trade equity, at fair value 53,107 100,440 - - Receivable from futures commission merchants 741,397 233,973 - - Investments in private investment companies, at fair value 10,485,508 10,528,252 1,520,376 1,638,665 Investments in unconsolidated trading companies, at fair value 33,854 49,755 9,590 - Interest receivable 1,200 25,471 333 - Receivable from related parties - 14,602 - - Redemptions receivable from private investment companies 40,018 55,473 65,735 67,876 Total Assets $ 11,633,450 $ 12,545,410 $ 1,674,888 $ 1,706,541 LIABILITIES & CAPITAL LIABILITIES Interest payable $ - $ - $ - $ 179 Redemptions payable - - 16,207 - Incentive fees payable to Managing Owner 49,840 - - - Management fees payable to Managing Owner 1,629 8,854 - - Interest payable to Managing Owner - 1,376 359 - Service fees payable to Managing Owner 20,826 21,381 3,803 3,709 Trading fees payable to Managing Owner 38,152 37,894 3,915 3,933 Risk analysis fees payable 10,898 9,513 - - Payables to related parties - - - 26,129 Subscriptions in advance for service fee rebates 352,411 346,855 19,904 19,463 Other liabilities 8,210 9,258 1,047 - Total Liabilities 481,966 435,131 45,235 53,413 CAPITAL Managing Owner - Class 2 54,455 51,810 17,653 17,210 Managing Owner - Class 2a 71,749 75,416 - - Limited Owner - Class 1 8,737,092 9,430,532 1,547,969 1,575,328 Limited Owner - Class 1AP 112,571 108,053 9,897 9,821 Limited Owner - Class 2 1,639,784 1,906,359 54,134 50,769 Limited Owner - Class 2a 32,543 30,961 - - Limited Owner - Class 3a 503,290 507,148 - - Total Owners’ Capital 11,151,484 12,110,279 1,629,653 1,653,128 Non-Controlling Interests - - - - Total Capital 11,151,484 12,110,279 1,629,653 1,653,128 Total Liabilities and Capital $ 11,633,450 $ 12,545,410 $ 1,674,888 $ 1,706,541 Units Outstanding Class 1 104,778 117,991 24,745 26,906 Class 1AP 1,106 1,116 130 138 Class 2 12,348 15,000 708 722 Class 2a 877 940 N/A N/A Class 3a 4,244 4,495 N/A N/A Net Asset Value per Unit Class 1 $ 83.39 $ 79.93 $ 62.56 $ 58.55 Class 1AP $ 101.75 $ 96.81 $ 76.41 $ 70.99 Class 2 $ 137.21 $ 130.54 $ 101.40 $ 94.20 Class 2a $ 118.98 $ 113.20 N/A N/A Class 3a $ 118.58 $ 112.81 N/A N/A Frontier Balanced Fund Frontier Select Fund 9/30/2021 12/31/2020 9/30/2021 12/31/2020 ASSETS Cash and cash equivalents $ - $ 261,803 $ 21,764 $ - U.S. Treasury securities, at fair value - 1,275,641 17,077 - Open trade equity, at fair value 84,329 100,440 - - Receivable from futures commission merchants 788,667 233,973 - - Investments in private investment companies, at fair value 9,842,164 10,528,252 1,555,606 1,638,665 Investments in unconsolidated trading companies, at fair value - 49,755 15,601 - Interest receivable - 25,471 121 - Receivable from related parties - 14,602 4,534 - Redemptions receivable from private investment companies - 55,473 - 67,876 Total Assets $ 10,715,160 $ 12,545,410 $ 1,614,703 $ 1,706,541 LIABILITIES & CAPITAL LIABILITIES Redemptions payable $ 50,041 $ - $ - $ - Incentive fees payable to Managing Owner 54,924 - - - Management fees payable to Managing Owner 1,610 8,854 - - Interest payable to Managing Owner 1,063 1,376 249 179 Service fees payable to Managing Owner 18,384 21,381 3,698 3,709 Trading fees payable to Managing Owner 35,169 37,894 4,003 3,933 Risk analysis fees payable 10,470 9,513 - - Payables to related parties 38,202 - - 26,129 Subscriptions in advance for service fee rebates 363,825 346,855 20,766 19,463 Other liabilities 1,780 9,258 1,872 - Total Liabilities $ 575,468 $ 435,131 $ 30,588 $ 53,413 CAPITAL Managing Owner - Class 2 50,098 51,810 17,177 17,210 Managing Owner - Class 2a 57,105 75,416 - - Limited Owner - Class 1 7,933,315 9,430,532 1,496,992 1,575,328 Limited Owner - Class 1AP 66,947 108,053 10,811 9,821 Limited Owner - Class 2 1,550,494 1,906,359 59,135 50,769 Limited Owner - Class 2a - 30,961 - - Limited Owner - Class 3a 481,733 507,148 - - Total Owners’ Capital 10,139,692 12,110,279 1,584,115 1,653,128 Non-Controlling Interests - - - - Total Capital 10,139,692 12,110,279 1,584,115 1,653,128 Total Liabilities and Capital $ 10,715,160 $ 12,545,410 $ 1,614,703 $ 1,706,541 Units Outstanding Class 1 93,754 117,991 22,238 26,906 Class 1AP 639 1,116 130 138 Class 2 11,324 15,000 689 722 Class 2a 466 940 N/A N/A Class 3a 3,941 4,495 N/A N/A Net Asset Value per Unit Class 1 $ 84.62 $ 79.93 $ 67.32 $ 58.55 Class 1AP $ 104.82 $ 96.81 $ 83.47 $ 70.99 Class 2 $ 141.34 $ 130.54 $ 110.77 $ 94.20 Class 2a $ 122.65 $ 113.20 N/A N/A Class 3a $ 122.23 $ 112.81 N/A N/A 2March 31,September 30, 2021 (Unaudited) and December 31, 2020 Frontier Global Fund Frontier Heritage Fund 3/31/2021 12/31/2020 3/31/2021 12/31/2020 ASSETS Cash and cash equivalents $ 86,051 $ 5,694 $ 71,027 $ 15,156 U.S. Treasury securities, at fair value 142,316 27,742 117,469 73,847 Investments in private investment companies, at fair value 2,799,957 3,068,656 2,332,983 2,367,462 Investments in unconsolidated trading companies, at fair value 27,774 1,083 22,925 2,880 Interest receivable 963 554 795 1,475 Receivable from related parties - 319 - 845 Total Assets $ 3,057,061 $ 3,104,048 $ 2,545,199 $ 2,461,665 LIABILITIES & CAPITAL LIABILITIES Redemptions payable $ 1,174 $ - $ 704 $ - Interest payable to Managing Owner 499 326 563 139 Service fees payable to Managing Owner 6,559 6,348 5,169 4,794 Trading fees payable to Managing Owner 12,310 11,849 8,360 7,705 Subscriptions in advance for service fee rebates 155,675 154,671 64,729 63,205 Other liabilities 3,032 205 2,504 540 Total Liabilities 179,249 173,399 82,029 76,383 CAPITAL Managing Owner - Class 2 30,498 31,366 26,223 24,105 Limited Owner - Class 1 2,683,941 2,741,972 2,229,166 2,169,152 Limited Owner - Class 1AP - - 8,085 8,460 Limited Owner - Class 2 163,373 157,311 199,696 183,565 Total Owners’ Capital 2,877,812 2,930,649 2,463,170 2,385,282 Non-Controlling Interests - - - - Total Capital 2,877,812 2,930,649 2,463,170 2,385,282 Total Liabilities and Capital $ 3,057,061 $ 3,104,048 $ 2,545,199 $ 2,461,665 Units Outstanding Class 1 23,477 24,725 21,481 22,572 Class 1AP - N/A 64 73 Class 2 1,114 1,126 1,332 1,332 Net Asset Value per Unit Class 1 $ 114.32 $ 110.90 $ 103.77 $ 96.10 Class 1AP N/A N/A $ 126.74 $ 116.50 Class 2 $ 174.01 $ 167.56 $ 169.62 $ 155.92 Frontier Global Fund Frontier Heritage Fund 9/30/2021 12/31/2020 9/30/2021 12/31/2020 ASSETS Cash and cash equivalents $ 25,316 $ 5,694 $ 41,272 $ 15,156 U.S. Treasury securities, at fair value 19,864 27,742 32,384 73,847 Investments in private investment companies, at fair value 2,802,754 3,068,656 2,564,374 2,367,462 Investments in unconsolidated trading companies, at fair value 18,148 1,083 29,586 2,880 Interest receivable 141 554 230 1,475 Receivable from related parties 5,273 319 8,597 845 Total Assets $ 2,871,496 $ 3,104,048 $ 2,676,443 $ 2,461,665 LIABILITIES & CAPITAL LIABILITIES Interest payable to Managing Owner $ 261 $ 326 $ 368 $ 139 Service fees payable to Managing Owner 5,525 6,348 5,050 4,794 Trading fees payable to Managing Owner 10,585 11,849 8,117 7,705 Subscriptions in advance for service fee rebates 157,782 154,671 68,076 63,205 Other liabilities 2,178 205 3,552 540 Total Liabilities $ 176,331 $ 173,399 $ 85,163 $ 76,383 CAPITAL Managing Owner - Class 2 29,027 31,366 27,691 24,105 Limited Owner - Class 1 2,492,688 2,741,972 2,335,536 2,169,152 Limited Owner - Class 1AP - - 8,874 8,460 Limited Owner - Class 2 173,450 157,311 219,179 183,565 Total Owners’ Capital 2,695,165 2,930,649 2,591,280 2,385,282 Non-Controlling Interests - - - - Total Capital 2,695,165 2,930,649 2,591,280 2,385,282 Total Liabilities and Capital $ 2,871,496 $ 3,104,048 $ 2,676,443 $ 2,461,665 Units Outstanding Class 1 20,849 24,725 20,816 22,572 Class 1AP N/A N/A 64 73 Class 2 1,096 1,126 1,326 1,332 Net Asset Value per Unit Class 1 $ 119.56 $ 110.90 $ 112.20 $ 96.10 Class 1AP N/A N/A $ 139.10 $ 116.50 Class 2 $ 184.75 $ 167.56 $ 186.17 $ 155.92 March 31,September 30, 2021 (Unaudited) Frontier Frontier Diversified Fund Masters Fund Commodity Fund % of Total Capital % of Total Capital % of Total Capital Description Fair
Value (Net Asset Value) Fair
Value (Net Asset Value) Fair
Value (Net Asset Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 1,124,813 27.91 % $ - 0.00 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 259,304 6.43 % - 0.00 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 763,095 18.94 % - 0.00 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 836,526 20.76 % 380,085 38.25 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 476,246 11.82 % 253,710 25.53 % 456,484 34.08 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 357,134 8.86 % 249,281 25.09 % - 0.00 % Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) - 0.00 % - 0.00 % 247,924 18.51 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC - 0.00 % - 0.00 % 496,382 37.05 % Total Private Investment Companies $ 3,817,118 94.72 % $ 883,076 88.88 % $ 1,200,790 89.64 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 23,731 0.59 % $ 13,600 1.37 % $ 15,597 1.16 % Total Investment in Unconsolidated Trading Companies $ 23,731 0.59 % $ 13,600 1.37 % $ 15,597 1.16 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value Fair Value $ 596,500 US Treasury Note 6.875% due 08/15/2025 (Cost $756,828) $ 121,604 3.02 % $ 69,690 7.01 % $ 79,922 5.97 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 96,251 $ 55,161 $ 63,259 Additional Disclosure on U.S. Treasury Securities Cost Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 122,122 $ 69,987 $ 80,262 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) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 726,697 23.14 % $ - 0.00 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 216,565 6.90 % - 0.00 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 573,120 18.25 % - 0.00 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 742,805 23.65 % 353,746 43.90 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 477,374 15.20 % 252,047 31.28 % 554,077 39.30 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 324,574 10.33 % 176,447 21.90 % - 0.00 % Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) - 0.00 % - 0.00 % 302,145 21.43 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC - 0.00 % - 0.00 % 479,374 34.00 % Total Private Investment Companies $ 3,061,135 97.47 % $ 782,240 97.07 % $ 1,335,596 94.72 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 30,579 0.97 % $ 16,239 2.02 % $ 21,311 1.51 % Total Investment in Unconsolidated Trading Companies $ 30,579 0.97 % $ 16,239 2.02 % $ 21,311 1.51 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value Fair Value $ 116,500 US Treasury Note 6.875% due 08/15/2025 (Cost $146,667) $ 33,471 1.07 % $ 17,774 2.21 % $ 23,326 1.65 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 27,099 $ 14,390 $ 18,885 Additional Disclosure on U.S. Treasury Securities Cost Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 34,116 $ 18,117 $ 23,775 (1) (1)See Note 4 to the Financial Statements.(2)See Note 2 to the Financial Statements. (2) (3)See Note 5 to the Financial Statements. March 31,September 30, 2021 (Unaudited) Frontier Frontier Balanced Fund Select Fund % of Total Capital % of Total Capital Description Fair
Value (Net Asset Value) Fair
Value (Net Asset Value) LONG FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ 1,068 0.01 % $ - 0.00 % Various agriculture futures contracts (Europe) 2,468 0.02 % - 0.00 % Various agriculture futures contracts (U.S.) 75,491 0.68 % - 0.00 % Various base metals futures contracts (U.S.) (25,796 ) -0.23 % - 0.00 % Various currency futures contracts (Europe) (7,381 ) -0.07 % - 0.00 % Various currency futures contracts (Far East) 4,564 0.04 % - 0.00 % Various currency futures contracts (Latin America) 744 0.01 % - 0.00 % Various currency futures contracts (U.S.) (8,850 ) -0.08 % - 0.00 % Various energy futures contracts (U.S.) 6,740 0.06 % - 0.00 % Various interest rates futures contracts (Europe) (166,167 ) -1.49 % - 0.00 % Various interest rates futures contracts (Far East) (1,298 ) -0.01 % - 0.00 % Various interest rates futures contracts (U.S.) (1,563 ) -0.01 % - 0.00 % Various precious metal futures contracts (U.S.) 21,705 0.19 % - 0.00 % Various soft futures contracts (U.S.) 19,624 0.18 % - 0.00 % Various stock index futures contracts (Africa) 117 0.00 % - 0.00 % Various stock index futures contracts (Europe) 10,124 0.09 % - 0.00 % Various stock index futures contracts (Far East) 3,993 0.04 % - 0.00 % Various stock index futures contracts (Oceanic) 393 0.00 % - 0.00 % Various stock index futures contracts (U.S.) 1,354 0.01 % - 0.00 % Various stock index futures contracts (Canada) (1,270 ) -0.01 % 0.00 % Total Long Futures Contracts $ (63,940 ) -0.57 % $ - 0.00 % SHORT FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ 1,299 0.01 % $ - 0.00 % Various agriculture futures contracts (Europe) 2,952 0.03 % - 0.00 % Various agriculture futures contracts (U.S.) (49,181 ) -0.44 % - 0.00 % Various base metals futures contracts (U.S.) (1,547 ) -0.01 % - 0.00 % Various currency futures contracts (Europe) 16,450 0.15 % - 0.00 % Various currency futures contracts (Far East) (524 ) 0.00 % - 0.00 % Various currency futures contracts (Latin America) 4,736 0.04 % - 0.00 % Various currency futures contracts (U.S.) 3,488 0.03 % - 0.00 % Various energy futures contracts (U.S.) 9,860 0.09 % - 0.00 % Various interest rates futures contracts (Europe) 100,326 0.90 % - 0.00 % Various interest rates futures contracts (Far East) 9,758 0.09 % - 0.00 % Various interest rates futures contracts (U.S.) 21,563 0.19 % - 0.00 % Various precious metal futures contracts (U.S.) 5,550 0.05 % - 0.00 % Various soft futures contracts (U.S.) (2,431 ) -0.02 % - 0.00 % Various stock index futures contracts (Africa) 890 0.01 % - 0.00 % Various stock index futures contracts (Canada) (414 ) 0.00 % - 0.00 % Various stock index futures contracts (Europe) 449 0.00 % - 0.00 % Various stock index futures contracts (Far East) (1,444 ) -0.01 % - 0.00 % Various stock index futures contracts (U.S.) (4,733 ) -0.04 % - 0.00 % Total Short Futures Contracts $ 117,047 1.07 % $ - 0.00 % Total Open Trade Equity (Deficit) $ 53,107 0.50 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 2,182,781 19.57 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,038,047 9.31 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,314,523 11.79 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 1,584,459 14.21 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 2,829,148 25.37 % 862,314 52.91 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 1,536,550 13.78 % 658,062 40.38 % Total Private Investment Companies $ 10,485,508 94.03 % $ 1,520,376 93.29 % INVESTMENT IN UNCONSOLIDATED COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 33,854 0.30 % $ 9,590 0.59 % Total Investment in Unconsolidated Trading Companies $ 33,854 0.30 % $ 9,590 0.59 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 596,500 US Treasury Note 6.875% due 08/15/2025
(Cost $756,828) $ 173,475 1.56 % $ 49,141 3.02 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 137,308 $ 38,896 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 174,214 $ 49,351 Frontier Frontier Balanced Fund Select Fund Fair % of Total Capital Fair % of Total Capital Description Value (Net Asset Value) Value (Net Asset Value) LONG FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ (9,652 ) -0.10 % $ - 0.00 % Various agriculture futures contracts (Europe) 85,119 0.84 % - 0.00 % Various agriculture futures contracts (U.S.) 43,697 0.43 % - 0.00 % Various base metals futures contracts (U.S.) (39,727 ) -0.39 % - 0.00 % Various currency futures contracts (Europe) (481 ) 0.00 % - 0.00 % Various currency futures contracts (Far East) (15,984 ) -0.16 % - 0.00 % Various currency futures contracts (Latin America) (9,108 ) -0.09 % - 0.00 % Various currency futures contracts (U.S.) 7,388 0.07 % - 0.00 % Various energy futures contracts (U.S.) 79,410 0.78 % - 0.00 % Various interest rates futures contracts (Europe) (334,215 ) -3.30 % - 0.00 % Various interest rates futures contracts (Far East) (24,169 ) -0.24 % - 0.00 % Various interest rates futures contracts (U.S.) (14,625 ) -0.14 % - 0.00 % Various precious metal futures contracts (U.S.) (5,456 ) -0.05 % - 0.00 % Various stock index futures contracts (Europe) (5,437 ) -0.05 % - 0.00 % Various stock index futures contracts (Far East) (3,432 ) -0.03 % - 0.00 % Various stock index futures contracts (Oceanic) (1,626 ) -0.02 % - 0.00 % Various stock index futures contracts (U.S.) (10,558 ) -0.10 % - 0.00 % Various stock index futures contracts (Canada) (3,951 ) -0.04 % - 0.00 % Total Long Futures Contracts $ (262,807 ) -2.59 % $ - 0.00 % SHORT FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ 3,818 0.04 % $ - 0.00 % Various agriculture futures contracts (Europe) (55,212 ) -0.54 % - 0.00 % Various agriculture futures contracts (U.S.) 1,372 0.01 % - 0.00 % Various base metals futures contracts (U.S.) 9,982 0.10 % - 0.00 % Various currency futures contracts (Europe) 30,456 0.30 % - 0.00 % Various currency futures contracts (Far East) 828 0.01 % - 0.00 % Various currency futures contracts (Latin America) 20,698 0.20 % - 0.00 % Various currency futures contracts (U.S.) (4,750 ) -0.05 % - 0.00 % Various energy futures contracts (U.S.) (43,480 ) -0.43 % - 0.00 % Various interest rates futures contracts (Europe) 264,970 2.61 % - 0.00 % Various interest rates futures contracts (Far East) 35,149 0.35 % - 0.00 % Various interest rates futures contracts (U.S.) 5,313 0.05 % - 0.00 % Various precious metal futures contracts (U.S.) 67,448 0.67 % - 0.00 % Various stock index futures contracts (Canada) 2,986 0.03 % - 0.00 % Various stock index futures contracts (Europe) 8,521 0.08 % - 0.00 % Various stock index futures contracts (U.S.) (963 ) -0.01 % - 0.00 % Total Short Futures Contracts $ 347,136 3.42 % $ - 0.00 % Total Open Trade Equity (Deficit) $ 84,329 0.83 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 1,692,724 16.69 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 968,038 9.55 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,326,119 13.08 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 1,765,668 17.41 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 2,613,293 25.77 % 982,926 62.05 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC 1,476,322 14.56 % 572,680 36.15 % Total Private Investment Companies $ 9,842,164 97.06 % $ 1,555,606 98.20 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ - 0.00 % $ 15,601 0.98 % Total Investment in Unconsolidated Trading Companies $ - 0.00 % $ 15,601 0.98 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 116,500 US Treasury Note 6.875% due 08/15/2025 (Cost $146,667) $ - 0.00 % $ 17,077 1.08 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ - $ 13,826 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ - $ 17,406 * 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. (2) (3)See Note 5 to the Financial Statements. March 31,September 30, 2021 (Unaudited) Frontier Global Frontier Fund Heritage Fund % of Total Capital % of Total Capital Description Fair
Value (Net Asset Value) Fair
Value (Net Asset Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ 2,799,957 97.29 % $ 1,520,090 61.71 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC - - 812,892 33.00 % Total Private Investment Companies $ 2,799,957 97.29 % $ 2,332,982 94.71 % INVESTMENT IN UNCONSOLIDATED COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 27,774 0.97 % $ 22,925 0.93 % Total Investment in Unconsolidated Trading Companies $ 27,774 0.97 % $ 22,925 0.93 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 596,500 US Treasury Note 6.875% due 08/15/2025
(Cost $756,828) $ 142,316 4.95 % $ 117,469 4.77 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 112,646 $ 92,979 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 142,923 $ 117,970 Frontier Global Frontier Fund Heritage Fund Fair % of Total Capital Fair % of Total Capital Description Value (Net Asset Value) Value (Net Asset Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ 2,802,754 103.99 % $ 1,657,316 63.96 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC - - 907,058 35.00 % Total Private Investment Companies $ 2,802,754 103.99 % $ 2,564,374 98.96 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 18,148 0.67 % $ 29,586 1.14 % Total Investment in Unconsolidated Trading Companies $ 18,148 0.67 % $ 29,586 1.14 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 116,500 US Treasury Note 6.875% due 08/15/2025 (Cost $146,667) $ 19,864 0.74 % $ 32,384 1.25 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 16,082 $ 26,218 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 20,246 $ 33,007 (1) *See Note 2 to the Financial Statements.(2) See Note 5 to the Financial Statements. Frontier Frontier Frontier
Long/Short Commodity Diversified Fund Masters Fund 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) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 1,066,074 25.49 % $ - 0.00 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 414,692 9.91 % - 0.00 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 672,766 16.08 % - 0.00 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 732,066 17.50 % 486,659 48.98 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 435,119 10.40 % 258,609 26.03 % 272,294 20.73 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 323,886 7.74 % 269,323 27.11 % - 0.00 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC - 0.00 % - 0.00 % 465,759 35.46 % Total Private Investment Companies $ 3,644,603 87.12 % $ 1,014,591 102.12 % $ 738,053 56.19 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 16,669 0.40 % $ 907 0.09 % $ 17,736 1.35 % Total Investment in Unconsolidated Trading Companies $ 16,669 0.40 % $ 907 0.09 % $ 17,736 1.35 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 427,393 10.22 % $ 23,245 2.34 % $ 454,738 34.63 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 328,604 $ 17,872 $ 349,629 Additional Disclosure on U.S. Treasury Securities Cost Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 427,509 $ 23,251 $ 454,862 (1) See Note 2 to the Financial Statements. (2) See Note 5 to the Financial Statements. 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 (Far East) $ 72,005 0.59 % $ - 0.00 % Various agriculture futures contracts (Europe) 9,803 0.08 % - 0.00 % Various agriculture futures contracts (U.S.) 87,496 0.72 % - 0.00 % Various base metals futures contracts (U.S.) 22,858 0.19 % - 0.00 % Various currency futures contracts (Europe) 10,573 0.09 % - 0.00 % Various currency futures contracts (Latin America) 5,833 0.05 % - 0.00 % Various currency futures contracts (U.S.) (100 ) 0.00 % - 0.00 % Various interest rates futures contracts (Europe) 148,949 1.23 % - 0.00 % Various interest rates futures contracts (Far East) 2,882 0.02 % - 0.00 % Various interest rates futures contracts (U.S.) 2,438 0.02 % - 0.00 % Various precious metal futures contracts (U.S.) 28,625 0.24 % - 0.00 % Various soft futures contracts (U.S.) 52,349 0.43 % - 0.00 % Various stock index futures contracts (Far East) 5,312 0.04 % - - Total Long Futures Contracts $ 449,023 3.70 % $ - 0.00 % SHORT FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ (30,963 ) -0.26 % $ - 0.00 % Various agriculture futures contracts (Europe) (10,797 ) -0.09 % - 0.00 % Various agriculture futures contracts (U.S.) (92,738 ) -0.77 % - 0.00 % Various base metals futures contracts (U.S.) (10,289 ) -0.08 % - 0.00 % Various currency futures contracts (Europe) (10,381 ) -0.09 % - 0.00 % Various currency futures contracts (Latin America) 2,512 0.02 % - 0.00 % Various currency futures contracts (U.S.) 2,300 0.02 % - 0.00 % Various interest rates futures contracts (Europe) (127,832 ) -1.06 % - 0.00 % Various interest rates futures contracts (Far East) (2,482 ) -0.02 % - 0.00 % Various interest rates futures contracts (U.S.) 3,656 0.03 % - 0.00 % Various precious metal futures contracts (U.S.) (25,560 ) -0.21 % - 0.00 % Various soft futures contracts (U.S.) (42,669 ) -0.35 % - 0.00 % Various stock index futures contracts (Far East) (3,340 ) -0.03 % - 0.00 % Total Short Futures Contracts $ (348,583 ) -2.89 % $ - 0.00 % Total Open Trade Equity (Deficit) $ 100,440 0.81 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 2,311,240 19.08 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,581,941 13.06 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 982,020 8.11 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 1,600,611 13.22 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 2,612,336 21.57 % 956,968 57.89 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 1,440,104 11.89 % 681,697 41.24 % Total Private Investment Companies $ 10,528,252 86.93 % $ 1,638,665 99.13 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 49,755 0.41 % $ - 0.00 % Total Investment in Unconsolidated Trading Companies $ 49,755 0.41 % $ - 0.00 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 1,275,641 10.53 % $ - 0.00 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 980,787 $ - Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 1,275,989 $ - * 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 2 to the Financial Statements. (2) See Note 5 to the Financial Statements. Frontier Frontier Global Fund Heritage Fund Fair % of Total Capital
(Net Asset Fair % of Total Capital
(Net Asset Description Value Value) Value Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ 3,068,656 104.71 % $ 1,539,331 64.53 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC - - 828,131 34.72 % Total Private Investment Companies $ 3,068,656 104.71 % $ 2,367,462 99.25 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 1,083 0.04 % $ 2,880 0.12 % Total Investment in Unconsolidated Trading Companies $ 1,083 0.04 % $ 2,880 0.12 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 27,742 0.95 % $ 73,847 3.10 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 21,330 $ 56,778 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 27,750 $ 73,867 * Except for those items disclosed, no individual futures, or forwards contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. (1) (1)See Note 4 to the Financial Statements.(2)See Note 2 to the Financial Statements. (2) (3)See Note 5 to the Financial Statements. Condensed Schedule of InvestmentsDecember 31, 2020 Frontier Frontier Frontier Diversified Fund Masters Fund Long/Short Commodity Fund % of Total
Capital % of Total
Capital % of Total
Capital Description Fair
Value (Net Asset
Value) Fair
Value (Net Asset
Value) Fair
Value (Net Asset
Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 1,066,074 25.49 % $ - 0.00 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 414,692 9.91 % - 0.00 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 672,766 16.08 % - 0.00 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 732,066 17.50 % 486,659 48.98 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 435,119 10.40 % 258,609 26.03 % 272,294 20.73 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 323,886 7.74 % 269,323 27.11 % - 0.00 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC - 0.00 % - 0.00 % 465,759 35.46 % Total Private Investment Companies $ 3,644,603 87.12 % $ 1,014,591 102.12 % $ 738,053 56.19 % INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 16,669 0.40 % $ 907 0.09 % $ 17,736 1.35 % Total Investment in Unconsolidated Trading Companies $ 16,669 0.40 % $ 907 0.09 % $ 17,736 1.35 % U.S. TREASURY SECURITIES (2)
FACE VALUE Fair Value Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025
(Cost $2,283,228) $ 427,393 10.22 % $ 23,245 2.34 % $ 454,738 34.63 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 328,604 $ 17,872 $ 349,629 Additional Disclosure on U.S. Treasury Securities Cost Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 427,509 $ 23,251 $ 454,862 (1)See Note 4 to the Financial Statements.(2)See Note 2 to the Financial Statements.(3)See Note 5 to the Financial Statements.The accompanying notes are an integral part of these financial statements.7The Series of Frontier FundsCondensed Schedule of InvestmentsDecember 31, 2020 Frontier Frontier Balanced Fund Select Fund % of Total
Capital % of Total
Capital Description Fair
Value (Net Asset
Value) Fair
Value (Net Asset
Value) LONG FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ 72,005 0.59 % $ - 0.00 % Various agriculture futures contracts (Europe) 9,803 0.08 % - 0.00 % Various agriculture futures contracts (U.S.) 87,496 0.72 % - 0.00 % Various base metals futures contracts (U.S.) 22,858 0.19 % - 0.00 % Various currency futures contracts (Europe) 10,573 0.09 % - 0.00 % Various currency futures contracts (Latin America) 5,833 0.05 % - 0.00 % Various currency futures contracts (U.S.) (100 ) 0.00 % - 0.00 % Various interest rates futures contracts (Europe) 148,949 1.23 % - 0.00 % Various interest rates futures contracts (Far East) 2,882 0.02 % - 0.00 % Various interest rates futures contracts (U.S.) 2,438 0.02 % - 0.00 % Various precious metal futures contracts (U.S.) 28,625 0.24 % - 0.00 % Various soft futures contracts (U.S.) 52,349 0.43 % - 0.00 % Various stock index futures contracts (Far East) 5,312 0.04 % - - Total Long Futures Contracts $ 449,023 3.70 % $ - 0.00 % SHORT FUTURES CONTRACTS* Various agriculture futures contracts (Far East) $ (30,963 ) -0.26 % $ - 0.00 % Various agriculture futures contracts (Europe) (10,797 ) -0.09 % - 0.00 % Various agriculture futures contracts (U.S.) (92,738 ) -0.77 % - 0.00 % Various base metals futures contracts (U.S.) (10,289 ) -0.08 % - 0.00 % Various currency futures contracts (Europe) (10,381 ) -0.09 % - 0.00 % Various currency futures contracts (Latin America) 2,512 0.02 % - 0.00 % Various currency futures contracts (U.S.) 2,300 0.02 % - 0.00 % Various interest rates futures contracts (Europe) (127,832 ) -1.06 % - 0.00 % Various interest rates futures contracts (Far East) (2,482 ) -0.02 % - 0.00 % Various interest rates futures contracts (U.S.) 3,656 0.03 % - 0.00 % Various precious metal futures contracts (U.S.) (25,560 ) -0.21 % - 0.00 % Various soft futures contracts (U.S.) (42,669 ) -0.35 % - 0.00 % Various stock index futures contracts (Far East) (3,340 ) -0.03 % - 0.00 % Total Short Futures Contracts $ (348,583 ) -2.89 % $ - 0.00 % Total Open Trade Equity (Deficit) $ 100,440 0.81 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 2,311,240 19.08 % $ - 0.00 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,581,941 13.06 % - 0.00 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 982,020 8.11 % - 0.00 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 1,600,611 13.22 % - 0.00 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 2,612,336 21.57 % 956,968 57.89 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 1,440,104 11.89 % 681,697 41.24 % Total Private Investment Companies $ 10,528,252 86.93 % $ 1,638,665 99.13 % INVESTMENT IN UNCONSOLIDATED COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 49,755 0.41 % $ - 0.00 % Total Investment in Unconsolidated Trading Companies $ 49,755 0.41 % $ - 0.00 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025
(Cost $2,283,228) $ 1,275,641 10.53 % $ - 0.00 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 980,787 $ - Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 1,275,989 $ - *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.8The Series of Frontier FundsCondensed Schedule of InvestmentsDecember 31, 2020 Frontier Global Frontier Fund Heritage Fund % of Total
Capital % of Total Capital Description Fair
Value (Net Asset
Value) Fair
Value (Net Asset
Value) PRIVATE INVESTMENT COMPANIES (3) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ 3,068,656 104.71 % $ 1,539,331 64.53 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC - - 828,131 34.72 % Total Private Investment Companies $ 3,068,656 104.71 % $ 2,367,462 99.25 % INVESTMENT IN UNCONSOLIDATED COMPANIES (3) Frontier Trading Company XXXVIII, LLC $ 1,083 0.04 % $ 2,880 0.12 % Total Investment in Unconsolidated Trading Companies $ 1,083 0.04 % $ 2,880 0.12 % U.S. TREASURY SECURITIES (2) FACE VALUE Fair Value Fair Value $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 27,742 0.95 % $ 73,847 3.10 % Additional Disclosure on U.S. Treasury Securities Face Value Face Value US Treasury Note 6.875% due 08/15/2025 (2) $ 21,330 $ 56,778 Additional Disclosure on U.S. Treasury Securities Cost Cost US Treasury Note 6.875% due 08/15/2025 (2) $ 27,750 $ 73,867 *Except for those items disclosed, no individual futures, or forwards 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. 9The Series of Frontier FundsMarch 31,September 30, 2021 (Unaudited) and 2020 Frontier
Diversified Fund Frontier
Masters Fund Frontier
Long/Short Commodity Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Investment income: Interest - net $ 1,587 $ 34 $ 855 $ 990 $ 1,279 �� $ 647 Total Income 1,587 34 855 990 1,279 647 Expenses: Service Fees - Class 1 1,049 7,707 210 595 54 111 Due Diligence Fees 1,202 3,383 291 656 90 93 Trading Fees 34,937 100,550 14,863 32,399 8,765 9,547 Total Expenses 37,188 111,640 15,364 33,650 8,909 9,751 Investment (loss) - net (35,601 ) (111,606 ) (14,509 ) (32,660 ) (7,630 ) (9,104 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies 184,708 115,286 34,339 246,694 64,279 (59,841 ) Net realized gain/(loss) on private investment companies (36,972 ) (149,796 ) 12,685 (235,137 ) 1,305 (67,371 ) Net unrealized gain/(loss) on swap contracts - (2,111,698 ) - - - 251,441 Net realized gain/(loss) on U.S. Treasury securities (1,741 ) (16,266 ) (1,004 ) 7,304 (1,950 ) 5,194 Net unrealized gain/(loss) on U.S. Treasury securities (440 ) 23,218 (250 ) (1,929 ) (25 ) (1,916 ) Change in fair value of investments in unconsolidated trading companies 10,245 (1,009 ) 12,761 (6,482 ) 12,123 (4,706 ) Net gain/(loss) on investments 155,800 (2,140,265 ) 58,531 10,450 75,732 122,801 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 120,199 (2,251,871 ) 44,022 (22,210 ) 68,102 113,697 Less: Operations attributable to non-controlling interests - - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 120,199 $ (2,251,871 ) $ 44,022 $ (22,210 ) $ 68,102 $ 113,697 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 1.94 $ (21.95 ) $ 2.26 $ (0.95 ) N/A N/A Class 1a N/A N/A N/A N/A N/A $ 3.49 Class 2 $ 2.76 $ (25.98 ) $ 3.07 $ (1.00 ) $ 4.40 $ 7.06 Class 2a N/A N/A N/A N/A $ 3.20 $ 4.42 Class 3 $ 2.64 $ (24.22 ) $ 2.93 $ (0.89 ) $ 4.61 $ 7.36 Class 3a N/A N/A N/A N/A $ 3.40 $ 4.71 The accompanying notes are an integral part of these financial statements.10 Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ 1,208 $ 1,143 $ 597 $ 851 $ 628 $ 906 Total Income/(loss) 1,208 1,143 597 851 628 906 Expenses: Service Fees - Class 1 310 2,062 135 407 58 108 Due Diligence Fees 1,008 1,740 241 438 98 90 Trading Fees 29,513 50,536 12,339 21,879 10,055 7,777 Total Expenses 30,831 54,338 12,715 22,724 10,211 7,975 Investment (loss) - net (29,623 ) (53,195 ) (12,118 ) (21,873 ) (9,583 ) (7,069 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies (140,588 ) (397,041 ) 42,074 (226,881 ) 20,671 29,022 Net realized gain/(loss) on private investment companies 2,163 (51,059 ) (12,631 ) 14,487 (1,340 ) (44,189 ) Net unrealized gain/(loss) on swap contracts - (75,700 ) - - - (4,244 ) Net realized gain/(loss) on U.S. Treasury securities (1,761 ) 509 (906 ) (269 ) (1,169 ) (994 ) Net unrealized gain/(loss) on U.S. Treasury securities 1,246 80 534 (76 ) 774 25 Change in fair value of investments in unconsolidated trading companies 66 (1,015 ) 322 (934 ) 388 (1,058 ) Net gain/(loss) on investments (138,874 ) (524,226 ) 29,393 (213,673 ) 19,324 (21,438 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS (168,497 ) (577,421 ) 17,275 (235,546 ) 9,741 (28,507 ) Less: Operations attributable to non-controlling interests - - - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ (168,497 ) $ (577,421 ) $ 17,275 $ (235,546 ) $ 9,741 $ (28,507 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ (1.78 ) $ (7.61 ) N/A $ (9.77 ) N/A N/A Class 1a N/A N/A N/A N/A N/A $ (44.58 ) Class 2 $ (4.91 ) $ (8.88 ) $ 1.58 $ (11.58 ) $ 0.60 $ (1.86 ) Class 2a N/A N/A N/A N/A $ 0.62 $ (1.11 ) Class 3 $ (4.56 ) $ (8.26 ) $ 1.53 $ (10.83 ) $ 0.63 $ (1.95 ) Class 3a N/A N/A N/A N/A $ 0.68 $ (1.12 ) The Series of the Frontier FundsStatements of OperationsFor the Three Months Ended March 31, 2021 (Unaudited) and 2020 Frontier Balanced Fund Frontier Select Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Investment income: Interest - net $ - $ 6,311 $ - $ - Total Income/(loss) - 6,311 - - Expenses: Incentive Fees (rebate) 49,840 - - - Management Fees 4,619 5,020 - - Service Fees - Class 1 67,267 125,308 11,438 20,160 Risk analysis Fees 1,386 1,506 - - Trading Fees 114,439 198,985 11,355 16,955 Other Fees - - - - Total Expenses 237,551 330,819 22,793 37,115 Investment (loss) - net (237,551 ) (324,508 ) (22,793 ) (37,115 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 371,559 642,235 - - Net unrealized gain/(loss) on private investment companies 388,609 (93,693 ) 10,019 (22,952 ) Net realized gain/(loss) on private investment companies 48,862 (93,600 ) 114,434 7,923 Net change in open trade equity/(deficit) (47,335 ) (25,719 ) - - Net unrealized gain/(loss) on swap contracts - (5,837,508 ) - - Net realized gain/(loss) on U.S. Treasury securities (621 ) 20,156 (1,017 ) 5,292 Net unrealized gain/(loss) on U.S. Treasury securities (252 ) 1,596 (190 ) (2,216 ) Trading commissions (6,017 ) (8,375 ) - - Change in fair value of investments in unconsolidated trading companies (14,281 ) (23,301 ) 8,540 93,757 Net gain/(loss) on investments 740,524 (5,418,209 ) 131,786 81,804 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 502,973 (5,742,717 ) 108,993 44,689 Less: Operations attributable to non-controlling interests - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 502,973 $ (5,742,717 ) $ 108,993 $ 44,689 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 3.46 $ (31.21 ) $ 4.01 $ 0.92 Class 1AP $ 4.94 $ (35.94 ) $ 5.42 $ 1.49 Class 2 $ 6.67 $ (48.45 ) $ 7.20 $ 2.21 Class 2a $ 5.78 $ (41.97 ) N/A N/A Class 3a $ 5.77 $ (41.84 ) N/A N/A The accompanying notes are an integral part of these financial statements. 11The Series of the Frontier FundsStatements of OperationsFor the Three Months Ended March 31, 2021 (Unaudited) and 2020 Frontier Global Fund Frontier Heritage Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Investment income: Interest - net $ - $ - $ - $ - Total Income - - - - Expenses: Service Fees - Class 1 19,938 30,441 16,157 18,013 Trading Fees 35,130 55,555 23,676 29,905 Total Expenses 55,068 85,996 39,833 47,918 Investment (loss) - net (55,068 ) (85,996 ) (39,833 ) (47,918 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies 47,148 249,122 183,803 416,114 Net realized gain/(loss) on private investment companies 82,686 309,658 32,372 4,371 Net unrealized gain/(loss) on swap contracts - - - 206,847 Net realized gain/(loss) on U.S. Treasury securities (1,735 ) 11,493 (1,201 ) 6,794 Net unrealized gain/(loss) on U.S. Treasury securities (526 ) (5,491 ) (484 ) (951 ) Change in fair value of investments in unconsolidated trading companies 16,133 (5,077 ) 12,628 (6,103 ) Net gain/(loss) on investments 143,706 559,705 227,118 627,072 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 88,638 473,709 187,285 579,154 Less: Operations attributable to non-controlling interests - - - 100,287 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 88,638 $ 473,709 $ 187,285 $ 478,867 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 3.42 $ 14.46 $ 7.67 $ 16.67 Class 1AP N/A $ 18.66 $ 10.24 $ 21.22 Class 2 $ 6.45 $ 22.82 $ 13.70 $ 27.58 The accompanying notes are an integral part of these financial statements. 12The Series of Frontier FundsStatements of Changes in Owners’ CapitalFor the Three Months Ended March 31, 2021 (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, 2020 $ 154,260 $ 2,212 $ 464,012 $ 54,405 $ 3,508,082 $ - $ 4,182,971 $ 9,740 $ 6,265 $ 257,673 $ 7,167 $ 712,682 $ - $ 993,527 Sale of Units - - - - - - - - - - - - - - Redemption of Units - - (65,868 ) (15,000 ) (192,582 ) - (273,450 ) - (3,500 ) (7,344 ) - (33,099 ) - (43,943 ) Transfer of Units In(Out) - - - - - - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 4,106 68 11,574 1,032 103,419 - 120,199 399 61 11,508 331 31,723 - 44,022 Owners’ Capital, March 31, 2021 $ 158,366 $ 2,280 $ 409,718 $ 40,437 $ 3,418,919 $ - $ 4,029,720 $ 10,139 $ 2,826 $ 261,837 $ 7,498 $ 711,306 - $ 993,606 Owners’ Capital - Units, December 31, 2020 2,122 25 5,216 654 42,100 177 93 3,815 113 11,220 Sale of Units (including transfers) - - - - - - - - - - Redemption of Units (including transfers) - (749 ) (183 ) (2,330 ) (53 ) (107 ) - (515 ) Owners’ Capital - Units, March 31, 2021 2,122 25 4,467 471 39,770 177 40 3,708 113 10,705 Net asset value per unit at December 31, 2020 $ 72.68 $ 88.95 $ 83.33 $ 55.18 $ 67.54 $ 63.52 Change in net asset value per unit for the three months ended March 31, 2021 1.94 2.76 2.64 2.26 3.07 $ 2.93 Net asset value per unit at March 31, 2021 $ 74.62 $ 91.71 $ 85.97 $ 57.44 $ 70.61 $ 66.45 (1)Values are for both the Managing Owner and Limited Owners.The accompanying notes are an integral part of these financial statements. 13The Series of Frontier FundsStatements of Changes in Owners’ CapitalFor the Three Months Ended March 31, 2021 (Unaudited) Frontier Long/Short Commodity Fund Class 2 Class 3 Class 2a Class 3a Non- Managing
Owner Limited
Owners Limited
Owners Managing
Owner Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Owners’ Capital, December 31, 2020 $ 3,939 $ 30,334 $ 976,771 $ 8,274 $ 76,583 $ 1,048 $ 216,354 $ - $ 1,313,303 Sale of Units - - - - - - - - - Redemption of Units - (423 ) (18,296 ) - (4,963 ) - (18,086 ) - (41,768 ) Transfer of Units In(Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 201 1,536 49,566 477 4,286 61 11,975 - 68,102 Owners’ Capital, March 31, 2021 $ 4,140 $ 31,447 $ 1,008,041 $ 8,751 $ 75,906 $ 1,109 $ 210,243 $ - $ 1,339,637 Owners’ Capital - Units, December 31, 2020 46 353 10,828 149 1,386 18 3,707 Sale of Units (including transfers) - - - - - - - Redemption of Units (including transfers) - (5 ) (197 ) - (87 ) - (303 ) Owners’ Capital - Units, March 31, 2021 46 348 10,631 149 1,299 18 3,404 Net asset value per unit at December 31, 2020 $ 85.99 $ 90.21 $ 55.29 $ 58.37 Change in net for the three months ended March 31, 2021 4.40 4.61 3.20 3.40 Net asset value per unit at March 31, 2021 $ 90.39 $ 94.82 $ 58.49 �� $ 61.77 (2)Values are for both the Managing Owner and Limited Owners.The accompanying notes are an integral part of these financial statements.14The Series of Frontier FundsStatements of Changes in Owners’ CapitalFor the Three Months Ended March 31, 2021 (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, 2020 $ 9,430,532 $ 108,053 $ 51,810 $ 1,906,359 $ 75,416 $ 30,961 $ 507,148 $ - $ 12,110,279 Sale of Units - - - - - - - - - Redemption of Units (1,073,816 ) (966 ) - (351,644 ) (7,000 ) - (28,342 ) - (1,461,768 ) Transfer of Units In (Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 380,376 5,484 2,645 85,069 3,333 1,582 24,484 - 502,973 Owners’ Capital, March 31, 2021 $ 8,737,092 $ 112,571 $ 54,455 $ 1,639,784 $ 71,749 $ 32,543 $ 503,290 $ - $ 11,151,484 Owners’ Capital - Units, December 31, 2020 117,991 1,116 397 14,603 666 274 4,495 Sale of Units (including transfers) - - - - - - - Redemption of Units (including transfers) (13,213 ) (10 ) - (2,652 ) (63 ) - (251 ) Owners’ Capital - Units, March 31, 2021 104,778 1,106 397 11,951 603 274 4,244 Net asset value per unit at December 31, 2020 $ 79.93 $ 96.81 $ 130.54 $ 113.20 $ 112.81 Change in net asset value for the three months ended March 31, 2021 3.46 4.94 6.67 5.78 5.77 Net asset value per unit at March 31, 2021 $ 83.39 $ 101.75 $ 137.21 $ 118.98 $ 118.58 (1)Values are for both the Managing Owner and Limited Owners.The accompanying notes are an integral part of these financial statements.15The Series of Frontier FundsStatements of Changes in Owners’ CapitalFor the Three Months Ended March 31, 2021 (Unaudited) Frontier Select Fund Frontier Global Fund Frontier Heritage Fund Class 1 Class 1AP Class 2 Non- Class 1 Class 2 Non- Class 1 Class 1AP Class 2 Non- Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Owners’ Capital, December 31, 2020 $ 1,575,328 $ 9,821 $ 17,210 $ 50,769 $ - $ 1,653,128 $ 2,741,972 $ 31,366 $ 157,311 $ - $ 2,930,649 $ 2,169,152 $ 8,460 $ 24,105 $ 183,565 $ - $ 2,385,282 Sale of Units - - - - - - - - - - - - - - - - - Redemption of Units (130,530 ) (656 ) (800 ) (482 ) - (132,468 ) (139,475 ) (2,000 ) - - (141,475 ) (108,298 ) (1,099 ) - - - (109,397 ) Transfer of Units In(Out) - - - - - - - - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 103,171 732 1,243 3,847 - 108,993 81,444 1,132 6,062 - 88,638 168,312 724 2,118 16,131 - 187,285 Owners’ Capital, March 31, 2021 $ 1,547,969 $ 9,897 $ 17,653 $ 54,134 $ - $ 1,629,653 $ 2,683,941 $ 30,498 $ 163,373 $ - $ 2,877,812 $ 2,229,166 $ 8,085 $ 26,223 $ 199,696 $ - $ 2,463,170 Owners’ Capital - Units, December 31, 2020 26,906 138 183 539 24,725 187 939 22,572 73 155 1,177 Sale of Units (including transfers) - - - - - - - - - - - Redemption of Units (including transfers) (2,161 ) (8 ) (9 ) (5 ) (1,248 ) (12 ) - (1,091 ) (9 ) - - Owners’ Capital - Units, March 31, 2021 24,745 130 174 534 23,477 175 939 21,481 64 155 1,177 Net asset value per unit at December 31, 2020 $ 58.55 $ 70.99 $ 94.20 $ 110.90 $ 167.56 $ 96.10 $ 116.50 $ 155.92 Change in net asset value per for the three months ended March 31, 2021 4.01 5.42 7.20 3.42 6.45 7.67 10.24 13.70 Net asset value per unit at March 31, 2021 $ 62.56 $ 76.41 $ 101.40 $ 114.32 $ 174.01 $ 103.77 $ 126.74 $ 169.62 (1)Values are for both the Managing Owner and Limited Owners.The accompanying notes are an integral part of these financial statements.16The Series of Frontier FundsFor the Three Months Ended March 31, 2021 and March 31, 2020(Unaudited) Frontier
Diversified Fund Frontier
Masters Fund Frontier Long/Short
Commodity Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 120,199 $ (2,251,871 ) $ 44,022 $ (22,210 ) $ 68,102 $ 113,697 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 110,091 464,949 (114,658 ) (124,907 ) (37,595 ) (139,395 ) Net unrealized (gain)/loss on swap contracts - 2,111,698 - - - (251,441 ) Net unrealized (gain)/loss on U.S. Treasury securities 440 (23,218 ) 250 1,929 25 1,916 Net realized (gain)/loss on U.S. Treasuries securities 1,741 16,266 1,004 (7,304 ) 1,950 (5,194 ) Net unrealized (gain)/loss on private investment companies (184,708 ) (115,286 ) (34,339 ) (246,694 ) (64,279 ) 59,841 Net realized (gain)/loss on private investment companies 36,972 149,796 (12,685 ) (235,137 ) (1,305 ) 67,371 (Purchases) sales of: Sales of U.S. Treasury securities 311,471 171,210 139,801 468,240 480,065 404,529 (Purchases) of U.S. Treasury securities (119,541 ) (550,460 ) (73,698 ) (309,637 ) (70,909 ) (213,319 ) U.S. Treasury interest and premium paid/amortized 1,587 - 855 990 1,279 647 (Purchases) of Private Investment Companies (731,683 ) (387,849 ) (82,850 ) 333,863 (556,236 ) (36,300 ) Reduction of collateral in Swap contracts - (469,147 ) - - - - Sale of Private Investment Companies 706,904 2,546,860 261,389 410,024 159,083 96,524 Increase and/or decrease in: Investments in unconsolidated trading companies, at fair value (7,062 ) 13,738 (12,693 ) 2,978 2,139 8,976 Interest receivable 7,711 1,829 (8 ) 771 8,539 1,172 Receivable from related parties 4,892 - 266 - 5,205 - Other assets - (463 ) - - - - Redemptions receivable from private investment companies 1,023 - 1,688 - 1,251 - Interest payable to Managing Owner - - - - (34 ) - Trading fees payable to Managing Owner (235 ) (8,152 ) (225 ) (2,332 ) 893 (421 ) Service fees payable to Managing Owner (20 ) (1,531 ) 4 (5 ) (18 ) - Subscriptions in advance for service fee rebates - 98 - 184 18 76 Other liabilities (520 ) - 1,314 (14 ) (1,605 ) (321 ) Net cash provided by (used in) operating activities 259,262 1,668,467 119,437 270,739 (3,432 ) 108,358 Cash Flows from Financing Activities: Payment for redemption of units (273,449 ) (1,495,298 ) (43,942 ) (119,501 ) (41,767 ) (9,670 ) Change in owner redemptions payable - - (38,128 ) - 196 (6,585 ) Net cash provided by (used in) financing activities (273,449 ) (1,495,298 ) (82,070 ) (119,501 ) (41,571 ) (16,255 ) Net increase (decrease) in cash and cash equivalents (14,188 ) 173,169 37,367 151,238 (45,003 ) 92,103 Cash and cash equivalents, beginning of period 87,715 56,263 4,771 25,639 93,327 34,272 Cash and cash equivalents, end of period $ 73,527 $ 229,432 $ 42,138 $ 176,877 $ 48,324 $ 126,375 Cash FlowsOperations (Unaudited)March 31,September 30, 2021 and March 31, 2020(Unaudited) Frontier Balanced Fund Frontier Select Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 502,973 $ (5,742,717 ) $ 108,993 $ 44,689 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 47,333 114,076 - - Net change in ownership allocation of U.S. Treasury securities 553,920 (125,149 ) (130,085 ) (103,949 ) Net unrealized (gain)/loss on swap contracts - 5,837,508 - - Net unrealized (gain)/loss on U.S. Treasury securities 252 (1,596 ) 190 2,216 Net realized (gain)/loss on U.S. Treasury securities 621 (20,156 ) 1,017 (5,292 ) Net unrealized (gain)/loss on private investment companies (388,609 ) 93,693 (10,019 ) 22,952 Net realized (gain)/loss on private investment companies (48,862 ) 93,600 (114,434 ) (7,923 ) (Purchases) sales of: Sales of U.S. Treasury securities 698,194 1,199,775 160,121 501,211 (Purchases) of U.S. Treasury securities (150,822 ) (959,751 ) (80,385 ) (298,083 ) U.S. Treasury interest and premium paid/amortized - 6,311 - - (Purchases) of Private Investment Companies (1,695,539 ) (937,631 ) (142,915 ) (115,441 ) Sale of Private Investment Companies 2,175,754 2,403,311 385,657 290,105 Increase and/or decrease in: Receivable from futures commission merchants (507,424 ) 2,380,910 - - Control of ownership of trading companies - (1,178,697 ) - - Investments in unconsolidated trading companies, at fair value 15,901 (4,227 ) (9,590 ) (80,195 ) Interest receivable 24,271 3,223 (333 ) 2,149 Receivable from related parties 14,602 - - - Other assets - (1,100,000 ) - - Redemptions receivable from private investment companies 15,455 - 2,141 - Incentive fees payable to Managing Owner 49,840 - - - Management fees payable to Managing Owner (7,225 ) 320 - - Interest payable to Managing Owner (1,376 ) 939 180 132 Trading fees payable to Managing Owner 258 (11,898 ) (18 ) (856 ) Service fees payable to Managing Owner (555 ) (9,006 ) 94 (562 ) Risk analysis fees payable 1,385 1,506 - - Payables to related parties - - (26,129 ) - Subscriptions in advance for service fee rebates 5,556 9,481 441 882 Other liabilities (1,048 ) 1,031 1,047 (819 ) Net cash provided by (used in) operating activities 1,304,855 2,054,856 145,973 251,216 Cash Flows from Financing Activities: Proceeds from sale of units - - - - Payment for redemption of units (1,461,767 ) (920,299 ) (132,467 ) (168,184 ) Payment made by the Managing Owner - - - - Pending owner additions - - - - Advance on unrealized Swap Appreciation - - - - Change in owner redemptions payable - (39,059 ) 16,207 (6,875 ) Net cash provided by (used in) financing activities (1,461,767 ) (959,358 ) (116,260 ) (175,059 ) Net increase (decrease) in cash and cash equivalents (156,912 ) 1,095,498 29,713 76,157 Cash and cash equivalents, beginning of period 261,803 118,506 - 61,345 Cash and cash equivalents, end of period $ 104,891 $ 1,214,004 $ 29,713 $ 137,502 The accompanying notes are an integral part of these financial statements. Frontier Balanced Fund Frontier Select Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ 87 $ 41 - $ - Total Income/(loss) 87 41 - - Expenses: Incentive Fees (rebate) 54,924 - - - Management Fees 4,764 5,029 - - Service Fees - Class 1 62,976 73,754 11,949 13,025 Risk analysis Fees 1,429 1,509 - - Trading Fees 108,142 127,677 12,176 10,391 Other Fees - 45 - - Total Expenses 232,235 208,014 24,125 23,416 Investment (loss) - net (232,148 ) (207,973 ) (24,125 ) (23,416 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 93,883 167,553 - - Net unrealized gain/(loss) on private investment companies (184,050 ) (961,993 ) 51,089 (193,003 ) Net realized gain/(loss) on private investment companies 54,931 139,086 2,569 (3,202 ) Net change in open trade equity/(deficit) 153,295 (53,834 ) - - Net unrealized gain/(loss) on swap contracts - (168,921 ) - - Net realized gain/(loss) on U.S. Treasury securities (6,033 ) 2,036 (1,088 ) (374 ) Net unrealized gain/(loss) on U.S. Treasury securities 4,214 (384 ) 707 (417 ) Trading commissions (4,164 ) (5,477 ) - - Change in fair value of investments in unconsolidated trading companies (6,073 ) (1,283 ) 312 (728 ) Net gain/(loss) on investments 106,003 (883,217 ) 53,589 (197,724 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS (126,145 ) (1,091,190 ) 29,464 (221,140 ) Less: Operations attributable to non-controlling interests - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ (126,145 ) $ (1,091,190 ) $ 29,464 $ (221,140 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ (1.24 ) $ (6.77 ) $ 1.15 $ (7.69 ) Class 1AP $ (0.73 ) $ (7.42 ) $ 2.03 $ (8.70 ) Class 2 $ (1.00 ) $ (10.02 ) $ 2.70 $ (11.55 ) Class 2a $ (0.82 ) $ (8.71 ) N/A N/A Class 3a $ (0.82 ) $ (8.64 ) N/A N/A The Series of Frontier FundsStatements of Cash FlowsFor the Three Months Ended March 31, 2021 and March 31, 2020(Unaudited) Frontier Global Fund Frontier Heritage Fund 3/31/2021 3/31/2020 3/31/2021 3/31/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 88,638 $ 473,709 $ 187,285 $ 579,154 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 (296,241 ) (279,777 ) (93,697 ) (39,622 ) Net unrealized (gain)/loss on swap contracts - - - (83,006 ) Net unrealized (gain)/loss on U.S. Treasury securities 526 5,491 484 6,631 Net realized (gain)/loss on U.S. Treasuries securities 1,735 (11,493 ) 1,201 (10,916 ) Net unrealized (gain)/loss on private investment companies (47,148 ) (249,122 ) (183,803 ) (741,499 ) Net realized (gain)/loss on private investment companies (82,686 ) (309,658 ) (32,372 ) 125,925 (Purchases) sale of: Sales of U.S. Treasury Securities 309,139 647,979 152,163 1,980,729 (Purchases) of U.S. Treasury securities (129,732 ) (336,006 ) (103,772 ) (1,446,573 ) U.S. Treasury interest and premium paid/amortized - - - (6 ) (Purchases) of Private Investment Companies (273,856 ) (120,247 ) (213,319 ) (750,704 ) Sale of Private Investment Companies 672,389 1,305,756 463,973 1,293,592 Increase and/or decrease in: Investments in unconsolidated trading companies, at fair value (26,691 ) 563 (20,045 ) 687,202 Interest receivable (409 ) 778 680 5,634 Receivable from related parties 319 - 845 - Management fees payable to Managing Owner - - - (9,201 ) Interest payable to Managing Owner 173 788 424 (764 ) Trading fees payable to Managing Owner 461 (5,030 ) 655 2,200 Service fees payable to Managing Owner 211 (1,476 ) 375 (350 ) Payables to related parties - - - 697 Subscriptions in advance for service fee rebates 1,004 1,502 1,524 9,185 Other liabilities 2,827 140 1,964 2,165 Net cash provided by (used in) operating activities 220,659 1,123,897 164,565 1,610,473 Cash Flows from Financing Activities: Payment for redemption of units (141,476 ) (832,035 ) (109,398 ) (1,003,869 ) Change in owner redemptions payable 1,174 (71,379 ) 704 7,210 Net cash provided by (used in) financing activities (140,302 ) (903,414 ) (108,694 ) (996,659 ) Net increase (decrease) in cash and cash equivalents 80,357 220,483 55,871 613,814 Cash and cash equivalents, beginning of period 5,694 27,532 15,156 135,096 Cash and cash equivalents, end of period $ 86,051 $ 248,015 $ 71,027 $ 748,910 Frontier Global Fund Frontier Heritage Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ - $ - $ - $ - Total Income/(loss) - - - - Expenses: Service Fees - Class 1 17,993 22,977 16,886 15,845 Trading Fees 34,334 42,481 25,399 25,094 Total Expenses 52,327 65,458 42,285 40,939 Investment (loss) - net (52,327 ) (65,458 ) (42,285 ) (40,939 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies 72,902 (465,994 ) 78,399 (150,921 ) Net realized gain/(loss) on private investment companies 26,154 30,501 32,348 (55,592 ) Net realized gain/(loss) on U.S. Treasury securities (1,041 ) (1,194 ) (1,514 ) (772 ) Net unrealized gain/(loss) on U.S. Treasury securities 422 69 805 (402 ) Change in fair value of investments in unconsolidated trading companies 1,448 (1,415 ) 1,690 (1,106 ) Net gain/(loss) on investments 99,885 (438,033 ) 111,728 (208,793 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 47,558 (503,491 ) 69,443 (249,732 ) Less: Operations attributable to non-controlling interests - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 47,558 $ (503,491 ) $ 69,443 $ (249,732 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 2.28 $ (17.50 ) $ 2.94 $ (9.63 ) Class 1AP N/A $ (19.96 ) $ 4.66 $ (10.72 ) Class 2 $ 4.90 $ (24.87 ) $ 6.24 $ (14.34 ) Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short
Commodity Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ 2,832 $ 2,006 $ 2,429 $ 2,329 $ 2,931 $ 2,025 Total Income/(loss) 2,832 2,006 2,429 2,329 2,931 2,025 Expenses: Service Fees - Class 1 1,860 12,712 492 1,501 170 330 Due Diligence Fees 3,317 7,195 790 1,641 285 275 Trading Fees 97,487 208,221 40,507 83,524 28,870 25,089 Total Expenses 102,664 228,128 41,789 86,666 29,325 25,694 Investment (loss) - net (99,832 ) (226,122 ) (39,360 ) (84,337 ) (26,394 ) (23,669 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies 163,133 372,285 124,384 280,814 195,759 206,081 Net realized gain/(loss) on private investment companies 67,391 (1,295,055 ) 1,561 (696,820 ) 21,756 (394,032 ) Net unrealized gain/(loss) on swap contracts - (2,099,874 ) - - - 215,753 Net realized gain/(loss) on U.S. Treasury securities (3,079 ) (19,521 ) (2,145 ) 6,092 (3,513 ) 6,224 Net unrealized gain/(loss) on U.S. Treasury securities (420 ) 27,421 (96 ) (2,674 ) 131 (1,476 ) Change in fair value of investments in unconsolidated trading companies 5,538 (5,303 ) 12,123 (6,972 ) 13,296 (9,851 ) Net gain/(loss) on investments 232,563 (3,020,047 ) 135,827 (419,560 ) 227,429 22,699 NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 132,731 (3,246,169 ) 96,467 (503,897 ) 201,035 (970 ) Less: Operations attributable to non-controlling interests - - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 132,731 $ (3,246,169 ) $ 96,467 $ (503,897 ) $ 201,035 $ (970 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 3.68 $ (34.62 ) $ (55.18 ) $ (20.13 ) N/A N/A Class 1a N/A N/A N/A N/A N/A $ (44.20 ) Class 2 $ 2.04 $ (40.58 ) $ 7.56 $ (23.63 ) $ 13.10 $ (0.19 ) Class 2a N/A N/A N/A N/A $ 9.06 $ (0.17 ) Class 3 $ 2.06 $ (37.78 ) $ 7.24 $ (22.05 ) $ 13.74 $ (0.24 ) Class 3a N/A N/A N/A N/A $ 9.67 $ 0.05 Frontier Balanced Fund Frontier Select Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ 245 $ 6,361 $ - $ - Total Income/(loss) 245 6,361 - - Expenses: Incentive Fees (rebate) 104,764 - - - Management Fees 13,978 14,753 - - Service Fees - Class 1 195,972 284,736 35,191 51,117 Risk analysis Fees 4,193 4,426 - - Trading Fees 332,131 465,170 35,541 42,791 Other Fees - 83 - - Total Expenses 651,038 769,168 70,732 93,908 Investment (loss) - net (650,793 ) (762,807 ) (70,732 ) (93,908 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 574,605 588,112 - - Net unrealized gain/(loss) on private investment companies 570,451 (325,724 ) 152,712 (49,653 ) Net realized gain/(loss) on private investment companies 304,097 (1,666,467 ) 145,302 (285,836 ) Net change in open trade equity/(deficit) (16,668 ) (130,869 ) - - Net realized gain/(loss) on swap contracts - - - (102,307 ) Net unrealized gain/(loss) on swap contracts - (5,804,030 ) - - Net realized gain/(loss) on U.S. Treasury securities (6,663 ) 28,151 (2,430 ) 3,374 Net unrealized gain/(loss) on U.S. Treasury securities (1,089 ) (5,409 ) 385 (3,372 ) Trading commissions (10,529 ) (17,535 ) - - Change in fair value of investments in unconsolidated trading companies (28,390 ) (31,836 ) 9,001 87,721 Net gain/(loss) on investments 1,385,814 (7,365,607 ) 304,970 (350,073 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 735,021 (8,128,414 ) 234,238 (443,981 ) Less: Operations attributable to non-controlling interests - - - - NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 735,021 $ (8,128,414 ) $ 234,238 $ (443,981 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT �� Class 1 $ 4.69 $ (45.41 ) $ 8.77 $ (13.21 ) Class 1AP $ 8.01 $ (51.47 ) $ 12.48 $ (14.31 ) Class 2 $ 10.80 $ (69.40 ) $ 16.57 $ (18.74 ) Class 2a $ 9.45 $ (60.14 ) N/A N/A Class 3a $ 9.42 $ (59.90 ) N/A N/A The Series of the Frontier Funds Statements of Operations (Unaudited) For the Nine Months Ended September 30, 2021 and 2020 Frontier Global Fund Frontier Heritage Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Investment income: Interest - net $ - $ - $ - $ - Total Income/(loss) - - - - Expenses: Service Fees - Class 1 58,383 81,204 50,788 51,802 Trading Fees 106,684 150,154 75,071 83,036 Total Expenses 165,067 231,358 125,859 134,838 Investment (loss) - net (165,067 ) (231,358 ) (125,859 ) (134,838 ) Realized and unrealized gain/(loss) on investments: Net unrealized gain/(loss) on private investment companies 216,899 (970,042 ) 418,547 (75,695 ) Net realized gain/(loss) on private investment companies 150,153 448,127 86,630 (56,727 ) Net realized gain/(loss) on swap contracts - - - (97,745 ) Net unrealized gain/(loss) on swap contracts - - - 197,829 Net realized gain/(loss) on U.S. Treasury securities (2,920 ) 11,338 (3,082 ) 9,015 Net unrealized gain/(loss) on U.S. Treasury securities (531 ) (3,645 ) (178 ) (7,369 ) Change in fair value of investments in unconsolidated trading companies 16,611 (10,687 ) 14,708 (7,250 ) Net gain/(loss) on investments 380,212 (524,909 ) 516,625 (37,942 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS 215,145 (756,267 ) 390,766 (172,780 ) Less: Operations attributable to non-controlling interests - - - (95,914 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $ 215,145 $ (756,267 ) $ 390,766 $ (268,694 ) NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT Class 1 $ 8.66 $ (27.34 ) $ 16.10 $ (10.65 ) Class 1AP N/A $ (29.04 ) $ 22.60 $ (9.62 ) Class 2 $ 17.19 $ (36.60 ) $ 30.25 $ (13.69 ) 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, June 30, 2021 $ 40,171 $ 2,384 $ 428,426 $ 25,750 $ 2,912,036 $ - $ 3,408,767 $ - $ 2,943 $ 220,435 $ 4,117 $ 580,243 $ - $ 807,738 Sale of Units - - 6,000 - - - 6,000 - - 1,000 - - - 1,000 Redemption of Units (39,485 ) - (16,316 ) - (49,800 ) - (105,601 ) - - (12,849 ) - (7,350 ) - (20,199 ) Transfer of Units In(Out) - - - - - - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests (686 ) 5,664 (27,237 ) (1,304 ) (144,934 ) - (168,497 ) - 1,104 3,367 90 12,714 - 17,275 Owners’ Capital, September 30, 2021 $ - $ 8,048 $ 390,873 $ 24,446 $ 2,717,302 $ - $ 3,140,669 $ - $ 4,047 $ 211,953 $ 4,207 $ 585,607 - $ 805,814 Owners’ Capital - Units, June 30, 2021 517 25 4,467 287 32,374 - 40 2,998 60 8,381 Sale of Units (including transfers) - 64 - - - - 14 - - - Redemption of Units (including transfers) (517 ) - (172 ) - (554 ) - - (176 ) - (105 ) Owners’ Capital - Units, September 30, 2021 - 89 4,295 287 31,820 - 54 2,822 60 8,276 Net asset value per unit at June 30, 2021 $ 77.68 $ 95.90 $ 89.95 $ - $ 73.52 $ 69.23 Change in net asset value per unit for the three months ended September 30, 2021 (77.68 ) (4.91 ) (4.56 ) - 1.58 $ 1.53 Net asset value per unit at September 30, 2021 (1) $ - $ 90.99 $ 85.39 $ - $ 75.10 $ 70.76 (1) Values are for both the Managing Owner and Limited Owners. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Three Months Ended September 30, 2021 Frontier Long/Short Commodity Fund Class 2 Class 3 Class 2a Class 3a Non- Managing
Owner Limited
Owners Limited
Owners Managing
Owner Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Owners’ Capital, June 30, 2021 $ 4,511 $ 34,265 $ 1,050,928 $ 9,537 $ 82,724 $ 1,209 $ 229,269 $ - $ 1,412,443 Redemption of Units - (6,890 ) (415 ) - - - (4,860 ) - (12,165 ) Transfer of Units In (Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 28 53 6,436 91 788 12 2,333 - 9,741 Owners’ Capital, September 30, 2021 $ 4,539 $ 27,428 $ 1,056,949 $ 9,628 $ 83,512 $ 1,221 $ 226,742 $ - $ 1,410,019 Owners’ Capital - Units, June 30, 2021 46 348 10,172 149 1,298 18 3,404 Redemption of Units (including transfers) - (71 ) (4 ) - - - (72 ) Owners’ Capital - Units, September 30, 2021 46 277 10,168 149 1,298 18 3,332 Net asset value per unit at June 30, 2021 $ 98.49 $ 103.32 $ 63.74 $ 67.36 Change in net asset value for the three months ended September 30, 2021 0.60 0.63 0.61 0.68 Net asset value per unit at September 30, 2021 (1) $ 99.09 $ 103.95 $ 64.35 $ 68.04 (1) Values are for both the Managing Owner and Limited Owners. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Three Months Ended September 30, 2021 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, June 30, 2021 $ 8,386,018 $ 116,780 $ 56,491 $ 1,644,977 $ 57,486 $ 25,378 $ 517,629 $ - $ 10,804,759 Redemption of Units (337,506 ) (50,187 ) (6,000 ) (85,706 ) - (25,751 ) (33,772 ) - (538,922 ) Transfer of Units In (Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests (115,197 ) 354 (393 ) (8,777 ) (381 ) 373 (2,124 ) - (126,145 ) Owners’ Capital, September 30, 2021 $ 7,933,315 $ 66,947 $ 50,098 $ 1,550,494 $ 57,105 $ - $ 481,733 $ - $ 10,139,692 Owners’ Capital - Units, June 30, 2021 97,671 1,106 397 11,557 465 206 4,207 Redemption of Units (including transfers) (3,917 ) (467 ) (42 ) (588 ) 1 (206 ) (266 ) Owners’ Capital - Units, September 30, 2021 93,754 639 355 10,969 466 (0 ) 3,941 Net asset value per unit at June 30, 2021 $ 85.86 $ 105.55 $ 142.34 $ 123.47 $ 123.05 Change in net asset value for the three months ended September 30, 2021 (1.24 ) (0.73 ) (1.00 ) (0.82 ) (0.82 ) Net asset value per unit at September 30, 2021 (1) $ 84.62 $ 104.82 $ 141.34 $ 122.65 $ 122.23 (1) Values are for both the Managing Owner and Limited Owners. Frontier Select Fund Frontier Global Fund Frontier Heritage Fund Class 1 Class 1AP Class 2 Non- Class 1 Class 2 Non- Class 1 Class 1AP Class 2 Non- Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Owners’ Capital, June 30, 2021 $ 1,535,828 $ 10,548 $ 17,737 $ 57,694 $ - $ 1,621,807 $ 2,580,738 $ 31,522 $ 168,853 $ - $ 2,781,113 $ 2,297,366 $ 8,577 $ 27,818 $ 211,840 $ - $ 2,545,601 Redemption of Units (66,156 ) - (1,000 ) - - (67,156 ) (130,506 ) (3,000 ) - - (133,506 ) (22,764 ) - (1,000 ) - - (23,764 ) Transfer of Units In (Out) - - - - - - - - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 27,320 263 440 1,441 - 29,464 42,456 505 4,597 - 47,558 60,934 297 873 7,339 - 69,443 Owners’ Capital, September 30, 2021 $ 1,496,992 $ 10,811 $ 17,177 $ 59,135 $ - $ 1,584,115 $ 2,492,688 $ 29,027 $ 173,450 $ - $ 2,695,165 $ 2,335,536 $ 8,874 $ 27,691 $ 219,179 $ - $ 2,591,280 Owners’ Capital - Units, June 30, 2021 23,209 130 164 534 22,006 175 939 21,026 64 155 1,177 Redemption of Units (including transfers) (971 ) - (9 ) - (1,157 ) (18 ) - (210 ) - (6 ) - Owners’ Capital - Units, September 30, 2021 22,238 130 155 534 20,849 157 939 20,816 64 149 1,177 Net asset value per unit at June 30, 2021 $ 66.17 $ 81.44 $ 108.07 $ 117.28 $ 179.85 $ 109.26 $ 134.45 $ 179.93 Change in net asset value per for the three months ended September 30, 2021 1.15 2.03 2.70 2.28 4.90 2.94 4.65 6.24 Net asset value per unit at September 30, 2021 (1) $ 67.32 $ 83.47 $ 110.77 $ 119.56 $ 184.75 $ 112.20 $ 139.10 $ 186.17 (1) Values are for both the Managing Owner and Limited Owners. 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, 2020 $ 154,260 $ 2,212 $ 464,012 $ 54,405 $ 3,508,082 $ - $ 4,182,971 $ 9,740 $ 6,265 $ 257,673 $ 7,167 $ 712,682 $ - $ 993,527 Sale of Units - 6,000 - - - - 6,000 - 1,000 - - - - 1,000 Redemption of Units (161,099 ) - (82,184 ) (31,000 ) (906,750 ) - (1,181,033 ) - (3,500 ) (70,949 ) (3,500 ) (207,231 ) - (285,180 ) Transfer of Units In (Out) - - - - - - - (10,187 ) - - - 10,187 - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 6,839 (164 ) 9,045 1,041 115,970 - 132,731 447 282 25,229 540 69,969 - 96,467 Owners’ Capital, September 30, 2021 $ - $ 8,048 $ 390,873 $ 24,446 $ 2,717,302 $ - $ 3,140,669 $ - $ 4,047 $ 211,953 $ 4,207 $ 585,607 - $ 805,814 Owners’ Capital - Units, December 31, 2020 2,122 25 5,216 654 42,100 177 93 3,815 113 11,220 Sale of Units (including transfers) - 64 - - - - 14 - - - Redemption of Units (including transfers) (2,122 ) - (921 ) (367 ) (10,280 ) (177 ) (53 ) (993 ) (53 ) (2,944 ) Owners’ Capital - Units, September 30, 2021 - 89 4,295 287 31,820 - 54 2,822 60 8,276 Net asset value per unit at December 31, 2020 $ 72.68 $ 88.95 $ 83.33 $ 55.18 $ 67.54 $ 63.52 Change in net asset value per unit for the nine months ended September 30, 2021 (72.68 ) 2.04 2.06 (55.18 ) 7.56 $ 7.24 Net asset value per unit at September 30, 2021 (1) $ - $ 90.99 $ 85.39 $ - $ 75.10 $ 70.76 (2) Values are for both the Managing Owner and Limited Owners. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Nine Months Ended September 30, 2021 Frontier Long/Short Commodity Fund Class 2 Class 3 Class 2a Class 3a Managing Owner Limited Owners Limited Owners Managing Owner Limited Owners Managing Owner Limited Owners Non-Controlling Interests Total Owners’ Capital, December 31, 2020 $ 3,939 $ 30,334 $ 976,771 $ 8,274 $ 76,583 $ 1,048 $ 216,354 $ - $ 1,313,303 Redemption of Units - (7,313 ) (69,099 ) - (4,963 ) - (22,944 ) - (104,319 ) Transfer of Units In (Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 600 4,407 149,277 1,354 11,892 173 33,332 - 201,035 Owners’ Capital, September 30, 2021 $ 4,539 $ 27,428 $ 1,056,949 $ 9,628 $ 83,512 $ 1,221 $ 226,742 $ - $ 1,410,019 Owners’ Capital – Units, December 31, 2020 46 353 10,828 149 1,386 18 3,707 Redemption of Units (including transfers) - (76 ) (660 ) - (88 ) - (375 ) Owners’ Capital – Units, September 30, 2021 46 277 10,168 149 1,298 18 3,332 Net asset value per unit at December 31, 2020 $ 85.99 $ 90.21 $ 55.29 $ 58.37 Change in net asset value per unit for the nine months ended September 30, 2021 13.10 13.74 9.06 9.67 Net asset value per unit at September 30, 2021 (1) $ 99.09 $ 103.95 $ 64.35 $ 68.04 (1) Values are for both the Managing Owner and Limited Owners. The Series of Frontier Funds Statements of Changes in Owners’ Capital (Unaudited) For the Nine Months Ended September 30, 2021 Frontier Balanced Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Limited Owners Limited Owners Managing Owner Limited Owners Managing Owner Limited Owners Limited Owners Non-Controlling Interests Total Owners’ Capital, December 31, 2020 $ 9,430,532 $ 108,053 $ 51,810 $ 1,906,359 $ 75,416 $ 30,961 $ 507,148 $ - $ 12,110,279 Redemption of Units (2,028,537 ) (51,153 ) (6,000 ) (495,213 ) (23,500 ) (34,162 ) (67,043 ) - (2,705,608 ) Transfer of Units In (Out) - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 531,320 10,047 4,288 139,348 5,189 3,201 41,628 - 735,021 Owners’ Capital, September 30, 2021 $ 7,933,315 $ 66,947 $ 50,098 $ 1,550,494 $ 57,105 $ - $ 481,733 $ - $ 10,139,692 Owners’ Capital - Units, December 31, 2020 117,991 1,116 397 14,603 666 274 4,495 Redemption of Units (including transfers) (24,237 ) (477 ) (42 ) (3,634 ) (200 ) (274 ) (554 ) Owners’ Capital - Units, September 30, 2021 93,754 639 355 10,969 466 - 3,941 Net asset value per unit at December 31, 2020 $ 79.93 $ 96.81 $ 130.54 $ 113.20 $ 112.81 Change in net asset value for the nine months ended September 30, 2021 4.69 8.01 10.80 9.45 9.42 Net asset value per unit at September 30, 2021 (1) $ 84.62 $ 104.82 $ 141.34 $ 122.65 $ 122.23 (1) Values are for both the Managing Owner and Limited Owners. Frontier Select Fund Frontier Global Fund Frontier Heritage Fund Class 1 Class 1AP Class 2 Non- Class 1 Class 2 Non- Class 1 Class 1AP Class 2 Non- Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Limited
Owners Limited
Owners Managing
Owner Limited
Owners Controlling
Interests Total Owners’ Capital, December 31, 2020 $ 1,575,328 $ 9,821 $ 17,210 $ 50,769 $ - $ 1,653,128 $ 2,741,972 $ 31,366 $ 157,311 $ - $ 2,930,649 $ 2,169,152 $ 8,460 $ 24,105 $ 183,565 $ - $ 2,385,282 Redemption of Units (299,314 ) (656 ) (2,800 ) (481 ) - (303,251 ) (445,629 ) (5,000 ) - - (450,629 ) (182,668 ) (1,100 ) (1,000 ) - - (184,768 ) Transfer of Units In (Out) - - - - - - - - - - - - - - - - Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests 220,978 1,646 2,767 8,847 - 234,238 196,345 2,661 16,139 - 215,145 349,052 1,514 4,586 35,614 - 390,766 Owners’ Capital, September 30, 2021 $ 1,496,992 $ 10,811 $ 17,177 $ 59,135 $ - $ 1,584,115 $ 2,492,688 $ 29,027 $ 173,450 $ - $ 2,695,165 $ 2,335,536 $ 8,874 $ 27,691 $ 219,179 $ - $ 2,591,280 Owners’ Capital - Units, December 31, 2020 26,906 138 183 539 24,725 187 939 22,572 73 155 1,177 Redemption of Units (including transfers) (4,668 ) (8 ) (28 ) (5 ) (3,876 ) (30 ) - (1,756 ) (9 ) (6 ) - Owners’ Capital - Units, September 30, 2021 22,238 130 155 534 20,849 157 939 20,816 64 149 1,177 Net asset value per unit at December 31, 2020 $ 58.55 $ 70.99 $ 94.20 $ 110.90 $ 167.56 $ 96.10 $ 116.50 $ 155.92 Change in net asset value per unit for the nine months ended September 30, 2021 8.77 12.48 16.57 8.66 17.19 16.10 22.60 30.25 Net asset value per unit at September 30, 2021 (1) $ 67.32 $ 83.47 $ 110.77 $ 119.56 $ 184.75 $ 112.20 $ 139.10 $ 186.17 (1) Values are for both the Managing Owner and Limited Owners. Frontier Diversified Fund Frontier Masters Fund Frontier
Long/Short
Commodity Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 132,731 $ (3,246,169 ) $ 96,467 $ (503,897 ) $ 201,035 $ (970 ) 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 142,851 1,348,473 (112,616 ) (386,057 ) (78,990 ) (286,463 ) Net unrealized (gain)/loss on swap contracts - 2,099,874 - - - (215,753 ) Net unrealized (gain)/loss on private investment companies (163,133 ) (372,285 ) (124,384 ) (280,814 ) (195,759 ) (206,081 ) Net realized (gain)/loss on private investment companies (67,391 ) 1,295,055 (1,561 ) 694,341 (21,756 ) 394,032 Net realized (gain)/loss on U.S. Treasury securities 3,079 19,521 2,145 (6,092 ) 3,513 (6,224 ) Net unrealized (gain)/loss on U.S. Treasury securities 420 (27,421 ) 96 2,674 (131 ) 1,476 (Purchases) sales of: (Purchases) of swap contracts - (269,146 ) - - - (Purchases) of U.S. Treasury securities (256,617 ) (1,723,974 ) (127,722 ) (780,910 ) (154,028 ) (536,710 ) Sales of U.S. Treasury securities 501,356 461,162 241,139 1,199,617 658,117 866,588 U.S. Treasury interest and premium paid/amortized 2,832 2,006 2,429 2,329 2,931 2,025 (Purchases) of Private Investment Companies (865,067 ) (2,011,773 ) (138,239 ) (1,149,732 ) (664,939 ) (173,665 ) Sale of Private Investment Companies 1,679,059 5,931,748 496,535 1,743,952 284,911 277,921 Increase and/or decrease in: Investments in unconsolidated trading companies, at fair value (13,910 ) 9,618 (15,332 ) 872 (3,575 ) 74 Interest receivable 8,296 1,895 338 832 8,914 1,163 Receivable from related parties (3,994 ) (21,575 ) (4,453 ) (23,029 ) (988 ) (33,267 ) Other assets - 5,700 - - - - Redemptions receivable from private investment companies 31,886 60,241 24,837 (44,070 ) 1,251 (1,250 ) Interest payable to Managing Owner - - - - (50 ) 44 Service fees payable to Managing Owner (300 ) (2,760 ) (26 ) (79 ) 1 - Trading fees payable to Managing Owner (2,682 ) (19,191 ) (1,240 ) (4,313 ) 1,014 (769 ) Subscriptions in advance for service fee rebates - 119 - 184 - 189 Other liabilities 558 3,054 1,777 1,630 (751 ) 2,409 Net cash provided by (used in) operating activities 1,129,974 3,544,172 340,190 467,438 40,720 84,769 Cash Flows from Financing Activities: Proceeds from sale of units 6,000 - 1,000 - - - Payment for redemption of units (1,181,033 ) (3,553,498 ) (285,180 ) (460,350 ) (104,319 ) (67,488 ) Change in owner redemptions payable - - (38,128 ) - - (4,276 ) Net cash provided by (used in) financing activities (1,175,033 ) (3,553,498 ) (322,308 ) (460,350 ) (104,319 ) (71,764 ) Net increase (decrease) in cash and cash equivalents (45,058 ) (9,326 ) 17,882 7,088 (63,599 ) 13,005 Cash and cash equivalents, beginning of period 87,715 56,263 4,771 25,639 93,327 34,272 Cash and cash equivalents, end of period $ 42,657 $ 46,937 $ 22,653 $ 32,727 29,728 $ 47,277 Frontier Balanced Fund Frontier Select Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 735,021 $ (8,128,414 ) $ 234,238 $ (443,981 ) 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 600,692 179,457 (207,641 ) (218,192 ) Net unrealized (gain)/loss on swap contracts - 5,804,030 - - Net unrealized (gain)/loss on U.S. Treasury securities 1,089 5,409 (385 ) 3,372 Net realized (gain)/loss on U.S. Treasury securities 6,663 (28,151 ) 2,430 (3,374 ) Net unrealized (gain)/loss on private investment companies (570,451 ) 325,724 (152,712 ) 49,653 Net realized (gain)/loss on private investment companies (304,097 ) 1,666,467 (145,302 ) 285,836 (Purchases) sales of: (Purchases) of swap contracts - (1,178,697 ) - - (Purchases) of U.S. Treasury securities (902,849 ) (3,570,232 ) (130,240 ) (1,401,667 ) Sales of U.S. Treasury securities 1,569,802 3,616,957 318,759 1,721,835 U.S. Treasury interest and premium paid/amortized 245 6,361 - - (Purchases) of Private Investment Companies (2,196,236 ) (4,464,511 ) (235,774 ) (1,911,902 ) Sale of Private Investment Companies 3,756,872 6,308,097 616,847 2,323,820 Increase and/or decrease in: Open trade equity/(deficit), at fair value 16,111 175,959 - - Receivable from futures commission merchants (554,694 ) 1,745,358 - - Control of ownership of Private Investment Companies - - - - Investments in unconsolidated trading companies, at fair value 49,755 50,867 (15,601 ) 500,499 Interest receivable 25,471 4,270 (121 ) 2,224 Receivable from related parties 52,804 - (4,534 ) (11,037 ) Incentive fees payable to Managing Owner 54,924 - - - Management fees payable to Managing Owner (7,244 ) 108 - - Interest payable to Managing Owner (313 ) 256 70 458 Trading fees payable to Managing Owner (2,725 ) (28,699 ) 70 (1,912 ) Service fees payable to Managing Owner (2,997 ) (21,057 ) (11 ) (3,205 ) Risk analysis fees payable 957 1,564 - - Payables to related parties - 175,803 (26,129 ) - Redemptions receivable from private investment companies 55,473 184,180 67,876 (128,396 ) Subscriptions in advance for service fee rebates 16,970 21,905 1,303 2,115 Other liabilities (7,478 ) (1,819 ) 1,872 (7,486 ) Net cash provided by (used in) operating activities 2,393,765 2,851,192 325,015 758,660 Cash Flows from Financing Activities: Proceeds from sale of units - - - - Payment for redemption of units (2,705,608 ) (2,955,837 ) (303,251 ) (805,113 ) Change in owner redemptions payable 50,040 (13,861 ) - 793 Net cash provided by (used in) financing activities (2,655,568 ) (2,969,698 ) (303,251 ) (804,320 ) Net increase (decrease) in cash and cash equivalents (261,803 ) (118,506 ) 21,764 (45,660 ) Cash and cash equivalents, beginning of period 261,803 118,506 - 61,345 Cash and cash equivalents, end of period $ - $ - $ 21,764 $ 15,685 Frontier Global Fund Frontier Heritage Fund 9/30/2021 9/30/2020 9/30/2021 9/30/2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 215,145 $ (756,267 ) $ 390,766 $ (268,694 ) 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 (225,147 ) (572,676 ) (127,756 ) (75,421 ) Net unrealized (gain)/loss on swap contracts - - - (197,829 ) Net realized (gain)/loss on swap contracts - - - 97,745 Net unrealized (gain)/loss on U.S. Treasury securities 531 3,645 178 7,369 Net realized (gain)/loss on U.S. Treasury securities 2,920 (11,338 ) 3,082 (9,015 ) Net unrealized (gain)/loss on private investment companies (216,899 ) 970,042 (418,547 ) 75,695 Net realized (gain)/loss on private investment companies (150,153 ) (448,127 ) (86,630 ) 56,727 (Purchases) sale of: Sales of U.S. Treasury Securities 454,651 1,191,317 357,230 932,192 (Purchases) of U.S. Treasury securities (225,077 ) (580,333 ) (191,271 ) (804,397 ) U.S. Treasury interest and premium paid/amortized - - - - Sales of swap contracts - - - 1,491,965 (Purchases) of Private Investment Companies (410,446 ) (463,750 ) (394,302 ) (941,369 ) Sale of Private Investment Companies 1,043,400 1,924,065 702,567 979,165 Reduction of collateral in Swap Contracts - - - 1,496,127 Increase and/or decrease in: Investments in unconsolidated trading companies, at fair value (17,065 ) (1,461 ) (26,706 ) (1,025 ) Interest receivable 413 871 1,245 1,405 Advance on unrealized Swap Appreciation - - - (1,900,000 ) Receivable from related parties (4,954 ) (30,180 ) (7,752 ) (45,263 ) Other assets - - - - Interest payable to Managing Owner (65 ) 174 229 160 Trading fees payable to Managing Owner (1,264 ) (9,477 ) 412 (3,602 ) Service fees payable to Managing Owner (823 ) (4,494 ) 256 (818 ) Redemptions receivable from private investment companies - - - - Subscriptions in advance for service fee rebates 3,111 3,718 4,871 4,721 Other liabilities 1,973 (5,750 ) 3,012 2,701 Net cash provided by (used in) operating activities 470,251 1,209,979 210,884 898,539 Cash Flows from Financing Activities: Proceeds from sale of units - - - - Payment for redemption of units (450,629 ) (1,142,297 ) (184,768 ) (389,465 ) Change in non-controlling interest - - - (479,024 ) Change in owner redemptions payable - (52,324 ) - (9,735 ) Net cash provided by (used in) financing activities (450,629 ) (1,194,621 ) (184,768 ) (878,224 ) Net increase (decrease) in cash and cash equivalents 19,622 15,358 26,116 20,315 Cash and cash equivalents, beginning of period 5,694 27,532 15,156 44,011 Cash and cash equivalents, end of period $ 25,316 $ 42,890 $ 41,272 $ 64,326 1. Organization and Purpose1. Organization and Purpose (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”).● 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 (as defined below) entities. Except as otherwise described in these notes, each Trading Company and Galaxy Plus entity has one-year renewable contracts with its own independent commodity trading advisor (s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s and Galaxy Plus assets and make the trading decisions for the assets of each Series 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; ●● 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 soldsold) 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. March 31,September 30, 2021, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into threetwo separate Classes—Class 1, Class 2 and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes—Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Frontier Long/Short CommodityMasters Fund Class 1A1 was closed as of September 30, 2020April 1, 2021, and Frontier GlobalDiversified Fund Class 1AP1 was closed as of November 18, 2020. July 21, 2021. For those Series that do not investAll the funds are invested in Galaxy Plus their assets are split between investments in Trading Companies and investments in the pooled cash management account.entities. Plus.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.Income—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. TreasuriesTreasury securities and assets held at a futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series and shown net on the statement of operations. The amount reflected in the financial statements of the Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those Series may be zero. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.March 31,September 30, 2021 and December 31, 2020 included restricted cash for margin requirements of $308,895$791,090 and $321,638 respectively, for the Frontier Balanced Fund.proceedscost 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. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series.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 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.$411,$393, $31,725, $352,411, $19,904, $155,675,$363,825, $20,766, $157,782 and $64,729$68,076 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of March 31,September 30, 2021. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.followsfollow 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.Securities. 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.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 approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5%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. For the quarter ended September 30, 2021, the Trust did not have any total return swap investments.Companies. 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.Private Investment Companiesprivate investment companies are excluded from the leveling table below.March 31,September 30, 2021 and December 31, 2020 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.March 31, 2021 Level 1
Inputs Level 2
Inputs Level 3
Inputs Total
Fair Value Frontier Diversified Fund Investment in Unconsolidated Trading Companies $ 23,731 $ - $ - $ 23,731 U.S. Treasury Securities 121,604 - - 121,604 Frontier Masters Fund Investment in Unconsolidated Trading Companies 13,600 - - 13,600 U.S. Treasury Securities 69,690 - - 69,690 Frontier Long/Short Commodity Fund Investment in Unconsolidated Trading Companies 15,597 - - 15,597 U.S. Treasury Securities 79,922 - - 79,922 Frontier Balanced Fund Investment in Unconsolidated Trading Companies 33,854 - - 33,854 Open Trade Equity (Deficit) 53,107 - - 53,107 U.S. Treasury Securities 173,475 - - 173,475 Frontier Select Fund - Investment in Unconsolidated Trading Companies 9,590 - - 9,590 U.S. Treasury Securities 49,141 - - 49,141 Frontier Global Fund - Investment in Unconsolidated Trading Companies 27,774 - - 27,774 U.S. Treasury Securities 142,316 - - 142,316 Frontier Heritage Fund Investment in Unconsolidated Trading Companies 22,925 - - 22,925 U.S. Treasury Securities 117,469 - - 117,469 September 30, 2021 Level 1
Inputs Level 2
Inputs Level 3
Inputs Total
Fair Value Frontier Diversified Fund Investment in Unconsolidated Trading Companies $ 30,579 $ - $ - $ 30,579 U.S. Treasury Securities 33,471 - - 33,471 Frontier Masters Fund Investment in Unconsolidated Trading Companies 16,239 - - 16,239 U.S. Treasury Securities 17,774 - - 17,774 Frontier Long/Short Commodity Fund Investment in Unconsolidated Trading Companies 21,311 - - 21,311 U.S. Treasury Securities 23,326 - - 23,326 Frontier Balanced Fund Open Trade Equity (Deficit) 84,329 - - 84,329 Frontier Select Fund - Investment in Unconsolidated Trading Companies 15,601 - - 15,601 U.S. Treasury Securities 17,077 - - 17,077 Frontier Global Fund - Investment in Unconsolidated Trading Companies 18,148 - - 18,148 U.S. Treasury Securities 19,864 - - 19,864 Frontier Heritage Fund Investment in Unconsolidated Trading Companies 29,586 - - 29,586 U.S. Treasury Securities 32,384 - - 32,384 December 31, 2020 Level 1
Inputs Level 2
Inputs Level 3
Inputs Total
Fair Value Frontier Diversified Fund Investment in Unconsolidated Trading Companies $ 16,669 $ - $ - $ 16,669 U.S. Treasury Securities 427,393 - - 427,393 Frontier Masters Fund Investment in Unconsolidated Trading Companies 907 - - 907 U.S. Treasury Securities 23,245 - - 23,245 Frontier Long/Short Commodity Fund Investment in Unconsolidated Trading Companies 17,736 - - 17,736 U.S. Treasury Securities 454,738 - - 454,738 Frontier Balanced Fund Investment in Unconsolidated Trading Companies 49,755 - - 49,755 Open Trade Equity (Deficit) 100,440 - - 100,440 U.S. Treasury Securities 1,275,641 - - 1,275,641 Frontier Global Fund Investment in Unconsolidated Trading Companies 1,083 - - 1,083 U.S. Treasury Securities 27,742 - - 27,742 Frontier Heritage Fund Investment in Unconsolidated Trading Companies 2,880 - - 2,880 U.S. Treasury Securities 73,847 - - 73,847 companies.”companies”. During year ended December 2020, all identified Level 3 assets were components of the Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, and Frontier Heritage Fund. During the year ended December 31, 2020, the entire investments in the swaps were sold. Frontier
Balanced
Fund Frontier
Long/Short
Commodity
Fund Balance of recurring Level 3 assets as of January 1, 2020 $ 11,944,753 $ 362,521 Total gains or losses (realized/unrealized): Included in earnings-realized (2,448,166 ) 188,100 Included in earnings-unrealized (3,088,917 ) 44,277 Proceeds from collateral reduction (6,176,555 ) (115,000 ) Sale of investments (7,586,366 ) (594,898 ) Purchase of investments 7,355,251 115,000 Change in ownership allocation - - Transfers in and/or out of Level 3 - - Balance of recurring Level 3 assets as of December 31, 2020 $ - $ - Frontier
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 (446,306 ) (97,745 ) Included in earnings-unrealized (1,537,399 ) 197,829 Proceeds from collateral reduction (4,000,000 ) (2,474,937 ) Sale of investments (4,870,025 ) (1,491,965 ) Purchase of investments 4,469,147 978,809 Change in ownership allocation - - Transfers in and/or out of Level 3 - - Balance of recurring Level 3 assets as of December 31, 2020 $ - $ - Frontier
Balanced
Fund Frontier
Long/Short
Commodity
Fund Balance of recurring Level 3 assets as of January 1, 2020 $ 11,944,753 $ 362,521 Total gains or losses (realized/unrealized): Included in earnings-realized (2,448,166 ) 188,100 Included in earnings-unrealized (3,088,917 ) 44,277 Proceeds from collateral reduction (6,176,555 ) (115,000 ) Sale of investments (7,586,366 ) (594,898 ) Purchase of investments 7,355,251 115,000 Change in ownership allocation - - Transfers in and/or out of Level 3 - - Balance of recurring Level 3 assets as of December 31, 2020 $ - $ - Frontier
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 (446,306 ) (97,745 ) Included in earnings-unrealized (1,537,399 ) 197,829 Proceeds from collateral reduction (4,000,000 ) (2,474,937 ) Sale of investments (4,870,025 ) (1,491,965 ) Purchase of investments 4,469,147 978,809 Change in ownership allocation - - Transfers in and/or out of Level 3 - - Balance of recurring Level 3 assets as of December 31, 2020 $ - $ - 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 95,915 Proceeds from sales of investments of unconsolidated trading companies (574,939 ) Purchases of investments of unconsolidated trading companies - Change in ownership allocation - Transfers in and/or out of Level 3 - Balance of recurring Level 3 assets as of December 31, 2020 $ - 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 95,915 Proceeds from sales of investments of unconsolidated trading companies (574,939 ) Purchases of investments of unconsolidated trading companies - Change in ownership allocation - Transfers in and/or out of Level 3 - Balance of recurring Level 3 assets as of December 31, 2020 $ - 28threenine months ended March 31,September 30, 2021, the Trust did not transfer any assets between Levels 1, 2 or 3.ownowned the Frontier Brevan Howard swap. The Frontier Heritage Fund ownsowned the majority interest in the Frontier Brevan Howard swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020. Frontier
Diversified
Fund Frontier
Long/Short
Commodity
Fund Frontier
Balanced
Fund Frontier
Heritage
Fund Swap Contracts $ (1,537,399 ) $ 44,277 $ (3,088,917 ) $ 197,829 Frontier
Select Fund Investments in Unconsolidated Trading Companies $ (91,989 ) Frontier
Select
Fund Investments in Unconsolidated Trading Companies $ (91,989 ) 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.approximately 0.00%,none of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the Statements of Financial Condition. The cash held with the counterparty is not restricted. Frontier
Balanced
Fund Frontier
Diversified
Fund Frontier
Long/Short
Commodity
Fund Frontier
Heritage
Fund Total Return
Swap Total Return
Swap Total Return
Swap Total Return
Swap Counterparty Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Realized Gain/(Loss) $ (2,448,166 ) $ (446,306 ) $ 188,100 $ (97,745 ) Change in Unrealized Gain/(Loss) $ (3,088,917 ) $ (1,537,399 ) $ 44,277 $ 197,829 Fair Value as of December 31, 2020 $ 0 $ 0 $ 0 $ 0 Advance on swap appreciation $ 0 $ 0 $ 0 $ 0 Frontier
Balanced
Fund Frontier
Diversified
Fund Frontier
Long/Short
Commodity
Fund Frontier
Heritage
Fund Total
Return
Swap Total
Return
Swap Total
Return
Swap Total
Return
Swap Counterparty Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Realized Gain/(Loss) $ (2,448,166 ) $ (446,306 ) $ 188,100 $ (97,745 ) Change in Unrealized Gain/(Loss) $ (3,088,917 ) $ (1,537,399 ) $ 44,277 $ 197,829 Fair Value as of December 31, 2020 $ 0 $ 0 $ 0 $ 0 Advance on swap appreciation $ 0 $ 0 $ 0 $ 0 ofa feeder funds in which the Series invest and master trading entities into which the feeder funds invest. No investment held by the Galaxy Plus master trading entity is greater than 5% of the Series’ total capital.March 31,September 30, 2021 and December 31, 2020: As of March 31, 2021 As of December 31, 2020 Percentage of Percentage of Series Total Series Total Capital
Invested in Capital
Invested in Series Unconsolidated
Trading
Companies Fair Value Unconsolidated
Trading
Companies Fair Value Frontier Diversified Series — Frontier Trading Company XXXVIII 0.59 % $ 23,731 0.40 % $ 16,669 Frontier Masters Fund --- Frontier Trading Company XXXVIII 1.37 % $ 13,600 0.09 % $ 907 Frontier Long/Short Commodity Fund --- Frontier Trading Company XXXVIII 1.16 % $ 15,597 1.35 % $ 17,736 Frontier Balanced Fund --- Frontier Trading Company XXXVIII 0.30 % $ 33,854 0.41 % $ 49,755 Frontier Select Fund --- Frontier Trading Companies XXXVIII 0.59 % $ 9,590 0.00 % $ 0 Frontier Global Fund --- Frontier Trading Company XXXVIII 0.97 % $ 27,774 0.04 % $ 1,083 Frontier Heritage Fund --- Frontier Trading Company XXXVIII 0.93 % $ 22,925 0.12 % $ 2,880 As of September 30, 2021 As of December 31, 2020 Percentage of Percentage of Series Total Series Total Capital Invested in Capital Invested in Series Unconsolidated Trading Companies Fair Value Unconsolidated Trading Companies Fair Value Frontier Diversified Series — Frontier Trading Company XXXVIII 0.97 % $ 30,579 0.40 % $ 16,669 Frontier Masters Fund --- Frontier Trading Company XXXVIII 2.02 % $ 16,239 0.09 % $ 907 Frontier Long/Short Commodity Fund --- Frontier Trading Company XXXVIII 1.51 % $ 21,311 1.35 % $ 17,736 Frontier Balanced Fund --- Frontier Trading Company XXXVIII 0.00 % $ - 0.41 % $ 49,755 Frontier Select Fund --- Frontier Trading Companies XXXVIII 0.98 % $ 15,601 0.00 % $ - Frontier Global Fund --- Frontier Trading Company XXXVIII 0.67 % $ 18,148 0.04 % $ 1,083 Frontier Heritage Fund --- Frontier Trading Company XXXVIII 1.14 % $ 29,586 0.12 % $ 2,880 March 31,September 30, 2021 and March 31,September 30, 2020. Three Months Ended March, 2021 Three Months Ended March, 2020 Change in Net Change in Net Trading Realized Unrealized Income Trading Realized Unrealized Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Frontier Balanced Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (15,154 ) $ (15,154 ) $ - $ - $ (23,301 ) $ (23,301 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (1,608 ) 105,068 4,402 107,862 - 101,444 260,300 361,744 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - (6,308 ) (41,608 ) (47,916 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - (310,754 ) (332,663 ) (643,417 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (6,767 ) 96,963 (211,084 ) (120,888 ) - 78,918 (356,986 ) (278,068 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - - - - - 7,506 (259,157 ) (251,651 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (2,499 ) (183,383 ) 7,536 (178,346 ) - 25,548 (298,885 ) (273,337 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (4,323 ) 49,066 109,945 154,688 - (23,195 ) 166,919 143,724 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (11,862 ) 665,706 (74,900 ) 578,944 - 33,241 768,387 801,628 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (940 ) (501,183 ) 394,602 (107,521 ) - - - - Total $ (27,999 ) $ 232,237 $ 215,347 $ 419,585 $ - $ (93,600 ) $ (116,994 ) $ (210,594 ) Frontier Global Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 13,872 $ 13,872 $ - $ - $ (5,077 ) $ (5,077 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (2,508 ) 172,894 (40,552 ) 129,834 - 309,658 249,122 558,780 Total $ (2,508 ) $ 172,894 $ (26,680 ) $ 143,706 $ - $ 309,658 $ 244,045 $ 553,703 Frontier Select Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 7,332 $ 7,332 $ - $ - $ (6,529 ) $ (6,529 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (3,497 ) 198,489 (21,623 ) 173,369 - 24,954 236,122 261,076 Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - (17,031 ) (259,074 ) (276,105 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (392 ) (215,079 ) 166,556 (48,915 ) - - - - Total $ (3,889 ) $ (16,590 ) $ 152,265 $ 131,786 $ - $ 7,923 $ (29,481 ) $ (21,558 ) Frontier Heritage Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 10,944 $ 10,944 $ - $ - $ (6,103 ) $ (6,103 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (1,340 ) 93,684 (29,457 ) 62,887 - 33,962 142,571 176,533 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (3,124 ) 179,878 (23,467 ) 153,287 - (29,591 ) 273,543 243,952 Total $ (4,464 ) $ 273,562 $ (41,980 ) $ 227,118 $ - $ 4,371 $ 410,011 $ 414,382 Frontier Long/Short Commodity Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 10,148 $ 10,148 $ - $ - $ (4,706 ) $ (4,706 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - (61,736 ) (33,649 ) (95,385 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (229 ) 23,549 (18,332 ) 4,988 - 820 (137,741 ) (136,921 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (1,861 ) 105,715 (12,891 ) 90,963 - (6,455 ) 111,549 105,094 Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (1,808 ) - (28,559 ) (30,367 ) - - - - Total $ (3,898 ) $ 129,264 $ (49,634 ) $ 75,732 $ - $ (67,371 ) $ (64,547 ) $ (131,918 ) Frontier Diversified Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 8,063 $ 8,063 $ - $ - $ (1,009 ) $ (1,009 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (753 ) 52,525 (1,159 ) 50,613 - 88,315 152,312 240,627 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - (10,522 ) (20,678 ) (31,200 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - (268,381 ) (144,944 ) (413,325 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (3,231 ) 47,548 (95,237 ) (50,920 ) - 109,016 (298,106 ) (189,090 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - - - - - 3,721 (159,251 ) (155,530 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (640 ) (46,172 ) (2,167 ) (48,979 ) - (53,371 ) (32,636 ) (86,007 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (2,763 ) 30,374 90,227 117,838 - (12,007 ) 134,066 122,059 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (2,011 ) 110,869 (5,456 ) 103,402 - (6,567 ) 484,523 477,956 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (219 ) (118,037 ) 94,039 (24,217 ) - - - - Total $ (9,617 ) $ 77,107 $ 88,310 $ 155,800 $ - $ (149,796 ) $ 114,277 $ (35,519 ) Frontier Masters Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 11,507 $ 11,507 $ - $ - $ (6,482 ) $ (6,482 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (353 ) 23,632 (5,892 ) 17,387 - 28,637 104,600 133,237 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - (248,608 ) 88,339 (160,269 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (1,062 ) 60,348 (7,732 ) 51,554 - (21,114 ) 156,235 135,121 Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - 5,948 (102,480 ) (96,532 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (156 ) (83,540 ) 61,779 (21,917 ) - - - - Total $ (1,571 ) $ 440 $ 59,662 $ 58,531 $ - $ (235,137 ) $ 240,212 $ 5,075 Three Months Ended September, 2021 Three Months Ended September, 2020 Change in Change in Trading Realized Unrealized Net Income Trading Realized Unrealized Net Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Frontier Balanced Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (7,892 ) $ (7,892 ) $ - $ - $ 371 $ 371 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (1,527 ) 17,408 55,124 71,005 (1,694 ) (175,943 ) (21,260 ) (198,897 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - - 105 105 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - - (5,782 ) (5,782 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (5,970 ) 169,823 (627,689 ) (463,836 ) (4,862 ) (3,470 ) (33,133 ) (41,465 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - - - - - - (21,170 ) (21,170 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (3,803 ) (30,844 ) 222,902 188,255 (709 ) (231,484 ) 107,025 (125,168 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (4,627 ) 4,082 (85,162 ) (85,707 ) (3,539 ) (27,771 ) 22,238 (9,072 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (13,098 ) 183,530 (9,760 ) 160,672 (10,562 ) 101,830 (36,659 ) 54,609 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (1,703 ) (20,009 ) 22,204 492 (1,279 ) (396,950 ) (62,845 ) (461,074 ) Total $ (30,728 ) $ 323,990 $ (430,273 ) $ (137,011 ) $ (22,645 ) $ (733,788 ) $ (51,110 ) $ (807,543 ) Frontier Global Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 829 $ 829 $ - $ - $ (2,540 ) $ (2,540 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (2,503 ) 28,130 73,429 99,056 (3,236 ) (317,392 ) (114,867 ) (435,495 ) Total $ (2,503 ) $ 28,130 $ 74,258 $ 99,885 $ (3,236 ) $ (317,392 ) $ (117,407 ) $ (438,035 ) Frontier Select Fund �� Frontier Trading Company XXXVIII, LLC $ - $ - $ (69 ) $ (69 ) $ - $ - $ (1,518 ) $ (1,518 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - - (587 ) (587 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (4,877 ) 67,663 (7,516 ) 55,270 (3,352 ) 33,407 (19,556 ) 10,499 Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - - (2,763 ) (2,763 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (686 ) (8,299 ) 7,373 (1,612 ) - - (205,413 ) (205,413 ) Total $ (5,563 ) $ 59,364 $ (212 ) $ $ (3,352 ) $ 33,407 $ (229,837 ) $ (199,782 ) Frontier Heritage Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 981 $ 981 $ - $ - $ 1,742 $ 1,742 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (1,439 ) 16,356 41,181 56,098 (1,524 ) (149,796 ) 275,381 124,061 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (4,691 ) 66,486 (7,146 ) 54,649 (3,338 ) 34,047 (22,669 ) 8,040 Total $ (6,130 ) $ 82,842 $ 35,016 $ 111,728 $ (4,862 ) $ (115,749 ) $ 254,454 $ 133,843 Frontier Long/Short Commodity Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (7 ) $ (7 ) $ - $ - $ (2,028 ) $ (2,028 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - - (882 ) (882 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (120 ) 26,360 (23,799 ) 2,441 (306 ) 40,222 (55,994 ) (16,078 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (2,730 ) 38,119 (5,606 ) 29,783 (1,198 ) 12,151 (9,162 ) 1,791 Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (3,298 ) 86,851 (96,446 ) (12,893 ) - - - - Total $ (6,148 ) $ 151,330 $ (125,858 ) $ 19,324 $ (1,504 ) $ 52,373 $ (68,066 ) $ (17,197 ) Frontier Diversified Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (449 ) $ (449 ) $ - $ - $ (426 ) $ (426 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (640 ) 7,312 23,964 30,636 (1,068 ) (107,528 ) (19,659 ) (128,255 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - - 182 182 Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - - (3,544 ) (3,544 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (2,513 ) 71,506 (271,402 ) (202,409 ) (2,034 ) (1,729 ) (18,808 ) (22,571 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - - - - - - (9,084 ) (9,084 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (870 ) (6,983 ) 50,260 42,407 (271 ) (4,480 ) (47,525 ) (52,276 ) Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC - - - - - - - - Galaxy Plus Fund - Quest Feeder Fund (517) LLC (2,008 ) 1,764 (37,507 ) (37,751 ) (2,406 ) (18,673 ) 13,323 (7,756 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (2,389 ) 33,745 (2,180 ) 29,176 (3,320 ) 40,922 (22,756 ) 14,846 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (379 ) (4,507 ) 4,402 (484 ) (639 ) (198,372 ) (32,551 ) (231,562 ) Total $ (8,799 ) $ 102,837 $ (232,912 ) $ (138,874 ) $ (9,738 ) $ (289,860 ) $ (140,848 ) $ (440,446 ) Frontier Masters Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (50 ) $ (50 ) $ - $ - $ (1,279 ) $ (1,279 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (296 ) 3,396 11,798 14,898 (608 ) (62,539 ) (9,877 ) (73,024 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - - (147 ) (147 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - - (1,242 ) (1,242 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (1,258 ) 17,769 (1,385 ) 15,126 (1,164 ) 13,859 (11,510 ) 1,185 Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - - (1,002 ) (1,002 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (208 ) (2,486 ) 2,113 (581 ) (365 ) (113,226 ) (22,157 ) (135,748 ) Total $ (1,762 ) $ 18,679 $ 12,476 $ 29,393 $ (2,137 ) $ (161,906 ) $ (47,214 ) $ (211,257 ) Nine Months Ended September, 2021 Nine Months Ended September, 2020 Change in Change in Trading Realized Unrealized Net Income Trading Realized Unrealized Net Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Frontier Balanced Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ (36,142 ) $ (36,142 ) $ - $ - $ (9,094 ) $ (9,094 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (4,108 ) 173,578 114,603 284,073 (6,794 ) (163,459 ) (16,563 ) (186,816 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - (433 ) - (433 ) (2,152 ) (55,735 ) 25,629 (32,258 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - 252 - 252 (6,408 ) (718,397 ) 75,749 (649,056 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (19,136 ) 464,263 (786,970 ) (341,843 ) (20,836 ) (327,914 ) 156,749 (192,001 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - (1,910 ) - (1,910 ) (502 ) (232,245 ) (42,835 ) (275,582 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (9,204 ) (233,955 ) 56,175 (186,984 ) (9,264 ) (899,303 ) 157,923 (750,644 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (13,536 ) 121,430 (7,184 ) 100,710 (5,240 ) 28,824 (6,624 ) 16,960 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (39,426 ) 996,949 146,910 1,104,433 (23,203 ) 698,761 (196,095 ) 479,463 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (3,787 ) (448,411 ) 368,448 (83,750 ) (1,279 ) (396,950 ) (62,845 ) (461,074 ) Total $ (89,197 ) $ 1,071,763 $ (144,160 ) $ 838,406 $ (75,678 ) $ (2,066,418 ) $ 81,994 $ (2,060,102 ) Frontier Global Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 13,159 $ 13,159 $ - $ - $ (2,994 ) $ (2,994 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (6,827 ) 293,622 80,258 367,053 (11,634 ) (316,235 ) (194,046 ) (521,915 ) Total $ (6,827 ) $ 293,622 $ 93,417 $ 380,212 $ (11,634 ) $ (316,235 ) $ (197,040 ) $ (524,909 ) Frontier Select Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 6,956 $ 6,956 $ - $ - $ (8,190 ) $ (8,190 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - 387 - 387 - - (2,203 ) (2,203 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (13,325 ) 321,795 38,851 347,321 (7,477 ) 228,470 (72,058 ) 148,935 Galaxy Plus Fund - TT Feeder Fund (531) LLC - 864 - 864 (5,392 ) (237,723 ) (35,753 ) (278,868 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (1,599 ) (198,484 ) 149,525 (50,558 ) - - (205,413 ) (205,413 ) Total $ (14,924 ) $ 124,562 $ 195,332 $ 304,970 $ (12,869 ) $ (9,253 ) $ (323,617 ) $ (345,739 ) Frontier Heritage Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 11,448 $ 11,448 $ - $ - $ (1,582 ) $ (1,582 ) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (3,865 ) 161,521 26,673 184,329 (4,298 ) (151,155 ) 238,686 83,233 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (12,655 ) 302,134 31,369 320,848 (7,216 ) 215,524 (85,350 ) 122,958 Total $ (16,520 ) $ 463,655 $ 69,490 $ 516,625 $ (11,514 ) $ 64,369 $ 151,754 $ 204,609 Frontier Long/Short Commodity Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 9,914 $ 9,914 $ - $ - $ (5,104 ) $ (5,104 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - 36 - 36 (938 ) (103,100 ) 7,770 (96,268 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (543 ) 152,407 (126,776 ) 25,088 (978 ) (76,740 ) (71,464 ) (149,182 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (7,233 ) 173,929 14,090 180,786 (2,824 ) 88,947 (28,627 ) 57,496 Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (7,807 ) 107,810 (88,398 ) 11,605 - - - - Total $ (15,583 ) $ 434,182 $ (191,170 ) $ 227,429 $ (4,740 ) $ (90,893 ) $ (97,425 ) $ (193,058 ) Frontier Diversified Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 2,039 $ 2,039 $ - $ - $ 2,597 $ 2,597 Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (2,057 ) 83,740 55,185 136,868 (4,438 ) (76,179 ) (9,500 ) (90,117 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - (245 ) - (245 ) (1,348 ) (39,612 ) 17,858 (23,102 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - 157 - 157 (4,119 ) (463,144 ) 50,394 (416,869 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (8,665 ) 136,292 (259,205 ) (131,578 ) (13,164 ) (203,387 ) 60,454 (156,097 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC - (1,166 ) - (1,166 ) (309 ) (144,282 ) (21,773 ) (166,364 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (2,224 ) (57,849 ) 6,460 (53,613 ) (4,112 ) (248,715 ) (1,085 ) (253,912 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (7,103 ) 62,491 48,289 103,677 (3,920 ) 35,081 (6,574 ) 24,587 Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (6,964 ) 172,937 30,463 196,436 (10,591 ) 416,995 (40,991 ) 365,413 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (858 ) (104,890 ) 85,736 (20,012 ) (639 ) (198,372 ) (32,551 ) (231,562 ) Total $ (27,871 ) $ 291,467 $ (31,033 ) $ 232,563 $ (42,640 ) $ (921,615 ) $ 18,829 $ (945,426 ) Frontier Masters Fund Frontier Trading Company XXXVIII, LLC $ - $ - $ 9,882 $ 9,882 $ - $ - $ (3,554 ) $ (3,554 ) Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC - - - - - - - - Galaxy Plus Fund - Aspect Feeder Fund (532) LLC (1,068 ) 39,319 11,837 50,088 (2,657 ) (64,127 ) (37,949 ) (104,733 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - (58 ) - (58 ) - - (59 ) (59 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - 52 - 52 (1,540 ) (190,409 ) 30,438 (161,511 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (3,592 ) 91,267 10,976 98,651 (3,172 ) 109,775 (20,607 ) 85,996 Galaxy Plus Fund - TT Feeder Fund (531) LLC - 520 - 520 (1,851 ) (84,259 ) (11,424 ) (97,534 ) Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (536 ) (72,777 ) 50,005 (23,308 ) (365 ) (113,226 ) (22,157 ) (135,748 ) Total $ (5,196 ) $ 58,323 $ 82,700 $ 135,827 $ (9,585 ) $ (342,246 ) $ (65,312 ) $ (417,143 ) March 31,September 30, 2021 have certain redemption and liquidity restrictions which are described in the following table:Redemptions Redemptions Liquidity Notice Period Permitted Restrictions Frontier Diversified Fund Redemptions RedemptionsLiquidityMulti-Strategy Notice Period PermittedGalaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours RestrictionsDailyNone Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 24 hours Daily None Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None Frontier Masters Fund Frontier DiversifiedTrend FollowingGalaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Weekly None Multi-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 24 hours Daily None Frontier Long/Short Commodity Fund Multi-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) 24 hours Daily None Galaxy PlusFrontier Balanced Fund - Welton GDP Feeder Fund (538) LLC 24 hours DailyMulti-Strategy NoneGalaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC LLC)24 hours 24 hoursDaily DailyNoneGalaxy 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 Frontier Select Fund Multi-Strategy Galaxy Plus Fund - AspectWelton GDP Feeder Fund (532)(538) LLC24 hours 24 hoursDaily DailyNone Galaxy Plus Fund - Fort Contrarian– JL Cyril Systematic Feeder Fund (510) LLC (547) LLC)24 hours 24 hoursDaily DailyNone Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hoursDailyNoneGalaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hoursDailyNone Frontier Global Fund Frontier MastersTrend FollowingGalaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None Trend Following Frontier Heritage Fund Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hoursWeeklyNoneMulti-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours 24 hoursDaily DailyNone Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC 24 hoursDailyNoneTrend Following Frontier Long/Short Commodity Fund Multi-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hoursDailyNoneGalaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC 24 hoursDailyNoneFrontier Balanced Fund Multi-Strategy Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC 24 hoursDailyNoneGalaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hoursDailyNoneTrend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours 24 hoursDaily DailyNone Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hoursDailyNoneGalaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hoursDailyNoneGalaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hoursDailyNoneFrontier Select Fund Multi-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hoursDailyNoneGalaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC 24 hoursDailyNoneFrontier Global Fund Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hoursDailyNoneFrontier Heritage Fund Multi-Strategy Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hoursDailyNoneTrend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hoursDailyNoneEffective January 4, 2021, Volt Capital Management AB accessed through Galaxy Plus Fund — Volt Diversified Alpha Feeder Fund (550) LLC became a new commodity trading advisor for Frontier Long/Short Commodity Fund.32haswas invested in a swap, a Trading Advisor doesdid not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receivesreceived compensation via the fees embedded in the swap. As ofFor the year ended December 31, 2020, 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.As ofFor the dateyear ended of this report, for a Series that haswas invested in a swap, the Managing Owner or Trading Advisor(s) dodid not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receivesreceived compensation via the fees embedded in the swap. For the year ended December 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.$411,$393, $31,725, $352,411, $19,904, $155,675$363,825, $20,766, $157,782 and $64,729$68,076 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of September 30, 2021.and the Former Managing Owner for the three and nine months ended March 31,September 30, 2021 and 2020.September 30, 2020, respectively.Three Months Ended March 31, 2021 Incentive
(Rebate)
Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 1,049 $ 34,937 Frontier Masters Fund - - 210 14,863 Frontier Long/Short Commodity Fund - - 54 8,765 Frontier Balanced Fund 49,840 4,619 67,267 114,439 Frontier Select Fund - - 11,438 11,355 Frontier Global Fund - - 19,938 35,130 Frontier Heritage Fund - - 16,157 23,676 Three Months Ended September 30, 2021 Incentive (Rebate)
Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 310 $ 29,513 Frontier Masters Fund - - 135 12,339 Frontier Long/Short Commodity Fund - - 58 10,055 Frontier Balanced Fund 54,924 4,764 62,976 108,142 Frontier Select Fund - - 11,949 12,176 Frontier Global Fund - - 17,993 34,334 Frontier Heritage Fund - - 16,886 25,399 Three Months Ended September 30, 2020 Incentive (Rebate)
Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 2,062 $ 50,536 Frontier Masters Fund - - 407 21,879 Frontier Long/Short Commodity Fund - - 108 7,777 Frontier Balanced Fund - 5,029 73,754 127,677 Frontier Select Fund - - 13,025 10,391 Frontier Global Fund - - 22,977 42,481 Frontier Heritage Fund - - 15,845 25,094 Nine Months Ended September 30, 2021 Incentive (Rebate)
Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 1,860 $ 97,487 Frontier Masters Fund - - 492 40,507 Frontier Long/Short Commodity Fund - - 170 28,870 Frontier Balanced Fund 104,764 13,978 195,972 332,131 Frontier Select Fund - - 35,191 35,541 Frontier Global Fund - - 58,383 106,684 Frontier Heritage Fund - - 50,788 75,071 Three Months Ended March 31, 2020 Incentive
(Rebate)
Fees Management Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 7,707 $ 100,550 Frontier Masters Fund - - 595 32,399 Frontier Long/Short Commodity Fund - - 111 9,547 Frontier Balanced Fund - 5,020 125,308 198,985 Frontier Select Fund - - 20,160 16,955 Frontier Global Fund - - 30,441 55,555 Frontier Heritage Fund - - 18,013 29,905 Nine Months Ended September 30, 2020 Incentive (Rebate)
Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 12,712 $ 208,221 Frontier Masters Fund - - 1,501 83,524 Frontier Long/Short Commodity Fund - - 330 25,089 Frontier Balanced Fund - 14,753 284,736 465,170 Frontier Select Fund - - 51,117 42,791 Frontier Global Fund - - 81,204 150,154 Frontier Heritage Fund - - 51,802 83,036 and Former Managing Owner as of March 31,September 30, 2021 and December 31, 2020.As of March 31, 2021 Incentive
Fees Management
Fees Interest
Fees Service
Fees Trading
Fees Frontier Diversified Fund $ - $ - $ - $ 365 $ 12,341 Frontier Masters Fund - - - 74 5,235 Frontier Long/Short Commodity Fund - - 53 - 3,174 Frontier Balanced Fund 49,840 1,629 - 20,826 38,152 Frontier Select Fund - - 359 3,803 3,915 Frontier Global Fund - - 499 6,559 12,310 Frontier Heritage Fund - - 563 5,169 8,360 As of September 30, 2021 Incentive
Fees Management
Fees Interest
Fees Service
Fees Trading
Fees Frontier Diversified Fund $ - $ - $ - $ 85 $ 9,894 Frontier Masters Fund - - - 44 4,220 Frontier Long/Short Commodity Fund - - 37 19 3,295 Frontier Balanced Fund 54,924 1,610 1,063 18,384 35,169 Frontier Select Fund - - 249 3,698 4,003 Frontier Global Fund - - 261 5,525 10,585 Frontier Heritage Fund - - 368 5,050 8,117 As of December 31, 2020 Incentive
Fees Management
Fees Interest
Fees Service
Fees Trading
Fees Frontier Diversified Fund $ - $ - $ - $ 385 $ 12,576 Frontier Masters Fund - - - 70 5,460 Frontier Long/Short Commodity Fund - - 87 18 2,281 Frontier Balanced Fund - 8,854 1,376 21,381 37,894 Frontier Select Fund - - 179 3,709 3,933 Frontier Global Fund - - 326 6,348 11,849 Frontier Heritage Fund - - 139 4,794 7,705 Long/Short CommodityMasters Fund Class 1A1 was closed as of September 30, 2020April 1, 2021 and Frontier GlobalDiversified Fund Class 1AP1 was closed as of November 18, 2020.July 21, 2021. All swaps were sold as of December 31, 2020.Seriesseries to the Managing Ownerowner and its ratio to average net assets for the three and nine months ended March 31,September 30, 2021 and 2020.Three Months Ended March 31,
2021 March 31,
2020 March 31,
2021 March 31,
2020 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 % 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 8 5 0.02 % 0.01 % Frontier Long/Short Commodity Fund Class 3 226 114 0.02 % 0.01 % 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 1 301 2,221 0.00 % 0.01 % Frontier Balanced Fund Class 1AP 3 31 0.00 % 0.01 % Frontier Balanced Fund Class 2 69 425 0.00 % 0.01 % Frontier Balanced Fund Class 2a 1 5 0.00 % 0.00 % Frontier Balanced Fund Class 3a 3 23 0.00 % 0.00 % Frontier Select Fund Class 1 790 779 0.05 % 0.03 % Frontier Select Fund Class 1AP 5 3 0.05 % 0.03 % Frontier Select Fund Class 2 35 26 0.05 % 0.03 % Frontier Global Fund Class 1 1,455 1,217 0.05 % 0.03 % Frontier Global Fund Class 1AP - 11 0.00 % 0.03 % Frontier Global Fund Class 2 103 111 0.05 % 0.03 % Frontier Heritage Fund Class 1 1,038 728 0.05 % 0.03 % Frontier Heritage Fund Class 1AP 4 3 0.05 % 0.03 % Frontier Heritage Fund Class 2 104 170 0.05 % 0.03 % Total $ 4,145 $ 5,872 Three Months Ended September 30,
2021 September 30,
2020 September 30,
2021 September 30,
2020 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 Long/Short Commodity Fund Class 2 4 6 0.01 % 0.02 % Frontier Long/Short Commodity Fund Class 3 111 158 0.01 % 0.02 % Frontier Balanced Fund Class 1 3,661 1,019 0.04 % 0.01 % Frontier Balanced Fund Class 1AP 48 16 0.05 % 0.01 % Frontier Balanced Fund Class 2 738 215 0.04 % 0.01 % Frontier Balanced Fund Class 2a 7 2 0.01 % 0.00 % Frontier Balanced Fund Class 3a 45 11 0.01 % 0.00 % Frontier Select Fund Class 1 640 1,349 0.04 % 0.08 % Frontier Select Fund Class 1AP 4 8 0.04 % 0.08 % Frontier Select Fund Class 2 32 54 0.04 % 0.08 % Frontier Global Fund Class 1 388 901 0.02 % 0.03 % Frontier Global Fund Class 1AP - 9 0.00 % 0.03 % Frontier Global Fund Class 2 31 57 0.02 % 0.03 % Frontier Heritage Fund Class 1 660 1,151 0.03 % 0.05 % Frontier Heritage Fund Class 1AP 2 4 0.02 % 0.05 % Frontier Heritage Fund Class 2 69 235 0.03 % 0.06 % Total $ 6,440 $ 5,195 Nine months ended September 30,
2021 September 30,
2020 September 30,
2021 September 30,
2020 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 Long/Short Commodity Fund Class 2 18 14 0.05 % 0.04 % Frontier Long/Short Commodity Fund Class 3 518 354 0.05 % 0.04 % Frontier Balanced Fund Class 1 7,208 5,419 0.08 % 0.04 % Frontier Balanced Fund Class 1AP 96 79 0.09 % 0.04 % Frontier Balanced Fund Class 2 1,456 1,074 0.08 % 0.04 % Frontier Balanced Fund Class 2a 14 12 0.02 % 0.01 % Frontier Balanced Fund Class 3a 87 58 0.02 % 0.01 % Frontier Select Fund Class 1 2,208 3,081 0.14 % 0.14 % Frontier Select Fund Class 1AP 15 15 0.14 % 0.14 % Frontier Select Fund Class 2 104 112 0.14 % 0.14 % Frontier Global Fund Class 1 2,492 2,649 0.10 % 0.07 % Frontier Global Fund Class 1AP - 24 0.00 % 0.07 % Frontier Global Fund Class 2 183 208 0.09 % 0.07 % Frontier Heritage Fund Class 1 2,708 2,800 0.12 % 0.12 % Frontier Heritage Fund Class 1AP 10 11 0.12 % 0.12 % Frontier Heritage Fund Class 2 277 623 0.12 % 0.12 % Total $ 17,394 $ 16,533 March 31,September 30, 2021 and 2020. This data has been derived from the information presented in the financial statements.March 31, 2021.September 30, 2021 Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund Class 1 Class 2 Class 3 Class 1 Class 2 Class 3 Class 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, December 31, 2020 $ 72.68 $ 88.95 $ 83.33 $ 55.18 $ 67.54 $ 63.52 $ 85.99 $ 55.29 $ 90.21 $ 58.37 Net operating results: Interest income 0.03 0.03 0.03 0.05 0.06 0.06 0.09 0.06 0.09 0.06 Expenses (1.14 ) (0.80 ) (0.75 ) (2.05 ) (1.05 ) (0.99 ) (0.59 ) (0.38 ) (0.62 ) (0.40 ) Net gain/(loss) on investments, net of non-controlling interests 3.05 3.53 3.35 4.26 4.07 3.86 4.91 3.51 5.15 3.74 Net income/(loss) 1.94 2.76 2.64 2.26 3.07 2.93 4.40 3.20 4.61 3.40 Net asset value, March 31, 2021 $ 74.62 $ 91.71 $ 85.97 $ 57.44 $ 70.61 $ 66.45 $ 90.39 $ 58.49 $ 94.82 $ 61.77 Ratios to average net assets Net investment income/(loss) -6.16 % -3.43 % -3.43 % -14.43 % -5.85 % -5.85 % -2.26 % -2.26 % -2.26 % -2.26 % Expenses before incentive fees (3)(4) 6.31 % 3.59 % 3.59 % 14.78 % 6.20 % 6.20 % 2.65 % 2.65 % 2.65 % 2.65 % Expenses after incentive fees (3)(4) 6.31 % 3.59 % 3.59 % 14.78 % 6.20 % 6.20 % 2.65 % 2.65 % 2.65 % 2.65 % Total return before incentive fees (2) 2.67 % 3.11 % 3.16 % 4.10 % 4.55 % 4.61 % 5.12 % 5.79 % 5.11 % 5.82 % Total return after incentive fees (2) 2.67 % 3.11 % 3.16 % 4.10 % 4.55 % 4.61 % 5.12 % 5.79 % 5.11 % 5.82 % 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, 2020 $ 79.93 $ 96.81 $ 130.54 $ 113.20 $ 112.81 $ 58.55 $ 70.99 $ 94.20 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (1.78 ) (1.44 ) (1.94 ) (1.69 ) (1.68 ) (0.86 ) (0.51 ) (0.68 ) Net gain/(loss) on investments, net of non-controlling interests 5.24 6.38 8.61 7.47 7.45 4.87 5.93 7.88 Net income/(loss) 3.46 4.94 6.67 5.78 5.77 4.01 5.42 7.20 Net asset value, March 31, 2021 $ 83.39 $ 101.75 $ 137.21 $ 118.98 $ 118.58 $ 62.56 $ 76.41 $ 101.40 Ratios to average net assets Net investment income/(loss) -7.61 % -4.62 % -4.62 % -4.62 % -4.62 % -5.80 % -2.82 % -2.82 % Expenses before incentive fees (3)(4) 7.18 % 4.19 % 4.19 % 4.19 % 4.19 % 5.80 % 2.82 % 2.82 % Expenses after incentive fees (3)(4) 7.61 % 4.62 % 4.62 % 4.62 % 4.62 % 5.80 % 2.82 % 2.82 % Total return before incentive fees (2) 4.76 % 5.53 % 5.54 % 5.54 % 5.54 % 6.84 % 7.64 % 7.64 % Total return after incentive fees (2) 4.32 % 5.10 % 5.11 % 5.11 % 5.11 % 6.84 % 7.64 % 7.64 % Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund Class 1 Class 2 Class 3 Class 1 Class 2 Class 3 Class 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, June 30, 2021 $ 77.68 $ 95.90 $ 89.95 $ - $ 73.52 $ 69.23 $ 98.49 $ 63.74 $ 103.32 $ 67.36 Net operating results: Interest income 0.03 0.03 0.03 - 0.05 0.05 0.04 0.03 0.05 0.03 Expenses (1.30 ) (0.87 ) (0.81 ) - (1.10 ) (1.09 ) (0.71 ) (0.46 ) (0.74 ) (0.49 ) Net gain/(loss) on investments, net of non-controlling interests (76.41 ) (4.08 ) (3.77 ) - * 2.63 2.57 1.27 1.04 1.33 1.14 Net income/(loss) (77.68 ) (4.91 ) (4.56 ) - * 1.58 1.53 0.60 0.61 0.63 0.68 Net asset value, September 30, 2021 $ - $ 90.99 $ 85.39 $ - * $ 75.10 $ 70.76 $ 99.09 $ 64.35 $ 103.95 $ 68.04 Ratios to average net assets Net investment income/(loss) -6.53 % -3.45 % -3.45 % 0.00 % -5.88 % -5.88 % -2.67 % -2.67 % -2.67 % -2.67 % Expenses before incentive fees (3)(4) 6.67 % 3.60 % 3.60 % 0.00 % 6.17 % 6.17 % 2.85 % 2.85 % 2.85 % 2.85 % Expenses after incentive fees (3)(4) 6.67 % 3.60 % 3.60 % 0.00 % 6.17 % 6.17 % 2.85 % 2.85 % 2.85 % 2.85 % Total return before incentive fees (2) -1.71 %* -5.12 % -5.07 % 0.00 %* 2.15 % 2.21 % 0.61 % 0.96 % 0.61 % 1.01 % Total return after incentive fees (2) -1.71 %* -5.12 % -5.07 % 0.00 %* 2.15 % 2.21 % 0.61 % 0.96 % 0.61 % 1.01 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2020 $ 110.90 $ 167.56 $ 96.10 $ 116.50 $ 155.92 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (2.21 ) (2.08 ) (1.74 ) (1.20 ) (1.61 ) Net gain/(loss) on investments, net of non-controlling interests 5.63 8.54 9.41 11.44 15.31 Net income/(loss) 3.42 6.45 7.67 10.24 13.70 Net asset value, March 31, 2021 $ 114.32 $ 174.01 $ 103.77 $ 126.74 $ 169.62 Ratios to average net assets Net investment income/(loss) -7.88 % -4.90 % -6.94 % -3.96 % -3.96 % Expenses before incentive fees (3)(4) 7.88 % 4.90 % 6.94 % 3.96 % 3.96 % Expenses after incentive fees (3)(4) 7.88 % 4.90 % 6.94 % 3.96 % 3.96 % Total return before incentive fees (2) 3.09 % 3.85 % 7.99 % 8.79 % 8.79 % Total return after incentive fees (2) 3.09 % 3.85 % 7.99 % 8.79 % 8.79 % Frontier Balanced Fund Frontier Select Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, June 30, 2021 $ 85.86 $ 105.55 $ 142.34 $ 123.47 $ 123.05 $ 66.17 $ 81.44 $ 108.07 Net operating results: Interest income 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.00 Expenses (2.03 ) (1.70 ) (46.17 ) (1.99 ) (1.98 ) (1.03 ) (0.62 ) (0.83 ) Net gain/(loss) on investments, net of non-controlling interests 0.79 0.96 45.15 1.17 1.16 2.18 2.66 3.52 Net income/(loss) (1.24 ) (0.73 ) (1.00 ) (0.82 ) (0.82 ) 1.15 2.03 2.70 Net asset value, September 30, 2021 $ 84.62 $ 104.82 $ 141.34 $ 122.65 $ 122.23 $ 67.32 $ 83.47 $ 110.77 Ratios to average net assets Net investment income/(loss) -7.75 % -4.75 % -4.75 % -4.75 % -4.75 % -5.89 % -2.89 % -2.89 % Expenses before incentive fees (3)(4) 7.24 % 4.24 % 4.24 % 4.24 % 4.24 % 5.89 % 2.89 % 2.89 % Expenses after incentive fees (3)(4) 7.75 % 4.75 % 4.75 % 4.75 % 4.75 % 5.89 % 2.89 % 2.89 % Total return before incentive fees (2) -0.93 % -0.18 % -0.19 % -0.15 % -0.15 % 1.73 % 2.49 % 2.49 % Total return after incentive fees (2) -1.45 % -0.70 % -0.70 % -0.66 % -0.67 % 1.73 % 2.49 % 2.49 % Incentive fee per share 0.45 0.55 14.98 0.64 0.64 - - - Incentive Fee to ANA 0.51 % 0.51 % 0.51 % 0.51 % 0.51 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, June 30, 2021 $ 117.28 $ 179.85 $ 109.26 $ 134.44 $ 179.93 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (2.33 ) (2.29 ) (1.90 ) (1.45 ) (1.81 ) Net gain/(loss) on investments, net of non-controlling interests 4.61 7.19 4.84 6.12 8.04 Net income/(loss) 2.28 4.90 2.94 4.66 6.24 Net asset value, September 30, 2021 $ 119.56 $ 184.75 $ 112.20 $ 139.10 $ 186.17 Ratios to average net assets Net investment income/(loss) -8.28 % -5.29 % -7.05 % -4.06 % -4.06 % Expenses before incentive fees (3)(4) 8.28 % 5.29 % 7.05 % 4.06 % 4.06 % Expenses after incentive fees (3)(4) 8.28 % 5.29 % 7.05 % 4.06 % 4.06 % Total return before incentive fees (2) 1.95 % 2.72 % 2.69 % 3.47 % 3.47 % Total return after incentive fees (2) 1.95 % 2.72 % 2.69 % 3.47 % 3.47 % (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. * Class 1 of Frontier Master Fund was closed as of April 1, 2021 and Frontier Diversified Fund Class 1 was closed as of July 21, 2021. March 31,September 30, 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 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 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, June 30, 2020 $ 74.09 $ 89.88 $ 84.09 $ 61.92 $ 75.13 $ 70.56 $ 44.58 $ 83.27 $ 53.49 $ 87.35 $ 56.38 Net operating results: Interest income 0.01 0.02 0.02 0.03 0.04 0.04 0.03 0.06 0.04 0.06 0.04 Expenses (1.46 ) (0.76 ) (0.71 ) (3.18 ) (1.05 ) (1.00 ) (0.69 ) (0.50 ) (0.32 ) (0.52 ) (0.34 ) Net gain/(loss) on investments, net of non-controlling interests (6.17 ) (8.14 ) (7.57 ) (6.62 ) (10.57 ) (9.87 ) (43.93 )* (1.42 ) (0.82 ) (1.49 ) 0.82 Net income/(loss) (7.61 ) (8.88 ) (8.26 ) (9.77 ) (11.58 ) (10.83 ) (44.58 )* (1.86 ) (1.11 ) (1.95 ) (1.12 ) Net asset value, September 30, 2020 $ 66.48 $ 81.00 $ 75.83 $ 52.15 $ 63.55 $ 59.73 $ - * $ 81.41 $ 52.39 $ 85.40 $ 55.27 Ratios to average net assets Net investment income/(loss) -8.16 % -3.45 % -3.45 % -21.78 % -5.83 % -5.83 % -6.06 % -2.17 % -2.17 % -2.17 % -2.17 % Expenses before incentive fees (3)(4) 8.24 % 3.53 % 3.53 % 22.02 % 6.06 % 6.06 % 6.34 % 2.45 % 2.45 % 2.45 % 2.45 % Expenses after incentive fees (3)(4) 8.24 % 3.53 % 3.53 % 22.02 % 6.06 % 6.06 % 6.34 % 2.45 % 2.45 % 2.45 % 2.45 % Total return before incentive fees (2) -10.28 % -9.88 % -9.83 % -15.78 % -15.41 % -15.35 % -2.46 %* -2.23 % -2.07 % -2.23 % -1.98 % Total return after incentive fees (2) -10.28 % -9.88 % -9.83 % -15.78 % -15.41 % -15.35 % -2.46 %* -2.23 % -2.07 % -2.23 % -1.98 % Incentive fee per share - - - - - - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 1AP Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2019 $ 131.52 $ 154.43 $ 192.82 $ 97.54 $ 114.15 $ 153.59 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (2.73 ) (2.02 ) (2.51 ) (1.82 ) (1.24 ) (1.65 ) Net gain/(loss) on investments, net of non-controlling interests 17.19 20.67 25.33 18.50 22.46 29.23 Net income/(loss) 14.46 18.66 22.82 16.67 21.22 27.58 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) -8.01 % -5.01 % -5.01 % -7.05 % -4.04 % -4.04 % Expenses before incentive fees (3)(4) 8.01 % 5.01 % 5.01 % 7.05 % 4.04 % 4.04 % Expenses after incentive fees (3)(4) 8.01 % 5.01 % 5.01 % 7.05 % 4.04 % 4.04 % Total return before incentive fees (2) 10.99 % 12.08 % 11.83 % 17.09 % 18.59 % 17.96 % Total return after incentive fees (2) 10.99 % 12.08 % 11.83 % 17.09 % 18.59 % 17.96 % 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, June 30, 2020 $ 78.59 $ 93.76 $ 126.44 $ 109.61 $ 109.24 $ 61.04 $ 72.91 $ 96.75 Net operating results: Interest income 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 Expenses (1.39 ) (0.97 ) (20.94 ) (1.13 ) (1.13 ) (0.78 ) (0.41 ) (0.54 ) Net gain/(loss) on investments, net of non-controlling interests (5.38 ) (6.46 ) 10.92 (7.58 ) (7.51 ) (6.91 ) (8.30 ) (11.01 ) Net income/(loss) (6.77 ) (7.42 ) (10.02 ) (8.71 ) (8.64 ) (7.69 ) (8.70 ) (11.55 ) Net asset value, September 30, 2020 $ 71.82 $ 86.34 $ 116.42 $ 100.90 $ 100.60 $ 53.35 $ 64.20 $ 85.20 Ratios to average net assets Net investment income/(loss) -7.30 % -4.27 % -4.27 % -4.27 % -4.27 % -5.35 % -2.32 % -2.32 % Expenses before incentive fees (3)(4) 7.31 % 4.27 % 4.27 % 4.27 % 4.27 % 5.35 % 2.32 % 2.32 % Expenses after incentive fees (3)(4) 7.31 % 4.27 % 4.27 % 4.27 % 4.27 % 5.35 % 2.32 % 2.32 % Total return before incentive fees (2) -8.61 % -7.92 % -7.92 % -7.95 % -7.91 % -12.60 % -11.93 % -11.93 % Total return after incentive fees (2) -8.61 % -7.92 % -7.92 % -7.95 % -7.91 % -12.60 % -11.93 % -11.93 % 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 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, June 30, 2020 $ 121.68 $ 145.35 $ 181.09 $ 96.51 $ 115.25 $ 154.24 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (2.33 ) (1.77 ) (2.20 ) (1.62 ) (1.10 ) (1.49 ) Net gain/(loss) on investments, net of non-controlling interests (15.17 ) (18.19 ) (22.67 ) (8.01 ) (9.62 ) (12.85 ) Net income/(loss) (17.50 ) (19.96 ) (24.87 ) (9.63 ) (10.72 ) (14.34 ) Net asset value, September 30, 2020 $ 104.18 $ 125.39 $ 156.22 $ 86.88 $ 104.53 $ 139.90 Ratios to average net assets Net investment income/(loss) -8.26 % -5.23 % -5.23 % -7.04 % -4.01 % -4.01 % Expenses before incentive fees (3)(4) 8.26 % 5.23 % 5.23 % 7.04 % 4.01 % 4.01 % Expenses after incentive fees (3)(4) 8.26 % 5.23 % 5.23 % 7.04 % 4.01 % 4.01 % Total return before incentive fees (2) -14.38 % -13.73 % -13.74 % -9.98 % -9.30 % -9.29 % Total return after incentive fees (2) -14.38 % -13.73 % -13.74 % -9.98 % -9.30 % -9.29 % Incentive fee per share - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % (1) (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) (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) * Class 1a of Frontier Long/Short Commodity Fund was liquidated as of September 30, 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 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, December 31, 2020 $ 72.68 $ 88.95 $ 83.33 $ 55.18 $ 67.54 $ 63.52 $ 85.99 $ 55.29 $ 90.21 $ 58.37 Net operating results: Interest income 0.06 0.07 0.07 0.15 0.20 0.19 0.20 0.13 0.21 0.14 Expenses (3.52 ) (2.49 ) (2.39 ) (5.34 ) (3.37 ) (3.16 ) (2.03 ) (1.28 ) (2.10 ) (1.36 ) Net gain/(loss) on investments, net of non-controlling interests (69.21 )* 4.46 4.38 (49.99 )* 10.73 10.21 14.92 10.22 15.63 10.89 Net income/(loss) (72.68 )* 2.04 2.06 (55.18 )* 7.56 7.24 13.10 9.06 13.74 9.67 Net asset value, September 30, 2021 $ - * $ 90.99 $ 85.39 $ - * $ 75.10 $ 70.76 $ 99.09 $ 64.35 $ 103.95 $ 68.04 Ratios to average net assets Net investment income/(loss) -8.89 % -5.12 % -5.12 % -18.61 % -8.50 % -8.50 % -3.80 % -3.80 % -3.80 % -3.80 % Expenses before incentive fees (3)(4) 9.04 % 5.27 % 5.27 % 19.14 % 9.03 % 9.03 % 4.22 % 4.22 % 4.22 % 4.22 % Expenses after incentive fees (3)(4) 9.04 % 5.27 % 5.27 % 19.14 % 9.03 % 9.03 % 4.22 % 4.22 % 4.22 % 4.22 % Total return before incentive fees (2) 5.06 %* 2.29 % 2.48 % 4.59 %* 11.19 % 11.39 % 15.24 % 16.39 % 15.23 % 16.57 % Total return after incentive fees (2) 5.06 %* 2.29 % 2.48 % 4.59 %* 11.19 % 11.39 % 15.24 % 16.39 % 15.23 % 16.57 % 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, 2020 $ 79.93 $ 96.81 $ 130.54 $ 113.20 $ 112.81 $ 58.55 $ 70.99 $ 94.20 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (5.36 ) (4.24 ) (5.68 ) (5.25 ) (4.83 ) (2.85 ) (1.67 ) (2.22 ) Net gain/(loss) on investments, net of non-controlling interests 10.04 12.24 16.48 14.69 14.25 11.62 14.15 18.78 Net income/(loss) 4.69 8.01 10.80 9.45 9.42 8.77 12.48 16.57 Net asset value, September 30, 2021 $ 84.62 $ 104.82 $ 141.34 $ 122.65 $ 122.23 $ 67.32 $ 83.47 $ 110.77 Ratios to average net assets Net investment income/(loss) -11.56 % -7.12 % -7.12 % -7.12 % -7.12 % -8.94 % -4.38 % -4.38 % Expenses before incentive fees (3)(4) 10.65 % 6.21 % 6.21 % 6.21 % 6.21 % 8.94 % 4.38 % 4.38 % Expenses after incentive fees (3)(4) 11.57 % 7.13 % 7.13 % 7.13 % 7.13 % 8.94 % 4.38 % 4.38 % Total return before incentive fees (2) 6.78 % 9.19 % 9.19 % 9.27 % 9.27 % 14.97 % 17.58 % 17.59 % Total return after incentive fees (2) 5.87 % 8.27 % 8.28 % 8.35 % 8.35 % 14.97 % 17.58 % 17.59 % Incentive fee per share 0.79 0.98 1.31 1.21 1.11 - - - Incentive Fee to ANA 0.92 % 0.92 % 0.92 % 0.92 % 0.92 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2020 $ 110.90 $ 167.56 $ 96.10 $ 116.50 $ 155.92 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (6.99 ) (6.57 ) (5.57 ) (3.91 ) (5.18 ) Net gain/(loss) on investments, net of non-controlling interests 15.65 23.76 21.67 26.52 35.42 Net income/(loss) 8.66 17.19 16.10 22.60 30.25 Net asset value, September 30, 2021 $ 119.56 $ 184.75 $ 112.20 $ 139.10 $ 186.17 Ratios to average net assets Net investment income/(loss) -11.77 % -7.42 % -10.56 % -6.04 % -6.04 % Expenses before incentive fees (3)(4) 11.77 % 7.42 % 10.56 % 6.04 % 6.04 % Expenses after incentive fees (3)(4) 11.77 % 7.42 % 10.56 % 6.04 % 6.04 % Total return before incentive fees (2) 7.81 % 10.26 % 16.75 % 19.40 % 19.40 % Total return after incentive fees (2) 7.81 % 10.26 % 16.75 % 19.40 % 19.40 % (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. * Class 1 of Frontier Masters Fund was closed as of April 1, 2021. Frontier Diversified Fund Class 1 was closed as of July 21, 2021. 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 0.02 0.03 0.02 0.08 0.10 0.10 0.07 0.13 0.08 0.13 0.09 Expenses (4.88 ) (2.82 ) (2.50 ) (11.57 ) (3.75 ) (3.52 ) (2.13 ) (1.59 ) (1.02 ) (1.67 ) (1.08 ) Net gain/(loss) on investments, net of non-controlling interests (29.76 ) (37.79 ) (35.30 ) (8.64 ) (19.99 ) (18.63 ) (42.14 )* 1.27 0.78 1.30 0.94 Net income/(loss) (34.62 ) (40.58 ) (37.78 ) (20.13 ) (23.63 ) (22.05 ) (44.20 )* (0.19 ) (0.17 ) (0.24 ) (0.05 ) Net asset value, September 30, 2020 $ 66.48 $ 81.00 $ 75.83 $ 52.15 $ 63.55 $ 59.73 $ - * $ 81.41 $ 52.39 $ 85.40 $ 55.27 Ratios to average net assets Net investment income/(loss) -10.89 % -5.35 % -5.35 % -35.07 % -9.11 % -9.11 % -9.27 % -3.53 % -3.53 % -3.53 % -3.53 % Expenses before incentive fees (3)(4) 10.94 % 5.40 % 5.40 % 35.33 % 9.37 % 9.37 % 9.58 % 3.84 % 3.84 % 3.84 % 3.84 % Expenses after incentive fees (3)(4) 10.94 % 5.40 % 5.40 % 35.33 % 9.37 % 9.37 % 9.58 % 3.84 % 3.84 % 3.84 % 3.84 % Total return before incentive fees (2) -34.25 % -33.38 % -33.25 % -27.85 % -27.11 % -26.97 % -1.62 %* -0.23 % -0.31 % -0.28 % -0.08 % Total return after incentive fees (2) -34.25 % -33.38 % -33.25 % -27.85 % -27.11 % -26.97 % -1.62 %* -0.23 % -0.31 % -0.28 % -0.08 % Incentive fee per share - - - - - - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 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, December 31, 2019 $ 117.23 $ 137.81 $ 185.82 $ 161.04 $ 160.50 $ 66.56 $ 78.51 $ 103.94 Net operating results: Interest income 0.04 0.04 0.06 0.05 0.05 0.00 0.00 0.00 Expenses (4.79 ) (3.21 ) (4.34 ) (3.79 ) (3.76 ) (2.61 ) (1.37 ) (1.83 ) Net gain/(loss) on investments, net of non-controlling interests (40.66 ) (48.31 ) (65.11 ) (56.40 ) (56.20 ) (10.60 ) (12.93 ) (16.92 ) Net income/(loss) (45.41 ) (51.47 ) (69.40 ) (60.14 ) (59.90 ) (13.21 ) (14.31 ) (18.74 ) Net asset value, September 30, 2020 $ 71.82 $ 86.34 $ 116.42 $ 100.90 $ 100.60 $ 53.35 $ 64.20 $ 85.20 Ratios to average net assets Net investment income/(loss) -10.42 % -5.92 % -5.92 % -5.92 % -5.92 % -8.15 % -3.64 % -3.64 % Expenses before incentive fees (3)(4) 10.50 % 6.00 % 6.00 % 6.00 % 6.00 % 8.15 % 3.64 % 3.64 % Expenses after incentive fees (3)(4) 10.50 % 6.00 % 6.00 % 6.00 % 6.00 % 8.15 % 3.64 % 3.64 % Total return before incentive fees (2) -38.74 % -37.35 % -37.35 % -37.34 % -37.32 % -19.84 % -18.22 % -18.03 % Total return after incentive fees (2) -38.74 % -37.35 % -37.35 % -37.34 % -37.32 % -19.84 % -18.22 % -18.03 % 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 Global Fund Frontier Heritage Fund Class 1 Class 1AP Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2019 $ 131.52 $ 154.43 $ 192.82 $ 97.54 $ 114.15 $ 153.59 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (7.81 ) (5.84 ) (7.38 ) (5.22 ) (3.52 ) (4.74 ) Net gain/(loss) on investments, net of non-controlling interests (19.53 ) (23.20 ) (29.22 ) (5.44 ) (6.11 ) (8.95 ) Net income/(loss) (27.34 ) (29.04 ) (36.60 ) (10.65 ) (9.62 ) (13.69 ) Net asset value, September 30, 2020 $ 104.18 $ 125.39 $ 156.22 $ 86.88 $ 104.53 $ 139.90 Ratios to average net assets Net investment income/(loss) -12.20 % -7.68 % -7.68 % -10.42 % -5.90 % -5.90 % Expenses before incentive fees (3)(4) 12.20 % 7.68 % 7.68 % 10.42 % 5.90 % 5.90 % Expenses after incentive fees (3)(4) 12.20 % 7.68 % 7.68 % 10.42 % 5.90 % 5.90 % Total return before incentive fees (2) -20.79 % -18.80 % -18.98 % -10.92 % -8.43 % -8.91 % Total return after incentive fees (2) -20.79 % -18.80 % -18.98 % -10.92 % -8.43 % -8.91 % Incentive fee per share - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % (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. * Class 1a of Frontier Long/Short Commodity Fund was liquidated as of September 30, 2020. (“(“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of March 31,September 30, 2021 and December 31, 2020 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.Three Monthsthree months ended March 31,September 30, 2021Monthly average contracts: Bought Sold Frontier Balanced Fund 788 787 Bought Sold Frontier Balanced Fund 307 392 Three Monthsthree months ended March 31,September 30, 2020Monthly average contracts: Bought Sold Frontier Balanced Fund 628 625 Bought Sold Frontier Balanced Fund 600 726 Bought Sold Frontier Balanced Fund 293 322 Bought Sold Frontier Balanced Fund 578 568 March 31,September 30, 2021, and March 31, 2020 by sector:March 31,September 30, 2021Type of contract
Balanced Agriculturals $ 63,312 Currencies (27,812 ) Energies 34,820 Interest rates 106,786 Metals 23,335 Stock indices 171,118 Realized trading income/(loss)(1) $ 371,559 Type of contract Frontier Balanced Fund Agriculturals $ 13,487 Currencies (20,259 ) Energies 82,010 Interest rates 5,987 Metals 155 Stock indices 12,503 Realized trading income/(loss)(1) $ 93,883 41March 31,September 30, 2020Type of contract
Balanced Agriculturals $ 75,122 Currencies 106,325 Energies 35,710 Interest rates 88,571 Metals 313,738 Stock indices 22,768 Realized trading income/(loss)(1) $ 642,234 Type of contract Frontier Balanced Fund Agriculturals $ 107,606 Currencies 36,116 Energies (29,190 ) Interest rates (80,947 ) Metals 105,688 Stock indices 28,280 Realized trading income/(loss)(1) $ 167,553 (1) Amounts recorded in the Statements of Operations under Net realized gain gain/(loss) on futures forwards and options.Type of contract Frontier Balanced Fund Agriculturals $ 87,183 Currencies (75,797 ) Energies 133,440 Interest rates 127,666 Metals 88,709 Stock indices 213,404 Realized trading income/(loss)(1) $ 574,605 Type of contract Frontier Balanced Fund Agriculturals $ 132,659 Currencies 15,372 Energies (15,120 ) Interest rates 56,888 Metals 427,135 Stock indices (28,822 ) Realized trading income/(loss)(1) $ 588,112 (1) Amounts recorded in the Statements of Operations under Net realized gain/(loss) on futures forwards and options. March 31,September 30, 2021Type of contract Frontier Balanced Fund Agriculturals $ 62,335 Currencies 8,416 Energies 22,030 Interest rates (1,144 ) Metals 72,161 Stock indices (10,502 ) Change in unrealized trading income/(loss)(1) $ 153,295 Type of contract
Balanced Agriculturals $ 6,802 Currencies 17,052 Energies 16,600 Interest rates (76,782 ) Metals (15,723 ) Stock indices 4,716 Change in unrealized trading income/(loss)(1) $ (47,335 ) 42March 31,September 30, 2020Type of contract
Fund 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 ) Type of contract Frontier Balanced Fund Agriculturals $ (73,529 ) Currencies (12,856 ) Energies (35,050 ) Interest rates 46,611 Metals 28,731 Stock indices (7,741 ) Change in unrealized trading income/(loss)(1) $ (53,834 ) Type of contract Frontier Balanced Fund Agriculturals $ 34,336 Currencies (89,833 ) Energies 35,930 Interest rates (13,046 ) Metals 30,003 Stock indices (14,058 ) Change in unrealized trading income/(loss)(1) $ (16,668 ) (1) (1)Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit) Type of contract Frontier Balanced Fund Agriculturals $ (58,614 ) Currencies (27,439 ) Energies (39,325 ) Interest rates 76,647 Metals (91,914 ) Stock indices 9,775 Change in unrealized trading income/(loss)(1) $ (130,870 ) (1) Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit) FCM’sFCMs 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.March 31,September 30, 2021 and December 31, 2020.March 31,September 30, 2021Frontier Balanced Fund Gross Amounts of recognized Derivative Assets/
Liabilities Gross Amounts offset in the Statements of Financial Condition Net Amounts Presented in the Statements of Financial Condition Open Trade Equity/(Deficit) $ 597,031 $ (543,924 ) $ 53,107 Frontier Balanced Fund Gross
Amounts of
recognized
Derivative
Assets/Liabilities Gross
Amounts
offset in the
Statements of
Financial
Condition Net
Amounts
Presented in the
Statements of
Financial
Condition Open Trade Equity/(Deficit) $ 1,246,031 $ (1,161,702 ) $ 84,329 Frontier Balanced Fund 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) $ 814,743 $ (714,303 ) $ 100,440 Frontier Balanced Fund 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) $ 814,743 $ (714,303 ) $ 100,440 CEACommodity 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.Company.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.AprilOctober 1, 2021 through MayNovember 10, 2021, 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 $386,076, $396,487, $192,359, $34,782,$110,778, $19,386, $2,000, $ 1,300, $3,885, $43,866 and, $152,295,$49,473 respectively, in redemptions.March 31,September 30, 2021 (Unaudited) and December 31, 2020 March 31,
2021 December 31,
2020 ASSETS Cash and cash equivalents $ 455,671 $ 468,466 U.S. Treasury securities, at fair value 753,617 2,282,606 Receivable from futures commission merchants 741,397 233,973 Open trade equity, at fair value 53,107 100,440 Investments in private investment companies, at fair value 23,186,879 23,089,312 Interest receivable 5,127 45,578 Receivable from related parties - 26,129 Redemptions receivable from private investment companies 159,765 181,323 Total Assets $ 25,355,563 $ 26,427,827 LIABILITIES & CAPITAL LIABILITIES Redemptions payable $ 18,281 $ 38,128 Incentive fees payable to Managing Owner 49,840 - Management fees payable to Managing Owner 1,629 8,854 Interest payable to Managing Owner 1,474 2,107 Trading fees payable to Managing Owner 83,487 81,698 Service fees payable to Managing Owner 36,796 36,705 Risk analysis fees payable 10,898 9,513 Subscriptions in advance for service fee rebates 647,505 638,962 Payables to related parties - 26,129 Other liabilities 20,571 16,592 Total Liabilities 870,481 858,688 OWNERS’ CAPITAL Managing Owner Units 267,619 283,217 Limited Owner Units 24,217,463 25,285,922 Total Owners’ Capital 24,485,082 25,569,139 Total Liabilities and Owners’ Capital $ 25,355,563 $ 26,427,827 September 30,
2021 December 31,
2020 ASSETS Cash and cash equivalents $ 183,390 $ 468,466 U.S. Treasury securities, at fair value 143,896 2,282,606 Receivable from futures commission merchants 788,667 233,973 Open trade equity, at fair value 84,329 100,440 Investments in private investment companies, at fair value 22,075,333 23,089,312 Interest receivable 1,022 45,578 Receivable from related parties 38,202 26,129 Redemptions receivable from private investment companies - 181,323 Total Assets $ 23,314,839 $ 26,427,827 LIABILITIES & CAPITAL LIABILITIES Redemptions payable $ 50,041 $ 38,128 Incentive fees payable to Managing Owner 54,924 - Management fees payable to Managing Owner 1,610 8,854 Interest payable to Managing Owner 1,978 2,107 Trading fees payable to Managing Owner 75,283 81,698 Service fees payable to Managing Owner 32,805 36,705 Risk analysis fees payable 10,470 9,513 Subscriptions in advance for service fee rebates 665,217 638,962 Payables to related parties 38,202 26,129 Other liabilities 17,555 16,592 Total Liabilities 948,085 858,688 OWNERS’ CAPITAL Managing Owner Units 237,234 283,217 Limited Owner Units 22,129,520 25,285,922 Total Owners’ Capital 22,366,754 25,569,139 Total Liabilities and Owners’ Capital $ 23,314,839 $ 26,427,827 March 31, 2021 (Unaudited) % of Total Capital Description Fair
Value (Net Asset Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ 1,068 0.00 % Various agriculture futures contracts (Europe) 2,468 0.01 % Various agriculture futures contracts (U.S.) 75,491 0.31 % Various base metals futures contracts (U.S.) (25,796 ) -0.11 % Various currency futures contracts (Europe) (7,381 ) -0.03 % Various currency futures contracts (Far East) 4,564 0.02 % Various currency futures contracts (Latin America) 744 0.00 % Various currency futures contracts (U.S.) (8,850 ) -0.04 % Various energy futures contracts (U.S.) 6,740 0.03 % Various interest rates futures contracts (Europe) (166,167 ) -0.68 % Various interest rates futures contracts (Far East) (1,298 ) -0.01 % Various interest rates futures contracts (U.S.) (1,563 ) -0.01 % Various precious metal futures contracts (U.S.) 21,705 0.09 % Various soft futures contracts (U.S.) 19,624 0.08 % Various stock index futures contracts (Africa) 117 0.00 % Various stock index futures contracts (Europe) 10,124 0.04 % Various stock index futures contracts (Far East) 3,993 0.02 % Various stock index futures contracts (Oceanic) 393 0.00 % Various stock index futures contracts (U.S.) 1,354 0.01 % Various stock index futures contracts (Canada) (1,270 ) -0.01 % Total Long Futures Contracts $ (63,940 ) -0.28 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ 1,299 0.01 % Various agriculture futures contracts (Europe) 2,952 0.01 % Various agriculture futures contracts (U.S.) (49,181 ) -0.20 % Various base metals futures contracts (U.S.) (1,547 ) -0.01 % Various currency futures contracts (Europe) 16,450 0.07 % Various currency futures contracts (Far East) (524 ) 0.00 % Various currency futures contracts (Latin America) 4,736 0.02 % Various currency futures contracts (U.S.) 3,488 0.01 % Various energy futures contracts (U.S.) 9,860 0.04 % Various interest rates futures contracts (Europe) 100,326 0.41 % Various interest rates futures contracts (Far East) 9,758 0.04 % Various interest rates futures contracts (U.S.) 21,563 0.09 % Various precious metal futures contracts (U.S.) 5,550 0.02 % Various soft futures contracts (U.S.) (2,431 ) -0.01 % Various stock index futures contracts (Africa) 890 0.00 % Various stock index futures contracts (Canada) (414 ) 0.00 % Various stock index futures contracts (Europe) 449 0.00 % Various stock index futures contracts (Far East) (1,444 ) -0.01 % Various stock index futures contracts (U.S.) (4,733 ) -0.02 % Total Short Futures Contracts $ 117,047 0.47 % Total Open Trade Equity (Deficit) $ 53,107 0.19 % Fair % of Total Capital
(Net Asset Description Value Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ (9,652 ) -0.04 % Various agriculture futures contracts (Europe) 85,119 0.38 % Various agriculture futures contracts (U.S.) 43,697 0.20 % Various base metals futures contracts (U.S.) (39,727 ) -0.18 % Various currency futures contracts (Europe) (481 ) 0.00 % Various currency futures contracts (Far East) (15,984 ) -0.07 % Various currency futures contracts (Latin America) (9,108 ) -0.04 % Various currency futures contracts (U.S.) 7,388 0.03 % Various energy futures contracts (U.S.) 79,410 0.36 % Various interest rates futures contracts (Europe) (334,215 ) -1.49 % Various interest rates futures contracts (Far East) (24,169 ) -0.11 % Various interest rates futures contracts (U.S.) (14,625 ) -0.07 % Various precious metal futures contracts (U.S.) (5,456 ) -0.02 % Various stock index futures contracts (Europe) (5,437 ) -0.02 % Various stock index futures contracts (Far East) (3,432 ) -0.02 % Various stock index futures contracts (Oceanic) (1,626 ) -0.01 % Various stock index futures contracts (U.S.) (10,558 ) -0.05 % Various stock index futures contracts (Canada) (3,951 ) -0.02 % Total Long Futures Contracts $ (262,807 ) -1.17 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ 3,818 0.02 % Various agriculture futures contracts (Europe) (55,212 ) -0.25 % Various agriculture futures contracts (U.S.) 1,372 0.01 % Various base metals futures contracts (U.S.) 9,982 0.04 % Various currency futures contracts (Europe) 30,456 0.14 % Various currency futures contracts (Far East) 828 0.00 % Various currency futures contracts (Latin America) 20,698 0.09 % Various currency futures contracts (U.S.) (4,750 ) -0.02 % Various energy futures contracts (U.S.) (43,480 ) -0.19 % Various interest rates futures contracts (Europe) 264,970 1.18 % Various interest rates futures contracts (Far East) 35,149 0.16 % Various interest rates futures contracts (U.S.) 5,313 0.02 % Various precious metal futures contracts (U.S.) 67,448 0.30 % Various stock index futures contracts (Canada) 2,986 0.01 % Various stock index futures contracts (Europe) 8,521 0.04 % Various stock index futures contracts (U.S.) (963 ) 0.00 % Total Short Futures Contracts $ 347,136 1.55 % Total Open Trade Equity (Deficit) $ 84,329 0.38 % Frontier FundsConsolidated Condensed Schedule of InvestmentsMarch 31, 2021 (Unaudited) Fair % of Total Capital
(Net Asset Value Value) PRIVATE INVESTMENT COMPANIES (1) Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) $ 302,146 1.35 % Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 2,419,421 10.82 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,184,603 5.30 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 131,464 0.59 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,899,239 8.49 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 7,322,291 32.74 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 5,786,775 25.87 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 2,550,021 11.40 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 479,373 2.14 % Total Private Investment Companies $ 22,075,333 98.70 % U.S. TREASURY SECURITIES FACE VALUE $ 116,500 US Treasury Note 6.875% due 08/15/2025 (Cost $146,667) $ 143,896 0.64 % Total U.S. Treasury Securities $ 143,896 0.64 % % of Total Capital Fair
Value (Net Asset Value) PRIVATE INVESTMENT COMPANIES (2) Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) $ 247,924 1.01 % Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 3,307,594 13.51 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,297,351 5.30 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 147,071 0.60 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 2,077,618 8.49 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 7,121,118 29.08 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 5,690,794 23.24 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 2,801,027 11.44 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 496,382 2.03 % Total Private Investment Companies $ 23,186,879 94.70 % U.S. TREASURY SECURITIES FACE VALUE $ 596,500 US Treasury Note 6.875% due 08/15/2025 (Cost $756,828) $ 753,617 3.08 % Total U.S. Treasury Securities $ 753,617 3.08 % * *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) (1)See Notes to Consolidated Financial Statements, Note 4.(2)See Notes to Consolidated Financial Statements, Note 5. % of Total Capital Description Fair
Value (Net Asset Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ 72,005 0.28 % Various agriculture futures contracts (Europe) 9,803 0.04 % Various agriculture futures contracts (U.S.) 87,496 0.34 % Various base metals futures contracts (U.S.) 22,858 0.09 % Various currency futures contracts (U.S.) (100 ) 0.00 % Various currency futures contracts (Europe) 10,573 0.04 % Various currency futures contracts (Latin America) 5,833 0.02 % Various interest rates futures contracts (Europe) 148,949 0.58 % Various interest rates futures contracts (Far East) 2,882 0.01 % Various interest rates futures contracts (U.S.) 2,438 0.01 % Various precious metal futures contracts (U.S.) 28,625 0.11 % Various soft futures contracts (U.S.) 52,349 0.20 % Various stock index futures contracts (Far East) 5,312 0.02 % Total Long Futures Contracts $ 449,023 1.74 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ (30,963 ) -0.12 % Various agriculture futures contracts (Europe) (10,797 ) -0.04 % Various agriculture futures contracts (U.S.) (92,738 ) -0.36 % Various base metals futures contracts (U.S.) (10,289 ) -0.04 % Various currency futures contracts (U.S.) 2,300 0.01 % Various currency futures contracts (Europe) (10,381 ) -0.04 % Various currency futures contracts (Latin America) 2,512 0.01 % Various interest rates futures contracts (Europe) (127,832 ) -0.50 % Various interest rates futures contracts (Far East) (2,482 ) -0.01 % Various interest rates futures contracts (U.S.) 3,656 0.01 % Various precious metal futures contracts (U.S.) (25,560 ) -0.10 % Various soft futures contracts (U.S.) (42,669 ) -0.17 % Various stock index futures contracts (Far East) (3,340 ) -0.01 % Total Short Futures Contracts $ (348,583 ) -1.36 % Total Open Trade Equity (Deficit) $ 100,440 0.38 % PRIVATE INVESTMENT COMPANIES (2) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 3,377,314 13.21 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,996,633 7.81 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 89,029 0.35 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,654,786 6.47 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 7,427,324 29.05 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 5,363,456 20.98 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 2,715,008 10.62 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 465,759 1.82 % Total Private Investment Companies $ 23,089,312 90.31 % U.S. TREASURY SECURITIES FACE VALUE $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 2,282,606 8.93 % Total U.S. Treasury Securities $ 2,282,606 8.93 % Fair % of Total Capital
(Net Asset Description Value Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ 72,005 0.28 % Various agriculture futures contracts (Europe) 9,803 0.04 % Various agriculture futures contracts (U.S.) 87,496 0.34 % Various base metals futures contracts (U.S.) 22,858 0.09 % Various currency futures contracts (U.S.) (100 ) 0.00 % Various currency futures contracts (Europe) 10,573 0.04 % Various currency futures contracts (Latin America) 5,833 0.02 % Various interest rates futures contracts (Europe) 148,949 0.58 % Various interest rates futures contracts (Far East) 2,882 0.01 % Various interest rates futures contracts (U.S.) 2,438 0.01 % Various precious metal futures contracts (U.S.) 28,625 0.11 % Various soft futures contracts (U.S.) 52,349 0.20 % Various stock index futures contracts (Far East) 5,312 0.02 % Total Long Futures Contracts $ 449,023 1.74 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Far East) $ (30,963 ) -0.12 % Various agriculture futures contracts (Europe) (10,797 ) -0.04 % Various agriculture futures contracts (U.S.) (92,738 ) -0.36 % Various base metals futures contracts (U.S.) (10,289 ) -0.04 % Various currency futures contracts (U.S.) 2,300 0.01 % Various currency futures contracts (Europe) (10,381 ) -0.04 % Various currency futures contracts (Latin America) 2,512 0.01 % Various interest rates futures contracts (Europe) (127,832 ) -0.50 % Various interest rates futures contracts (Far East) (2,482 ) -0.01 % Various interest rates futures contracts (U.S.) 3,656 0.01 % Various precious metal futures contracts (U.S.) (25,560 ) -0.10 % Various soft futures contracts (U.S.) (42,669 ) -0.17 % Various stock index futures contracts (Far East) (3,340 ) -0.01 % Total Short Futures Contracts $ (348,583 ) -1.36 % Total Open Trade Equity (Deficit) $ 100,440 0.38 % PRIVATE INVESTMENT COMPANIES (1) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 3,377,314 13.21 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 1,996,633 7.81 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 89,029 0.35 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,654,786 6.47 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 7,427,324 29.05 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 5,363,456 20.98 % Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) 2,715,008 10.62 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 465,759 1.82 % Total Private Investment Companies $ 23,089,312 90.31 % U.S. TREASURY SECURITIES FACE VALUE $ 1,755,000 US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228) $ 2,282,606 8.93 % Total U.S. Treasury Securities $ 2,282,606 8.93 % * *Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. (1) (1)See Notes to Consolidated Financial Statements, Note 4.(2)See Notes to Consolidated Financial Statements, Note 5. 49March 31,September 30, 2021 and 2020 (Unaudited) September 30,
2021 September 30,
2020 Investment income: Interest - net $ 2,520 $ 2,941 Total Income/(loss) 2,520 2,941 Expenses: Incentive Fees (rebate) 54,924 - Management Fees 4,764 5,029 Risk analysis Fees 1,429 1,509 Service Fees - Class 1 110,307 128,178 Due Diligence Fees 1,347 2,268 Trading Fees 231,958 285,835 Other Fees - 45 Total Expenses 404,729 422,864 Investment income/(loss) - net (402,209 ) (419,923 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 93,883 167,553 Net unrealized gain/(loss) on private investment companies (66,860 ) (2,356,309 ) Net realized gain/(loss) on private investment companies 109,705 11,991 Net change in open trade equity/(deficit) 153,295 (53,834 ) Net realized gain/(loss) on swap contracts - (10,318 ) Net unrealized gain/(loss) on swap contracts - (248,865 ) Net realized gain/(loss) on U.S. Treasury securities (13,512 ) (1,058 ) Net unrealized gain/(loss) on U.S. Treasury securities 8,702 (1,105 ) Trading commissions (4,164 ) (5,477 ) Net gain/(loss) on investments 281,048 (2,497,422 ) NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $ (121,161 ) $ (2,917,345 ) March 31,
2021 March 31,
2020 Investment income: Interest - net $ 3,721 $ 7,982 Total Income 3,721 7,982 Expenses: Incentive Fees 49,840 - Management Fees 4,619 5,020 Risk analysis Fees 1,386 1,506 Service Fees - Class 1 116,113 202,335 Due Diligence Fees 1,583 4,132 Trading Fees 243,165 443,896 Other Fees - - Total Expenses 416,706 656,889 Investment income/(loss) - net (412,985 ) (648,907 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 371,559 642,235 Net unrealized gain/(loss) on private investment companies 792,691 Net realized gain/(loss) on private investment companies 249,922 (219,121 ) Net change in open trade equity/(deficit) (47,335 ) (25,719 ) Net unrealized gain/(loss) on swap contracts - (7,490,918 ) Net realized gain/(loss) on U.S. Treasury securities (9,269 ) 39,967 Net unrealized gain/(loss) on U.S. Treasury securities (2,167 ) 12,311 Trading commissions (6,017 ) (8,375 ) Net gain/(loss) on investments 1,533,197 (6,256,929 ) NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $ 1,120,212 $ (6,905,836 ) Changes in Owners’ CapitalOperations (Unaudited)ThreeNine Months Ending March 31,Ended September 30, 2021 (unaudited) and 2020 Managing
Owner Limited
Owners Total Owners’ Capital, December 31, 2020 $ 283,217 $ 25,285,922 $ 25,569,139 Sale of Units (including transfers) - - - Redemption of Units (including transfers) (28,300 ) (2,175,969 ) (2,204,269 ) Payment made by Related Party - - - Payment made by Managing Owner - - - Net increase/(decrease) in Owners’ 12,702 1,107,510 1,120,212 Capital resulting from operations Owners’ Capital, March 31, 2021 $ 267,619 $ 24,217,463 $ 24,485,082 September 30,
2021 September 30,
2020 Investment income: Interest - net $ 8,437 $ 12,721 Total Income 8,437 12,721 Expenses: Incentive Fees (rebate) 104,764 - Management Fees 13,978 14,753 Risk analysis Fees 4,193 4,426 Service Fees - Class 1 342,856 483,402 Due Diligence Fees 4,392 9,111 Trading Fees 716,291 1,057,985 Other Fees - 83 Total Expenses 1,186,474 1,569,760 Investment income/(loss) - net (1,178,037 ) (1,557,039 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options 574,605 588,112 Net unrealized gain/(loss) on private investment companies 1,868,317 (626,550 ) Net realized gain/(loss) on private investment companies 793,346 (3,962,286 ) Net change in open trade equity/(deficit) (16,668 ) (130,869 ) Net realized gain/(loss) on swap contracts - (200,052 ) Net unrealized gain/(loss) on swap contracts - (7,490,322 ) Net realized gain/(loss) on U.S. Treasury securities (23,832 ) 44,673 Net unrealized gain/(loss) on U.S. Treasury securities (1,798 ) 3,476 Trading commissions (10,529 ) (17,535 ) Net gain/(loss) on investments 3,183,440 (11,791,353 ) NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $ 2,005,403 $ (13,348,392 ) Cash FlowsChanges in Owners’ Capital (Unaudited)Ended March 31,Ending September 30, 2021 and 2020 (Unaudited) March 31,
2021 March 31,
2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 1,120,212 $ (6,905,836 ) 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 47,335 114,076 Net unrealized (gain)/loss on swap contracts - 7,490,918 Net unrealized (gain)/loss on private investment companies (976,504 ) (792,691 ) Net realized (gain)/loss on private investment companies (249,922) 219,121 Net unrealized (gain)/loss on U.S. Treasury securities 2,167 (12,311 ) Net realized (gain)/loss on U.S. Treasuries securities 9,269 (39,967 ) (Purchases) sales of: (Purchases) of Swap Contracts - (1,647,845 ) (Purchases) of U.S. Treasury securities (737,126 ) (2,941,281 ) Sales of U.S. Treasury securities 2,250,954 3,421,048 (Purchases) of Private Investment Companies (3,696,290 ) (1,974,303 ) Sales of Private Investment Companies 4,825,149 7,444,555 U.S. Treasury interest and premium paid/amortized 3,721 15,565 Increase and/or decrease in: Receivable from futures commission merchants (507,424 ) 2,380,910 Interest receivable 40,451 11,377 Receivable from related parties 26,129 - Other assets - (1,100,463 ) Redemptions receivable from private investment companies 21,558 - Incentive fees payable to Managing Owner 49,840 - Management fees payable to Managing Owner, net of change in receivable (7,225 ) 320 Interest payable to Managing Owner (633 ) 2,256 Trading fees payable to Managing Owner 1,789 (28,708 ) Service fees payable to Managing Owner 91 (12,056 ) Risk analysis fees payable 1,385 1,506 Payables to related parties (26,129 ) - Subscriptions in advance for service fee rebates 8,543 13,926 Other liabilities 3,979 (419 ) Net cash provided by operating activities 2,211,319 5,659,698 Cash Flows from Financing Activities: Payment for redemption of capital (2,204,269 ) (3,609,228 ) Redemptions payable (19,847 ) (133,633 ) Net cash provided by (used in) financing activities (2,224,116 ) (3,742,861 ) Net increase (decrease) in cash and cash equivalents (12,795 ) 1,916,837 Cash and cash equivalents, beginning of period 468,466 367,568 Cash and cash equivalents, end of period $ 455,671 $ 2,284,405 Managing
Owner Limited
Owners Total Owners’ Capital, June 30, 2021 $ 241,505 $ 23,140,723 $ 23,382,228 Sale of Units (including transfers) 7,000 - 7,000 Redemption of Units (including transfers) (11,000 ) (890,313 ) (901,313 ) Payment made by Related Party - - - Payment made by Managing Owner - - - Net increase/(decrease) in Owners’ Capital resulting from operations (271 ) (120,890 ) (121,161 ) Owners’ Capital, September 30, 2021 $ 237,234 $ 22,129,520 $ 22,366,754 Managing
Owner Limited
Owners Total Owners’ Capital, December 31, 2020 $ 283,217 $ 25,285,922 $ 25,569,139 Sale of Units (including transfers) 7,000 - 7,000 Redemption of Units (including transfers) (76,300 ) (5,138,488 ) (5,214,788 ) Payment made by Related Party - - - Payment made by Managing Owner - - - Net increase/(decrease) in Owners’ Capital resulting from operations 23,317 1,982,086 2,005,403 Owners’ Capital, September 30, 2021 $ 237,234 $ 22,129,520 $ 22,366,754 September 30,
2021 September 30,
2020 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 2,005,403 $ (13,348,392 ) 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 open trade equity/(deficit) 16,111 175,959 Net change in ownership allocation of U.S. Treasury Securities (8,606 ) - Net unrealized (gain)/loss on swap contracts - 7,490,322 Net realized (gain)/loss on swap contracts - 97,745 Net unrealized (gain)/loss on private investment companies (1,868,317 ) 615,670 Net realized (gain)/loss on private investment companies (793,346 ) 3,962,286 Net unrealized (gain)/loss on U.S. Treasury securities 1,798 (3,476 ) Net realized (gain)/loss on U.S. Treasury securities 23,832 (44,673 ) (Purchases) sales of: Sales of swap contracts - 1,491,965 (Purchases) of Swap Contracts - (1,447,843 ) Reduction of collateral in Swap Contracts - 1,496,127 (Purchases) of U.S. Treasury securities (1,987,803 ) (9,398,221 ) Sales of U.S. Treasury securities 4,101,053 9,989,663 (Purchases) of Private Investment Companies (4,904,551 ) (11,118,853 ) Sales of Private Investment Companies 8,580,192 19,488,768 U.S. Treasury interest and premium paid/amortized 8,437 12,721 Increase and/or decrease in: Receivable from futures commission merchants (554,694 ) 1,745,358 Advance on unrealized Swap Appreciation - (1,900,000 ) Interest receivable 44,556 12,660 Receivable from related parties (12,073 ) (164,351 ) Other assets - 5,700 Redemptions receivable from private investment companies 181,323 70,705 Incentive fees payable to Managing Owner 54,924 - Management fees payable to Managing Owner, net of change in receivable (7,244 ) 108 Interest payable to Managing Owner (129 ) 1,092 Trading fees payable to Managing Owner (6,415 ) (67,963 ) Service fees payable to Managing Owner (3,900 ) (32,413 ) Due from Managing Owner - - Risk analysis fees payable 957 1,564 Payables to related parties 12,073 175,803 Subscriptions in advance for service fee rebates 26,255 32,951 Other liabilities 963 (5,260 ) Net cash provided by (used in) operating activities 4,910,799 9,335,722 Cash Flows from Financing Activities: Proceeds from sale of capital 7,000 - Payment for redemption of capital (5,214,788 ) (9,374,045 ) Redemptions payable 11,913 (79,403 ) Net cash provided by (used in) financing activities (5,195,875 ) (9,453,448 ) Net increase (decrease) in cash and cash equivalents (285,076 ) (117,726 ) Cash and cash equivalents, beginning of period 468,466 367,568 Cash and cash equivalents, end of period $ 183,390 $ 249,842 in Commodity Futures Trading Commission (“CFTC”)CFTC Regulation § 4.10(d)(2). The Trust has authority to issue separate Series of Units pursuant to the requirements of the Trust Act. The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act. It is managed by the Managing Owner. ● 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.transactions; ● allocates funds to a limited liability trading company or companies (“Trading Company” or “Trading Companies”) and Galaxy Plus (as defined below) entities. Except as otherwise described in these notes, each Trading Company and Galaxy Plus entity has one-year renewable contracts with its own independent commodity trading advisor (s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s and Galaxy Plus assets and make the trading decisions for the assets of each Series 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.Series; ● calculates the Net Asset Value (“NAV”) of its Units for each Series separately from the other Series.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.instruments; ●● maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve(12)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 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. Frontier Long/Short CommodityMasters Fund Class 1A1 was closed as of September 30, 2020April 1, 2021 and Frontier GlobalDiversified Fund Class 1AP1 was closed as of November 18, 2020.July 21, 2021isare maintained in the books and records of each Series.March 31,September 30, 2021, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into threetwo separate Classes—Class 1, Class 2 and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes—Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes—Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account.to of the investment level of the private investment companies 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. The Trading Companies and Series of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in consolidation.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.Income—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. TreasuriesTreasury securities and assets held at 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. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.March 31,September 30, 2021 and December 31, 2020 and included restricted cash for margin requirements of $308,895$791,090 and $321,638 for the Frontier Balanced Fund.proceedscost 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.(“(“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 March 31,September 30, 2021. The 2017 through 2020 tax years generally remain subject to examination by U.S. federal and most state tax authorities.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 Statements of Operations. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.$638,962$665,217 and $647,505$638,962 as of September 30, 2021 and December 31, 2020, and March 31, 2021, respectively.Redemptions Payable—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.10.11. compares approvedapproves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from thea third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020.March 31,September 30, 2021 and December 31, 2020, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:March 31, 2021 Level 1
Inputs Level 2
Inputs Level 3
Inputs Fair
Value Open Trade Equity (Deficit) $ 53,107 $ - $ - $ 53,107 U.S. Treasury Securities 753,617 - - 753,617 September 30, 2021 Level 1
Inputs Level 2
Inputs Level 3
Inputs Total Fair
Value Open Trade Equity (Deficit) $ 84,329 $ - $ - $ 84,329 U.S. Treasury Securities 143,896 - - 143,896 December 31, 2020 Level 1
Inputs Level 2
Inputs Level 3
Inputs Fair
Value Open Trade Equity (Deficit) $ 100,440 $ - $ - $ 100,440 U.S. Treasury Securities 2,282,606 - - 2,282,606 December 31, 2020 Level 1
Inputs Level 2
Inputs Level 3
Inputs Total Fair
Value Open Trade Equity (Deficit) $ 100,440 $ - $ - $ 100,440 U.S. Treasury Securities 2,282,606 - - 2,282,606 For the Year
ended
December 31,
2020 Balance of recurring Level 3 assets as of January 1, 2020 $ 21,579,865 Total gains or losses (realized/unrealized): Included in earnings-realized (2,896,106 ) Included in earnings-unrealized (4,384,210 ) Proceeds from collateral reduction (12,674,502 ) Purchase of investments 12,918,207 Sale of investments (14,543,254 ) Transfers in and/or out of Level 3 - Balance of recurring Level 3 assets as of December 31, 2020 $ - threenine months ended March 31,September 30, 2021 and December 31, 2020, the Trust did not transfer any assets between Levels 1, 2 and 3.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. XXXIV
Balanced
select swap XXXV
Diversified
select swap XXXVII L/S select swap Brevan Howard Total Return
Swap Total Return
Swap Total Return
Swap Total Return
Swap Counterparty Deutsche Bank
AG Deutsche Bank
AG Deutsche Bank
AG Deutsche Bank
AG Realized Gain/(Loss) $ (2,448,166 ) $ (446,306 ) $ 188,100 $ (189,734 ) Change in Unrealized Gain/(Loss) $ (3,088,917 ) $ (1,537,399 ) $ 44,277 $ 197,829 Fair Value as of December 31, 2020 $ 0 $ 0 $ 0 $ 0 Advance on swap appreciation $ 0 $ 0 $ 0 $ 0 XXXIV
Balanced
select swap XXXV
Diversified
select swap XXXVII L/S
select swap Brevan Howard Total
Return
Swap Total
Return
Swap Total
Return
Swap Total
Return
Swap Counterparty Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Deutsche
Bank AG Realized Gain/(Loss) $ (2,448,166 ) $ (446,306 ) $ 188,100 $ (189,734 ) Change in Unrealized Gain/(Loss) $ (3,088,917 ) $ (1,537,399 ) $ 44,277 $ 197,829 Fair Value as of December 31, 2020 $ 0 $ 0 $ 0 $ 0 Advance on swap appreciation $ 0 $ 0 $ 0 $ 0 entities arestructure 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 thea Galaxy Plus master trading entity is greater than 5% of the Trust’s total capital.March 31,September 30, 2021 and March 31, 2020: Three Months Ended March, 2021 Three Months Ended March, 2020 Trading Realized Change in
Unrealized Net Income Trading Realized Change in
Unrealized Net Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ (6,562 ) $ 447,803 $ (72,658 ) $ 368,583 $ - $ 562,016 $ 908,905 $ 1,470,921 Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - (16,830 ) (62,286 ) (79,116 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - (889,479 ) (422,917 ) (1,312,396 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (9,998 ) 144,511 (306,321 ) (171,808 ) - 187,934 (655,091 ) (467,157 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (229 ) 23,549 (18,332 ) 4,988 - 12,047 (556,149 ) (544,102 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (3,139 ) (229,555 ) 5,369 (227,325 ) - (27,823 ) (331,521 ) (359,344 ) Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC - - - - - - - - Galaxy Plus Fund - Quest Feeder Fund (517) LLC (7,086 ) 79,440 200,172 272,526 - (35,202 ) 300,986 265,784 Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC - - 58,149 58,149 - - - - Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - (11,083 ) (361,554 ) (372,637 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (23,417 ) 1,321,005 (146,069 ) 1,151,519 - (5,532 ) 2,030,359 2,024,827 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (1,707 ) (917,839 ) 716,976 (202,570 ) - - - Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (1,808 ) - (28,559 ) (30,367 ) Total $ (53,946 ) $ 868,914 $ 408,727 $ 1,223,695 $ - $ (223,952 ) $ 850,732 $ 626,780 Three Months Ended September, 2021 Three Months Ended September, 2020 Change in Change in Trading Realized Unrealized Net Income Trading Realized Unrealized Net Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ (6,405 ) $ 72,602 $ 205,496 $ 271,693 $ (8,130 ) $ (813,198 ) $ 109,718 $ (711,610 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - - - - - - (447 ) (447 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - - - - - - (11,450 ) (11,450 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (8,483 ) 241,329 (899,091 ) (666,245 ) (6,896 ) (5,199 ) (51,941 ) (64,036 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (120 ) 26,360 (23,799 ) 2,441 (306 ) 40,222 (86,248 ) (46,332 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (4,673 ) (37,827 ) 273,162 230,662 (980 ) (235,964 ) 59,500 (177,444 ) Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC - - - - - - - - Galaxy Plus Fund - Quest Feeder Fund (517) LLC (6,635 ) 5,846 (122,669 ) (123,458 ) (5,945 ) (46,444 ) 35,561 (16,828 ) Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC - - (1,847 ) (1,847 ) - - (80,092 ) (80,092 ) Galaxy Plus Fund - TT Feeder Fund (531) LLC - - - - - - (3,765 ) (3,765 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (29,043 ) 407,312 (33,593 ) 344,676 (22,934 ) 236,216 (122,312 ) 90,970 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (2,976 ) (35,301 ) 36,092 (2,185 ) (2,283 ) (708,548 ) (322,966 ) (1,033,797 ) Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (3,298 ) 86,851 (96,446 ) (12,893 ) - - - - Total $ (61,633 ) $ 767,172 (662,695 ) 42,844 $ (47,474 ) $ (1,532,915 ) $ (474,442 ) $ (2,054,831 ) Nine Months Ended September, 2021 Nine Months Ended September, 2020 Change in Change in Trading Realized Unrealized Net Income Trading Realized Unrealized Net Income Commissions Gain/(Loss) Gain/(Loss) (Loss) Commissions Gain/(Loss) Gain/(Loss) (Loss) Galaxy Plus Fund - Aspect Feeder Fund (532) LLC $ (17,925 ) $ 751,780 $ 288,555 $ 1,022,410 $ (29,821 ) $ (771,155 ) $ (19,372 ) $ (820,348 ) Galaxy Plus Fund - Doherty Feeder Fund (528) LLC - (349 ) - (349 ) (3,500 ) (95,347 ) 41,225 (57,622 ) Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC - 497 - 497 (13,005 ) (1,475,050 ) 164,351 (1,323,704 ) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC (27,801 ) 600,555 (1,046,175 ) (473,421 ) (34,000 ) (531,301 ) 217,203 (348,098 ) Galaxy Plus Fund - LRR Feeder Fund (522) LLC (543 ) 149,331 (126,776 ) 22,012 (1,789 ) (453,267 ) (136,072 ) (591,128 ) Galaxy Plus Fund - QIM Feeder Fund (526) LLC (11,428 ) (291,804 ) 62,635 (240,597 ) (13,376 ) (1,148,018 ) 156,838 (1,004,556 ) Galaxy Plus Fund - Quest Feeder Fund (517) LLC (20,639 ) 183,921 41,105 204,387 (9,160 ) 63,905 (13,198 ) 41,547 Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC - - 42,887 42,887 - - (80,092 ) (80,092 ) Galaxy Plus Fund - TT Feeder Fund (531) LLC - 1,384 - 1,384 (7,243 ) (321,982 ) (47,177 ) (376,402 ) Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC (83,195 ) 2,059,011 272,659 2,248,475 (54,483 ) 1,758,472 (443,728 ) 1,260,261 Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC) (6,780 ) (824,562 ) 653,714 (177,628 ) (2,283 ) (708,548 ) (322,966 ) (1,033,797 ) Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) (7,807 ) 107,810 (88,398 ) 11,605 - - - - Total $ (176,118 ) $ 2,737,574 $ 100,206 $ 2,661,662 $ (168,660 ) $ (3,682,291 ) $ (482,988 ) $ (4,333,939 ) as of March 31, 2021 have certain redemption and liquidity restrictions which are described in the following table: Redemptions Notice Redemptions Redemptions Liquidity Notice Period Permitted Permitted Restrictions Frontier Funds Multi-Strategy Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLCLLC) 24 hours Daily Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily Daily None Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLCLLC) 24 hours Daily Daily None Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily Daily None Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily Daily None Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily Daily None Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily Daily None Effective January 4, 2021, Volt Capital Management AB accessed through Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC became a new commodity trading advisor for Frontier Long/Short Commodity Fund.haswas invested in a swap, the Managing Owner or Trading Advisor(s) dodid not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receivesreceived compensation via the fees embedded in the swap. As of December 31, 2020, 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.haswas invested in a swap, the Managing Owner or Trading Advisor(s) dodid not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receivesreceived compensation via the fees embedded in the swap. As of December 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.March 31,September 30, 2021, the Trust had a payable to the Managing Owner in the amounts of $49,840, $1,629, $1,474, $83,487$54,924, $1,610, $1,978, $75,283 and $36,796$32,805 for incentive fees, management fees, interest, trading fees, and service fees, respectively.March 31,September 30, 2021, the Managing Owner earned $49,840, $4,619, $116,113,$54,924, $4,764, $1,429, $110,307 and $243,165$231,958 for incentive fees, management fees, risk analysis fees, service fees, and trading fees, respectively.March 31,September 30, 2020, the Managing Owner earned $0, $5,020, $202,335$5,029, $1,509, $128,178 and $448,028$285,835 for incentive fees, management fees, risk analysis fees, service fees, and trading fees, respectively.(For(for the three months ended March 31,September 30, 2021, and September 30, 2020 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees classClass 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.Series.March 31,September 30, 2021 and March 31,September 30, 2020 and, the Trust paid $4,145,$6,809, and $5,872,$5,196, respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of operations.March 31,September 30, 2021 and March 31,September 30, 2020. This data has been derived from the information presented in the consolidated financial statements. 2021 2020 Ratios to average net assets (1) Net investment income/(loss) (1) -6.20 % -5.77 % Expenses before incentive fees (3) (4) 6.06 % 5.84 % Expenses after incentive fees (3) (4) 6.26 % 5.84 % Total return before incentive fees (2) 6.45 % -15.26 % Total return after incentive fees (2) 4.56 % -15.26 % 2021 2020 Ratios to average net assets (1) Net investment income/(loss) (1) -6.27 % -5.84 % Expenses before incentive fees (3) 6.07 % -5.88 % Expenses after incentive fees (3) 6.32 % -5.88 % Total return before incentive fees (2) -0.29 % -10.08 % Total return after incentive fees (2) -0.53 % -10.08 % 2021 2020 Ratios to average net assets (1) Net investment income/(loss) (1) -6.43 % -5.70 % Expenses before incentive fees (3) 6.04 % -5.69 % Expenses after incentive fees (3) 6.47 % -5.74 % Total return before incentive fees (2) 8.81 % -36.52 % Total return after incentive fees (2) 8.37 % -36.56 % (1) (1)Annualized with the exception of incentive fees. (2) (2)Total returns are not annualized. (3) (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. March 31,September 30, 2021 and December 31, 2020 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.March 31,September 30, 2021 and March 31,September 30, 2020, the monthly average of futures, forwards and options contracts bought was approximately 788307 and 628,600, respectively and sold was approximately 787392 and 625,726, respectively.March 31,September 30, 2021 and March 31,September 30, 2020 by contract type:March 31,September 30, 2021Type of contract Agriculturals $ 63,312 Currencies (27,812 ) Energies 34,820 Interest rates 106,786 Metals 23,335 Stock indices 171,119 Realized trading income/(loss)(1) $ 371,560 Type of contract Agriculturals $ 13,487 Currencies (20,259 ) Energies 82,010 Interest rates 5,987 Metals 155 Stock indices 12,503 Realized trading income/(loss)(1) $ 93,883 March 31,September 30, 2020Type 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 Type of contract Agriculturals $ 107,606 Currencies 36,116 Energies (29,190 ) Interest rates (80,947 ) Metals 105,688 Stock indices 28,280 Realized trading income/(loss)(1) $ 167,553 Type of contract Agriculturals $ 87,183 Currencies (75,797 ) Energies 133,440 Interest rates 127,666 Metals 88,709 Stock indices 213,404 Realized trading income/(loss)(1) $ 574,605 Type of contract Agriculturals $ 132,659 Currencies 15,372 Energies (15,120 ) Interest rates 56,888 Metals 427,135 Stock indices (28,822 ) Realized trading income/(loss)(1) $ 588,112 (1) (1)Amounts recorded in the Statements of Operations under Net realized gain(loss)gain/(loss) on futures forwards and options.March 31,September 30, 2021Type of contract Agriculturals $ 6,802 Currencies 17,052 Energies 16,600 Interest rates (76,782 ) Metals (15,723 ) Stock indices 4,716 Change in unrealized trading income/(loss)(1) $ (47,335 ) Type of contract Agriculturals $ 62,335 Currencies 8,416 Energies 22,030 Interest rates (1,144 ) Metals 72,161 Stock indices (10,502 ) Change in unrealized trading income/(loss)(1) $ 153,295 March 31,September 30, 2020Type 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 ) Type of contract Agriculturals $ (73,529 ) Currencies (12,856 ) Energies (35,050 ) Interest rates 46,611 Metals 28,731 Stock indices (7,741 ) Change in unrealized trading income/(loss)(1) $ (53,834 ) Type of contract Agriculturals $ 34,336 Currencies (89,833 ) Energies 35,930 Interest rates (13,046 ) Metals 30,003 Stock indices (14,058 ) Change in unrealized trading income/(loss)(1) $ (16,668 ) Type of contract Agriculturals $ (58,614 ) Currencies (27,439 ) Energies (39,325 ) Interest rates 76,647 Metals (91,914 ) Stock indices 9,775 Change in unrealized trading income/(loss)(1) $ (130,870 ) (1) (1)Amounts recorded in the Statements of Operations under Net change in open trade equity/(deficit) FCM’sFCMs 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.March 31,September 30, 2021 and December 31, 2020:March 31,September 30, 2021 Gross
Amounts of
recognized
Derivative
Assets/
Liabilities Gross
Amounts
offset in the
Statements of
Financial
Condition Net Amounts
Presented
in the
Statements of
Financial
Condition Open Trade Equity/(Deficit) $ 597,031 $ (543,924 ) $ 53,107 Gross Amounts of recognized Derivative Assets Gross Amounts offset in the Statements of Financial Condition Net Amounts Presented
in the Statements of Financial Open Trade Equity/(Deficit) $ 1,246,031 $ (1,161,702 ) $ 84,329 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) $ 814,743 $ (714,303 ) $ 100,440 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) $ 814,743 $ (714,303 ) $ 100,440 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.AprilOctober 1, 2021 through MayNovember 10, 2021, the Trust paid $1,161,998$230,687 in redemptions.
Introduction
Introduction
The following discussion and analysis contain forward-looking statements about the Managing Owner’s expectations of what may happen in the future. Forward 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 2020 Annual Report on Form 10-K for the year ended December 31, 2020.
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) dodid not receive any management fees or incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receivesreceived 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 gain/(loss) on swap contracts on the Statements of Operations. Embedded in the swap fair value areis management and incentive fees being paid to Trading Advisors.
For the threenine months ended March 31,September 30, 2021, none of the Seriesseries owned a swap investment and thus were not subject to any related embedded management and/or incentive fees.
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)(Unaudited).
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. 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 adopted Accounting 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.
Selection and Replacement of Trading Advisors
The commodity pool operator is responsible for the selection, retention and termination of the Trading Advisors and reference programs on behalf of each Series. The actual allocation among Trading Advisors for each Series will vary based upon the relative trading performance of the Trading Advisors and/or reference programs, and the commodity pool operator may otherwise vary such percentages from time to time in its sole discretion. The commodity pool operator will adjust its allocations and rebalance the portfolio of any Series among Trading Advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant Series.
The commodity pool operator utilizes certain quantitative and qualitative analysis in connection with the identification, evaluation and selection of the Trading Advisors. The commodity pool operator’s proprietary analytical software programs and Trading Advisor database provide the quantitative basis for the Trading Advisor selection, portfolio implementation process, and ongoing risk management, monitoring, and review.
The commodity pool operator’s research department is continually refining ways to assimilate vast amounts of Trading Advisor performance data and due-diligence information. The proprietary database of alternative investment programs is always increasing. Research team members regularly interact with Trading Advisors throughout the due diligence and monitoring process. Only those programs that have met strict quantitative and qualitative review are considered as potential managers of client assets. Following is a summary of the quantitative and qualitative analysis:
Quantitative Analysis
The commodity 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.
Qualitative Analysis
Although quantitative analysis statistically identifies the top performing Trading Advisors, qualitative analysis plays a major role in the Trading Advisor evaluation and final selection process. Each Trading Advisor candidate undergoes qualitative review by the research department, as well as ongoing monitoring. This analysis may include but is not limited to: (1) preliminary information and due diligence, (2) background review, (3) due diligence questionnaires and (4) written review and periodic updates.
Multi-Manager Approach
A multi-manager approach to portfolio management provides diversification of Trading Advisors and access to broader global markets. Portfolios comprised of multiple Trading Advisors can provide diversification across trading methodologies, trading time horizons, and markets traded, which may but is not guaranteed to generate more consistent performance returns over time while potentially lowering overall portfolio volatility.
The trading system and/or approach of each of the major 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 | ||
| Fort, L.P. | Systematic | Galaxy Plus | ||
| Quantitative Investment Management, LLC | Systematic | Galaxy Plus | ||
| Quest Partners LLC | Systematic | Galaxy Plus | ||
| Rosetta Capital Management, LLC | Discretionary | Galaxy Plus | ||
| Welton Investment Partners LLC | Systematic | Galaxy Plus | ||
| Wimmer Horizon, LLP | Systematic | Trading Company | ||
| John Locke Investments SA | Systematic | Galaxy Plus | ||
| Volt Capital Management AB | Systematic | Galaxy Plus |
As of March 31,September 30, 2021, the allocation of the assets of each applicable Series of the Trust among the Trading Advisors was as follows:
Allocation as of March 31,September 30, 2021 (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 | |||||||||||||||||||||
| Aspect Capital Limited | 28 | % | - | 56 | % | 18 | % | - | 100 | % | 79 | % | ||||||||||||||||
| Fort, L.P. | 28 | % | - | - | 19 | % | - | - | - | |||||||||||||||||||
| Volt Diversified Alpha Fund | - | 29 | % | - | - | - | - | - | ||||||||||||||||||||
| John Locke Investments SA | 9 | % | - | 26 | % | 13 | % | 52 | % | - | - | |||||||||||||||||
| Quantitative Investment Management, LLC | 9 | % | - | - | 12 | % | - | - | - | |||||||||||||||||||
| Quest Partners LLC | 19 | % | - | - | 11 | % | - | - | - | |||||||||||||||||||
| Rosetta Capital Management, LLC | - | 48 | % | - | - | - | - | - | ||||||||||||||||||||
| Welton Investment Partners LLC | 7 | % | 23 | % | 18 | % | 16 | % | 48 | % | - | 21 | % | |||||||||||||||
| Wimmer Horizon | - | - | - | 11 | % | - | - | - | ||||||||||||||||||||
| Advisor | 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 | 27 | % | - | 54 | % | 19 | % | - | 100 | % | 77 | % | ||||||||||||||||
| Fort, L.P. | 30 | % | - | - | 19 | % | - | - | - | |||||||||||||||||||
| Volt Diversified Alpha Fund | - | 28 | % | - | - | - | - | - | ||||||||||||||||||||
| John Locke Investments SA | 11 | % | - | 25 | % | 15 | % | 50 | % | - | - | |||||||||||||||||
| Quantitative Investment Management, LLC | 7 | % | - | - | 10 | % | - | - | - | |||||||||||||||||||
| Quest Partners LLC | 16 | % | - | - | 11 | % | - | - | - | |||||||||||||||||||
| Rosetta Capital Management, LLC | - | 46 | % | - | - | - | - | - | ||||||||||||||||||||
| Welton Investment Partners LLC | 9 | % | 26 | % | 21 | % | 15 | % | 50 | % | - | 23 | % | |||||||||||||||
| Wimmer Horizon | - | - | - | 11 | % | - | - | - | ||||||||||||||||||||
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 March 31,September 30, 2021, cash deposited at the clearing brokers was $308,895$791,090 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. Currently,As of September 30, 2021, with the Federal Funds target rate at 0.000.00% to 0.25%, this amount is estimated to be 0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds 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% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. 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 CEA 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 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 March 31,September 30, 2021, total cash and cash equivalents held at banking institutions were $73,527$42,657 for the Frontier Diversified Fund, $48,324$22,653 for the Frontier Masters Fund, $29,728 for the Frontier Long/Short Commodity Fund, $42,138 for the Frontier Masters Fund, $104,891 for the Frontier Balanced Fund, $29,71321,764 for the Frontier Select Fund, $86,051$25,316 for the Frontier Global Fund, and $71,027$41,272 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 threenine months ended March 31,September 30, 2021, the Trust was able to pay all redemptions.
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 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,September 30, 2021
Series Returns and Other Information
The returns for each Series and Class of Units for the three months ended March 31,September 30, 2021 and 2020, 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.
Each Series had exposure to commodity interest positions within one or more sectors during the three months ended March 31,September 30, 2021 and 2020. 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.
The swaps owned by Frontier Heritage Fund and Frontier Select Fund (through its investment in an unconsolidated trading company) were terminated effective May 30, 2020, and the swaps owned by Frontier Balanced Fund, Frontier Long/Short Commodity Fund and Frontier Diversified Fund were terminated effective December 21, 2020.
Three months ended March 31,Months Ended September 30, 2021 Compared to Three Months Ended March 31,September 30, 2020.
Frontier Diversified Fund
The Frontier Diversified Fund— Class 1 NAV gained 2.67%lost 1.71% and lost 21.71%10.28%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 3.11%lost 5.12% and lost 21.37%9.88%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 3.16%lost 5.07% and lost 21.32%9.83%, respectively, for the three months ended March 31,September 30, 2021 and 2020.
For the three months ended March 31,September 30, 2021, the Frontier Diversified Fund recorded net gain on investments of $155,800, net investment loss of $35,601, and total expenses of $37,188, resulting in a$30,831, net increase in Owners’ capital from operationsinvestments loss of $120,199. For the three months ended March 31, 2020, the Frontier Diversified Fund recorded$29,623, net realized/unrealized loss on investments of $2,140,625, net investment loss of $111,606,$138,874 and total expenses of $111,640, resulting in a net decrease in Owners’ capital from operations of $2,251,871. $168,497. For the three months ended September 30, 2020, the Frontier Diversified Fund recorded total expenses of $54,338, net investments loss of $53,195, net realized/unrealized loss on investments of $524,226, and resulting in a net decrease in Owners’ capital from operations of $577,421.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31, 2020 –FrontierSeptember 30, 2020–Frontier Diversified Fund”.Fund.”
Frontier Masters Fund
The Frontier Masters Fund—Class 1 NAV gained 4.10%0% and lost 1.31%15.78%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Masters Fund —Class 2 NAV gained 4.55%2.15% and lost 1.15%15.41%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV gained 4.61%2.21% and lost 1.09%15.35%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the three months ended March 31,September 30, 2021, the Frontier Masters Fund recorded total expenses of $12,715, net investment loss of $12,118, net realized/unrealized gain on investments of $58,531, net investment loss of $14,509,$29,393, and total expenses of $15,364, resulting in a net increase in Owners’ capital from operations of $44,022.
$17,275. For the three months ended March 31,September 30, 2020, the Frontier Masters Fund recorded net gain on investmentstotal expenses of $10,450,$22,724, net investment loss of $32,660,$21,873, net realized/unrealized loss on investments of $213,673, and total expenses of $33,650, resulting in a net decrease in Owners’ capital from operations of $22,210. $235,546.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31, 2020— FrontierSeptember 30, 2020 –Frontier Masters Fund”.Fund.”
Frontier Long/Short Commodity Fund
The Frontier Long/Short Commodity Fund—Class 2 NAV gained 5.12%0.61% and gained 8.65%lost 2.23%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV gained 5.11%0.61% and gained 8.60%lost 2.23%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV gained 0.00%lost 0% and gained 7.89%lost 2.50%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV gained 5.79%0.96% and gained 8.40%lost 2.07%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 5.82%1.01% and gained 8.52%lost 1.98%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the three months ended March 31,September 30, 2021, the Frontier Long/Short Commodity Fund recorded total expenses of $10,211, net investment loss of $9,583, net realized/unrealized gain on investments of $75,732, net investment loss of $7,630,$19,324, and total expenses of $8,909, resulting in a net increase in Owners’ capital from operations of $68,102.$9,741. For the three months ended March 31,September 30, 2020, the Frontier Long/Short Commodity Fund recorded net gain on investmentstotal expenses of $122,801,$7,975, net investment loss of $9,104,$7,069, net realized/unrealized loss on investments of $21,438, and total expenses of $9,751, resulting in a net increasedecrease in Owners’ capital from operations of $113,697.$28,507.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31,September 30, 2020 – Frontier–Frontier Long/Short Commodity Fund”.Fund.”
Frontier Balanced Fund
The Frontier Balanced Fund—Class 1 NAV gained 4.32%lost 1.45% and lost 26.62%8.61%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV gained 5.11%lost 0.70% and lost 26.08%7.92%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV gained 5.11%lost 0.66% and lost 26.06%7.95%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV gained 5.11%lost 0.67% and lost 26.07%7.91%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV gained 5.10%lost 0.70% and lost 26.08%7.92%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the three months ended March 31,September 30, 2021, the Frontier Balanced Fund recorded total expenses of $232,235, net investment loss of $232,148, net realized/unrealized gain on investments of $740,524, net investment loss of $237,551,$106,003 and total expenses of $237,551, resulting in a net increase in Owners’ capital from operations of $502,973. For the three months ended 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.$126,145. For the three months ended September 30, 2020, the Frontier Balanced Fund recorded total expenses of $208,014, net investment loss of $207,973, net realized/unrealized loss on investments of $883,217, and resulting in a net decrease in Owners’ capital from operations of $1,091,190.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31,September 30, 2020 – Frontier–Frontier Balanced Fund”.Fund.”
Frontier Select Fund
The Frontier Select Fund—Class 1 NAV gained 6.84%1.73% and gained 1.39%lost 12.60%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 7.64%2.49% and gained 2.13%lost 11.93%,respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV gained 7.64%2.49% and gained 1.89%lost 11.93%, respectively, for the three months ended March 31,September 30, 2021 and 2020.
For the three months ended March 31,September 30, 2021, the Frontier Select Fund recorded total expenses of $24,125, net investment loss of $24,125, net realized/unrealized gain on investments of $131,786, net investment loss of $22,793,$53,589, and total expenses of $22,793, resulting in a net increase in Owners’ capital from operations of $108,993.
$29,464. For the three months ended March 31,September 30, 2020, the Frontier Select Fund recorded net gain on investmentstotal expenses of $81,804,$23,416, net investment loss of $37,115,$23,416, net realized/unrealized loss on investments of $197,724, and total expenses of $37,115, resulting in a net increasedecrease in Owners’ capital from operations of $44,689.$221,410.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31,September 30, 2020 – Frontier–Frontier Select Fund”.Fund.”
Frontier Global Fund
The Frontier Global Fund—Class 1 NAV gained 3.09%1.95% and gained 10.99%lost 14.38%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Global Fund —Class 2 NAV gained 3.85%2.72% and gained 11.83%lost 13.74%, respectively, for the three months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Global Fund —Class 1AP NAV gained 0.00%lost 0% and gained 12.08%lost 13.73%, respectively, for the three months ended March 31,September 30, 2021 and 2020.
For the three months ended March 31,September 30, 2021, the Frontier Global Fund recorded total expenses of $52,327, net investment loss of $52,327, net realized/unrealized gain on investments of $143,706, net investment loss of $55,068,$99,885, and total expenses of $55,068, resulting in a net increase in Owners’ capital from operations of $88,638.
$47,558. For the three months ended March 31,September 30, 2020, the Frontier Global Fund recorded net gain on investmentstotal expenses of $559,705,$65,458, net investment loss of $85,996,$65,458, net realized/unrealized loss on investments of $438,033, and resulting in a net decrease in Owners’ capital from operations of $503,491.
Please see additional discussion under “Nine Months Ended September 30, 2021 Compared to Nine Months Ended September 30, 2020 –Frontier Global Fund.”
Frontier Heritage Fund
The Frontier Heritage Fund—Class 1 NAV gained 2.69% and lost 9.98%, respectively, for the three months ended September 30, 2021 and 2020, net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 3.47% and lost 9.29%, respectively for the three months ended September 30, 2021 and 2020, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 3.47% and lost 9.30%, respectively, for the three months ended September 30, 2021 and 2020.
For the three months ended September 30, 2021, the Frontier Heritage Fund recorded total expenses of $85,996,$42,285, net investment loss of $42,285, net realized/unrealized gain on investment of $111,728, and resulting in a net increase in Owners’ capital from operations of $473,709.
Please see additional discussion under “Three Months Ended March 31, 2021 Compared to Three Months Ended March 31, 2020 – Frontier Global Fund”.
Frontier Heritage Fund
The Frontier Heritage Fund—Class 1 NAV gained 7.99% and gained 17.09%, respectively, for the three months ended March 31, 2021 and 2020, net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV gained 8.79% and gained 17.96% %, respectively, for the three months ended March 31, 2021 and 2020, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV gained 8.79% and gained 18.59%, respectively, for the three months ended March 31, 2021 and 2020.
$69,443. For the three months ended March 31, 2021,September 30, 2020, the Frontier Heritage Fund recorded net gain on investmentstotal expenses of $227,118,$40,939, net investment loss of $39,833,$40,939, net realized/unrealized loss on investments of $208,793, and total expenses of $39,833, resulting in a net increasedecrease in Owners’ capital from operations of $187,285.
For the three months ended March 31, 2020, the Frontier Heritage Fund recorded net gain on investments of $627,072, net investment$249,732, loss of $47,918, and total expenses of $47,918, resulting in a net increase in Owners’ capital from operations of $478,867,attributable to after non-controlling interests of $100,287.$0.
Please see additional discussion under “Three“Nine Months Ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31,September 30, 2020 – Frontier–Frontier Heritage Fund”.Fund.”
ThreeNine months ended March 31,September 30, 2021 Compared to ThreeNine Months Ended March 31,September 30, 2020
Frontier Diversified Fund
2021
2021
The Frontier Diversified Fund—Class 1 NAV gained 2.67%5.06% and lost 21.71%34.25%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 3.11%2.29% and lost 21.37%33.38%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 3.16%2.48% and lost 21.32%33.25%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020.
For the threenine months ended March 31,September 30, 2021, the Frontier Diversified Fund recorded total expenses of $102,664, net investment loss of $99,832, net realized/unrealized gain on investments of $155,800, net investment loss of $35,601,$232,563, and total expenses of $37,188, resulting in a net increase in Owners’ capital from operations of $120,199.$132,731. For the threenine months ended March 31,September 30, 2020, the Frontier Diversified Fund recorded total expenses of $228,128, net investment loss of $226,122, net realized/unrealized loss on investments of $2,140,265, net investment loss of $111,606,$3,020,047, and total expenses of $111,640, resulting in a net decrease in Owners’ capital from operations of $2,251,871.$3,246,169.
The NAV per Unit, Class 1, increaseddecreased from $72.68 at December 31, 2020 to $74.62$0 as of March 31,September 30, 2021. The NAV per Unit, Class 2, increased from $88.95 at December 31, 2020 to $91.71$90.99 as of March 31,September 30, 2021. The NAV per Unit, Class 3 increased from $83.33 at December 31, 2020 to $85.97$85.39 as of March 31,September 30, 2021. Total Class 1 subscriptions and redemptions for the period were $0 and $0,$161,099, respectively. Total Class 2 subscriptions and redemptions for the period were $0$6,000 and $65,868,$82,184, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $207,581,$937,750, respectively. Ending capital at March 31,September 30, 2021 was $158,366$0 for Class 1, $411,998$398,921 for Class 2 and $3,459,356$2,741,748 for Class 3. Ending capital at December 31, 2020 was $154,260 for Class 1, $466,224 for Class 2, and $3,562,487 for Class 3.
For the threenine months ended March 31,September 30, 2021, Frontier Diversified Fund did not own a swap investment.
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The Frontier Diversified Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
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Three of the six sectors which traded in the Frontier Diversified Fund were profitable in Q1 2021.Q3 2021 and three were profitable YTD. Energies, Agriculturals and Stock Indices were profitable for Q3 2021 while Metals, Currencies and Interest Rates finished negative for the quarter.
Energies, Agriculturals and Stock Indices were positive year-to-date (“YTD”)profitable YTD while Metals, Currencies and Interest Rates werefinished negative YTD.
In terms of major CTA performance, three of the six major CTAs in the Frontier Diversified Fund were profitable in Q1 2021. Aspect, Fort, Quest and Welton finished positive for the quarter. Fort, John Locke and QIM finishedwere negative for the quarter. In terms of YTD performance
Aspect, Fort, Quest and Welton werefinished positive YTD while Fort,YTD. John Locke and QIM were negative YTD.
2020
2020
The Frontier Diversified Fund— Class 1 NAV lost 21.71%34.25% and lost 1.38%gained 0.46%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 21.37%33.38% and lost 0.95%gained 1.77%, respectively for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 21.32%33.25% and lost 0.90%gained 1.97%, respectively for the threenine months ended March 31,September 30, 2020 and 2019.
For the threenine months ended March 31,September 30, 2020, the Frontier Diversified Fund recorded total expenses of $228,128, net investment loss of $226,122, net realized/unrealized loss on investments of $2,140,265, net investment loss of $111,606,$3,020,047, and total expenses of $111,640, resulting in a net decrease in Owners’ capital from operations of $2,251,871.$3,246,169. For the threenine months ended March 31,September 30, 2019, the Frontier Diversified Fund recorded net loss on investmentstotal expenses of $66,078,$419,871, net investment loss of $137,867,$412,327, net realized/unrealized gain on investments of $575,135, and total expenses of $142,735, resulting in a net decreaseincrease in Owners’ capital from operations of $203,945.
$162,808. The NAV per Unit, Class 1, decreased from $101.10 at December 31, 2019 to $79.15$66.48 as of March 31,September 30, 2020. The NAV per Unit, Class 2, decreased from $121.58 at December 31, 2019 to $95.60$81.00 as of March 31,September 30, 2020. The NAV per Unit, Class 3 decreased from $113.61 at December 31, 2019 to $89.39$75.83 as of March 31,September 30, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $589,750,$987,405, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,274,585,$2,629,631, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $369,037,$63,538, respectively. There were inter-class transfers of $987,405 from Class 1 to Class 3 for the period. Ending capital at March 31,September 30, 2020 was $572,402$141,090 for Class 1, $3,397,113$1,722,842 for Class 2 and $4,282,935$3,336,021 for Class 3. Ending capital at December 31, 2019 iswas $1,303,195 for Class 1, $5,600,851 for Class 2 and $5,095,574 for Class 3.
The Frontier Diversified Fund investedinvests in one or more swaps as of March 31, 2020.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 March 31,September 30, 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’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,September 30, 2020, the effective management fee rate of the Frontier Diversified Fund was 0.77%0.78%, compared to a management fee payable to the Managing Owner of 0.75%. For the quarter ended March 31,September 30, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Diversified Fund was $51,714.$4,679.
The Frontier Diversified Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
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Three of the six sectorsOne sector which traded in the Frontier Diversified Fund was profitable in Q3 2020 and two were profitable in Q1 2020.YTD. Metals Energies andwere profitable for Q3 2020 while Interest Rates, were profitable while Currencies, Energies, Agriculturals and Stock Indices finished negative for the quarter.
Metals, Energies and Interest Rate sectorsRates were positive year-to-date (“YTD”)profitable YTD while Metals, Currencies, Agriculturals and Stock Indices werefinished 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, Quest, Welton and Crabel finished positive for the quarter. Aspect, Crabel, Fort, H2O, John Locke, QIM and Quest were negative for the quarter. Doherty finished flat for the quarter.
Doherty and Welton finished positive YTD. Aspect, Crabel, Emil Van Essen, Fort, H2O, John Locke, QIM and QIM finished negative for the quarter. In terms of YTD performance, Aspect, Quest Welton and Crabel were positive YTD while Emil Van Essen, Fort, H2O and QIM were negative YTD.
Frontier Masters Fund
2021
The Frontier Masters Fund—Class 1 NAV gained 4.10%4.59% and lost 1.31%27.85%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Masters Fund —Class 2 NAV gained 4.55 %11.19% and lost 1.15%27.11%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV gained 4.61%11.39% and lost 1.09%26.97%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the threenine months ended March 31,September 30, 2021, the Frontier Masters Fund recorded total expenses of $41,789, net investment loss of $39,360, net realized/unrealized gain on investments of $58,531, net investment loss of $14,509,$135,827, and total expenses of $15,364, resulting in a net increase in Owners’ capital from operations of $44,022.
$96,467. For the threenine months ended March 31,September 30, 2020, the Frontier Masters Fund recorded net gain on investmentstotal expenses of $10,450,$86,666, net investment loss of $32,660,$84,337, net realized/unrealized loss on investments of $419,560, and total expenses of $33,650, resulting in a net decrease in Owners’ capital from operations of $22,210. $503,897.
The NAV per Unit, Class 1, increaseddecreased from $55.18 at December 31, 2020 to $57.44$0 as of March 31,September 30, 2021. The NAV per Unit, Class 2, increased from $67.54 at December 31, 2020 to $70.61$75.10 as of March 31,September 30, 2021. The NAV per Unit, Class 3, increased from $63.52 at December 31, 2020 to $66.45$70.76 as of March 31,September 30, 2021. 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$1,000 and $10,844,$74,449, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $33,100,$210,731, respectively. There were inter-class transfers of $10,187 from Class 1 to Class 3 for the period. Ending capital at March 31,September 30, 2021 was $10,139$0 for Class 1, $264,663$216,000 for Class 2, and $718,804$589,814 for Class 3. Ending capital at December 31, 2020 was $9,740 for Class 1, $263,938 for Class 2, and $719,849 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.
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Four
Three of the six sectors which traded in the Frontier Masters Fund were profitable in Q1Q3 2021 and fourthree of the six were profitable YTD. Metals, Energies, Agriculturals and Stock Indices were profitable for Q1Q3 2021 while Metals, Currencies and Interest Rates finished negative for the quarter. Metals, Energies, Agriculturals and Stock Indices were profitable YTD while Metals, Currencies and Interest Rates finished negative YTD.
In terms of major CTA performance, Aspect and Welton finished positive for the quarter.quarter while John Locke was negative for the quarter.finished negative. Aspect and Welton were positive YTD.YTD while John Locke was negative YTD.
2020
2020
The Frontier Masters Fund—Class 1 NAV lost 1.31%27.85% and lost 3.19%, respectively,6.99% for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 1.15%27.11% and lost 2.78%, respectively,5.51% for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 1.09%26.97% and lost 2.71%, respectively,5.34% for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses.
For the threenine months ended March 31,September 30, 2020, the Frontier Masters Fund recorded net gain on investmentstotal expenses of $10,450,$86,666, net investment loss of $32,660,$84,337, net realized/unrealized loss on investments of $419,560, and total expenses of $33,650, resulting in a net decrease in Owners’ capital from operations of $22,210.$503,897. For the threenine months ended March 31,September 30, 2019, the Frontier Masters Fund recorded total expenses of $194,337, net investment loss of $189,996, net realized/unrealized loss on investments of $103,616, net investment loss of $74,955,$39,517, and total expenses of $75,465, resulting in a net decrease in Owners’ capital from operations of $178,571.$229,483.
The NAV per Unit, Class 1, decreased from $72.28 at December 31, 2019 to $71.34$52.15 as of March 31,September 30, 2020. The NAV per Unit, Class 2, decreased from $87.18 at December 31, 2019 to $86.18$63.55 as of March 31,September 30, 2020. The NAV per Unit, Class 3, decreased from $81.78 at December 31, 2019 to $80.89$59.73 as of March 31,September 30, 2020. 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 $0,$144,623, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $119,501,$315,727, respectively. Ending capital at March 31,September 30, 2020 was $12,591$9,205 for Class 1, $841,014$507,356 for Class 2 and $1,242,724$757,233 for Class 3. Ending capital at December 31, 2019, was $12,794 for Class 1, $850,808 for Class 2 and $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 AgriculturalsCommodities sectors.
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TwoOne of the six sectors which traded in the Frontier Masters Fund werewas profitable in Q1Q3 2020 and twoone of the six werewas profitable YTD. Energies and Interest RatesMetals were profitable for Q1Q3 2020 while Energies, Agriculturals, Metals,Interest Rates, Currencies and Stock Indices finished negative for the quarter. Energies and Interest Rates were profitable YTD while Energies, Agriculturals, Metals, Currencies and Stock Indices finished negative YTD.
In terms of major CTA performance, Aspect, Welton and WeltonJohn Locke all finished positive for the quarter. Transtrend and Emil Van Essen were negative for the quarter. Doherty finished flat for the quarter. Welton was positive YTD while Aspect, and Welton were positive YTD. Transtrend andDoherty, Emil Van Essen, John Locke and Transtrend were negative YTD.
86
Frontier Long/Short Commodity Fund
2021
The Frontier Long/Short Commodity Fund—Class 2 NAV gained 5.12%15.24% and gained 8.65%lost 0.23%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV gained 5.11%15.23% and gained 8.60%lost 0.28%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV gained 0.00%lost 0% and gained 7.89%lost 1.65%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV gained 5.79%16.39% and gained 8.40%lost 0.31%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 5.82%16.57% and gained 8.52%lost 0.08%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the threenine months ended March 31,September 30, 2021, the Frontier Long/Short Commodity Fund recorded total expenses of $29,325, net investment loss of $26,394, net realized/unrealized gain on investments of $75,732, net investment loss of $7,630,$227,429, and total expenses of $ 8,909, resulting in a net increase in Owners’ capital from operations of $68,102.$201,035. For the threenine months ended March 31,September 30, 2020, the Frontier Long/Short Commodity Fund recorded total expenses of $25,694, net investment loss of $23,669, net realized/unrealized gain on investments of $122,801, net investment loss of $9,104,$22,699, and total expenses of $9,751, resulting in a net increasedecrease in Owners’ capital from operations of $113,697.$970.
The NAV per Unit, Class 2, increased from $85.99 as of December 31, 2020 to $90.39$99.09 at March 31,September 30, 2021. The NAV per Unit, Class 3, increased from $90.21 as of December 31, 2020 to $94.82$103.95 at March 31, 2021. TheSeptember 30, 2021.The NAV per Unit, Class 2a, increased from $55.29 as of December 31, 2020 to $58.49$64.35 at March 31,September 30, 2021. The NAV per Unit, Class 3a, increased from $58.37 as of December 31, 2020 to $61.77$68.04 at March 31,September 30, 2021. Total Class 2 subscriptions and redemptions for the twelve monthsperiod were $0 and $423,$7,313, respectively. Total Class 3 subscriptions and redemptions for the three monthsperiod were $0 and $18,296,$69,099, respectively. Total Class 2a subscriptions and redemptions for the three monthsperiod were $0 and $4,963, respectively. Total Class 3a subscriptions and redemptions for the three monthsperiod were $0 and $18,086,$22,944, respectively.
Ending capital at March 31,September 30, 2021, is $35,587$31,967 for Class 2, $1,008,041$1,056,949 for Class 3, $84,657$93,140 for Class 2a and $211,352$227,963 for Class 3a. Ending capital at December 31, 2020 is $34,273 for Class 2, $976,771 for Class 3, $84,857 for Class 2a, and $217,402 for Class 3a.
For the threenine months ended March 31,September 30, 2021, Frontier Long/Short Commodity Fund did not own a swap investment.
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.
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All of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1Q3 2021 and all of the seven were profitable YTD. Energies, Base Metals, Grains, Softs, Meats, Precious Metals Softs and Financials finished Q1 2021 positive while none finished negative for the quarter. Energies, Base Metals, Grains, Softs, Meats, Precious Metals Softs and Financials finished positive YTD. None were negative YTD.
In terms of major CTA performance, Rosetta, Volt and Welton finished positive for the quarter. Volt wasNo CTA’s were negative for the quarter.
In terms of YTD performance, Rosetta, Volt and Welton were positive YTD while Volt was negative YTD.no CTA’s were negative.
2020
2020
The Frontier Long/Short Commodity Fund—Class 2 NAV gained 8.65%lost 0.23% and lost 5.21%10.18%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV gained 8.60%lost 0.28% and lost 5.22%,10.13% respectively for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV gained 7.89%lost 1.65% and lost 11.73%16.27% respectively, for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV gained 8.40%lost 0.31% and lost 11.37%,15.36% respectively, for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 8.52%lost 0.08% and lost 11.27%15.17%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses.
For the threenine months ended March 31,September 30, 2020, the Frontier Long/Short Commodity Fund recorded total expenses of $25,694, net investment loss of $23,669, net realized/unrealized gain on investments of $122,801, net investment loss of $9,104,$22,699, 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 $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.$970. For the nine months ended September 30, 2019, the Frontier Long/Short Commodity Fund recorded total expenses of $43,108, net investment loss of $41,280, net realized/unrealized loss on investments of $217,823, and resulting in a net decrease in Owners’ capital from operations of $259,103.
The NAV per Unit, Class 2, increaseddecreased from $81.60 as of December 31, 2019 to $88.66$81.41 at March 31,September 30, 2020. The NAV per Unit, Class 3, increaseddecreased from $85.64 as of December 31, 2019 to $93.01$85.40 at March 31,September 30, 2020. The NAV per Unit, Class 1a, increaseddecreased from $44.20 as of December 31, 2019 to $47.69$0 at March 31,September 30, 2020. The NAV per Unit, Class 2a, increaseddecreased from $52.55 as of December 31, 2019 to $56.98$52.39 at March 31,September 30, 2020. The NAV per Unit, Class 3a, increaseddecreased from $55.31 as of December 31, 2019 to $60.02$55.27 at March 31,September 30, 2020. Total Class 2 subscriptions and redemptions for the twelve monthsperiod were $0 and $1,422,$8,267, respectively. Total Class 3 subscriptions and redemptions for the three monthsperiod were $0 and $8,248,$53,726, respectively. Total Class 1a subscriptions and redemptions for the three monthsperiod were $0 and $0,$11,267, respectively. Total Class 2a subscriptions and redemptions for the three monthsperiod were $0 and $0,$1,193, respectively. Total Class 3a subscriptions and redemptions for the three monthsperiod were $0 and $0,$4,304, respectively.
There were inter-class transfers of $11,267 from Class 1a to Class 3a for the period. Ending capital at March 31,September 30, 2020, is $43,043$32,650 for Class 2, $1,068,324$937,745 for Class 3, $12,359$0 for Class 1a, $88,732$80,401 for Class 2a and $225,859$214,044 for Class 3a. Ending capital at December 31, 2019, is $41,045 for Class 2, $991,828 for Class 3, $11,447 for Class 1a, $81,826 for Class 2a and $208,144 for Class 3a.
The Frontier Long/Short Commodity Fund investedinvests in one or more swaps as of March 31, 2020.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 September 30, 2020, 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 the Frontier Long/Short Commodity Fund in respect of the Frontier Long/Short Commodity 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 Long/Short Commodity Fund, the effective management fee rate of the Series wereFrontier 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 paidpaid. For the quarter ended March 31,September 30, 2020, the effective management fee rate of the Frontier Long/Short Commodity Fund was 1.86%1.83%, compared to a management fee payable to the Managing Owner of 2.00%. For the quarter ended March 31,September 30, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Long/Short Commodity Fund was $3,579.$3,884.
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.
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Six
None of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1Q3 2020 and sixone of the seven were profitable YTD. Energies, Base Metals, Grains, Softs, Meats, Precious Metals and Financials finished Q1Q3 2020 positive while Softs finished negative for the quarter. Energies finished positive YTD. Base Metals, Grains, Softs, Meats, Financials and Precious Metals and Financials finished positive YTD. Softs were negative YTD.
In terms of major CTA performance, JE Moody and Weltonnone finished positive for the quarter. Emil Van EssenJE Moody, Rosetta and RosettaWelton were negative for the quarter.
In terms of YTD performance, JE Moody and Welton waswere positive YTD while Emil Van Essen and Rosetta were negative YTD.
92
Frontier Balanced Fund
2021
The Frontier Balanced Fund—Class 1 NAV gained 4.32%5.87% and lost 26.62%38.74%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV gained 5.11%8.28% and lost 26.08%37.35%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV gained 5.11%8.35% and lost 26.06%37.34%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV gained 5.11%8.35% and lost 26.07%37.32%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV gained 5.10%8.27% and lost 26.08%37.35%, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses.
For the threenine months ended March 31,September 30, 2021, the Frontier Balanced Fund recorded total expenses of $651,038, net investment loss of $650,793, net realized/unrealized gain on investments of $740,524, net investment loss of $237,551,$1,385,814, and total expenses of $237,551, resulting in a net increase in Owners’ capital from operations of $502,973.$735,021. For the threenine months ended March 31,September 30, 2020, the Frontier Balanced Fund recorded total expenses of $769,168, net investment loss of $762,807, net realized/unrealized loss on investments of $5,418,209, net investment loss of $324,508,$7,365,607, and total expenses of $330,819, resulting in a net decrease in Owners’ capital from operations of $5,742,717.$8,128,414.
The NAV per Unit, Class 1, increased from $79.93 as of December 31, 2020 to $83.39$84.62 at March 31,September 30, 2021. The NAV per Unit, Class 1AP, increased from $96.81 as of December 31, 2020 to $101.75$104.82 at March 31,September 30, 2021. The NAV per Unit, Class 2, increased from $130.54 as of December 31, 2020 to $137.21$141.34 at March 31,September 30, 2021. For Class 2a, the NAV per Unit increased from $113.20 as of December 31, 2020 to $118.98$122.65 at March 31,September 30, 2021. For Class 3a, the NAV per Unit increased from $112.81 as of December 31, 2020 to $118.58$122.23 at March 31,September 30, 2021. Total Class 1 subscriptions and redemptions for the three monthsperiod were $0 and $1,073,816,$2,028,537, respectively. Total Class 1AP subscriptions and redemptions for the three monthsperiod were $0 and $966,$51,153, respectively. Total Class 2 subscriptions and redemptions for the three monthsperiod were $0 and $351,644,$501,213, respectively. Total Class 2a subscriptions and redemptions for the three monthsperiod were $0 and $7,000,$57,662, respectively. Total Class 3a subscriptions and redemptions for the three monthsperiod were $0 and $28,339,$67,043, respectively. Ending capital at March 31,September 30, 2021, was $8,737,092$7,933,315 for Class 1, $112,571$66,947 for Class 1 AP, $1,694,239$1,600,592 for Class 2, $104,292$57,105 for Class 2a and $503,290$481,733 for Class 3a. Ending capital at December 31, 2020, was $9,430,532 for Class 1, $108,053 for Class 1 AP, $1,958,169 for Class 2, $106,377 for Class 2a and $507,148 for Class 3a.
For the threenine months ended March 31,September 30, 2021, Frontier Balanced Fund did not own a swap investment.
The Frontier Balanced Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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Three of the six sectors which traded in the Frontier Balanced Fund were profitable in Q1 2020Q3 2021 and three of the six were profitable YTD. Energies, Agriculturals and Stock Indices were profitable for Q1 2020the quarter while Metals, Currencies and Interest Rates finished negative for the quarter. Energies, Agriculturals and Stock Indices were positiveprofitable YTD while Metals, Currencies and Interest Rates werefinished negative YTD.
In terms of major CTA performance, Aspect, Capital,Fort and Welton and Wimmer Horizon finished positive for the quarter. Fort LP (GC), John Locke, Wimmer Horizon and Quantitative Investment ManagementQIM were negative for the quarter.
Aspect, Capital,Fort, Welton and Wimmer Horizon were positive YTD while Fort LP (GC), John Locke and Quantitative Investment ManagementQIM were negative YTD.
95
2020
2020
The Frontier Balanced Fund—Class 1 NAV lost 26.62%38.74% and lost 2.33%0.80%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 26.08%37.35% and lost 1.60%gained 1.45%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 26.06%37.34% and lost 1.62%gained 1.44%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 26.07%37.32% and lost 1.59%gained 1.47%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 26.08%37.35% and lost 1.60%, respectively,gained 1.45% for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses.
For the threenine months ended March 31,September 30, 2020, For the nine months ended September 30, 2020, the Frontier Balanced Fund recorded total expenses of $769,168, net investment loss of $762,807, net realized/unrealized loss on investments of $5,418,209, net investment loss of $324,508,$7,365,607, and total expenses of $330,819, resulting in a net decrease in Owners’ capital from operations of $5,742,717. $8,128,414.
For the threenine months ended March 31,September 30, 2019, the Frontier Balanced Fund recorded net loss on investmentstotal expenses of $273,490,$1,256,678, net investment loss of $445,648,$1,220,176, net realized/unrealized gain on investments of $1,056,365 and total expenses of $457,008, resulting in a net decrease in Owners’ capital from operations of $719,138.$163,811.
The NAV per Unit, Class 1, decreased from $117.23 as of December 31, 2019 to $86.02$71.82 at March 31,September 30, 2020. The NAV per Unit, Class 1AP, decreased from $137.81 as of December 31, 2019 to $101.87$86.34 at March 31,September 30, 2020. The NAV per Unit, Class 2, decreased from $185.82 as of December 31, 2019 to $137.37$116.42 at March 31,September 30, 2020. For Class 2a, the NAV per Unit decreased from $161.04 as of December 31, 2019 to $119.07$100.90 at March 31,September 30, 2020. For Class 3a, the NAV per Unit decreased from $160.50 as of December 31, 2019 to $118.66$100.60 at March 31,September 30, 2020. Total Class 1 subscriptions and redemptions for the three monthsperiod were $0 and $854,782,$2,577,034, respectively. Total Class 1AP subscriptions and redemptions for the three monthsperiod were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three monthsperiod were $0 and $65,517,$295,415, respectively. Total Class 2a subscriptions and redemptions for the three monthsperiod were $0 and $0,$19,800, respectively. Total Class 3a subscriptions and redemptions for the three monthsperiod were $0 and $0,$63,588, respectively. Ending capital at March 31,September 30, 2020, was $12,405,891$8,800,149 for Class 1, $176,344$149,459 for Class 1 AP, $2,438,379$1,847,965 for Class 2, $144,303$104,702 for Class 2a and $665,828$507,236 for Class 3a. Ending capital at December 31, 2019, was $17,797,600 for Class 1, $238,544 for Class 1 AP, $3,361,853 for Class 2, $195,181 for Class 2a and $900,583 for Class 3a.
The Frontier Balanced Fund investedinvests in one or more swaps as of March 31, 2020.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 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 September 30, 2020, the management fee embedded in swaps owned by the Frontier Balanced Fund was 1.00 per annum, and the Managing Owner has waived the entire management fee due to it from the Frontier Balanced Fund in respect of the Frontier Balanced 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 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,September 30, 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,September 30, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Balanced Fund was $26,677.$10,645.
The Frontier Balanced Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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Four
One of the six sectors traded in the Frontier Balanced Fund werewas profitable in Q1Q3 2020 and fourtwo of the six were profitable YTD. Metals Energies, Agriculturals and Interest Rates were profitable for Q1Q3 2020 while Currencies, Energies, Agriculturals, Interest Rates and Stock Indices finished negative for the quarter. Metals Energies, Agriculturals and Interest RatesEnergies were positive YTD while Currencies, Agriculturals, Interest Rates and Stock Indices were negative YTD.
In terms of major CTA performance, Aspect Capital, Crabel, Welton and Wimmer Horizon finished positive for the quarter. Emil Van Essen,Aspect, Crabel, Fort, LP (GC), H2O, AMJohn Locke and Quantitative Investment ManagementQIM were negative for the quarter. Doherty was flat for the quarter.
Aspect Capital, Crabel, Welton and Wimmer Horizon were positive YTD while Aspect, Crabel, Doherty, Emil Van Essen, Fort, LP (GC), H2O, AMJohn Locke and Quantitative Investment ManagementQIM were negative YTD.
Frontier Select Fund
2021
2021
The Frontier Select Fund—Class 1 NAV gained 6.84%14.97% and gained 1.39%lost 19.84%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 7.64%17.59% and gained 2.13%lost 18.03%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV gained 7.64%17.58% and gained 1.89%lost 18.22%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020.
For the threenine months ended March 31,September 30, 2021, the Frontier Select Fund recorded total expenses of $70,732, net investment loss of $70,732, net realized/unrealized gain on investments of $131,786, net investment loss of $22,793,$304,970, and total expenses of $22,793, resulting in a net increase in Owners’ capital from operations of $108,993.$234,238. For the threenine months ended March 31,September 30, 2020, the Frontier Select Fund recorded net gain on investmentstotal expenses of $81,804,$93,908, net investment loss of $37,115,$93,908, net realized/unrealized loss on investments of $350,073, and total expenses of $37,115, resulting in a net increasedecrease in Owners’ capital from operations of $44,689.$443,981.
The NAV per Unit, Class 1, increased from $58.55 as of December 31, 2020 to $62.56$67.32 at March 31,September 30, 2021. The NAV per Unit, Class 1AP, increased from $70.99 as of December 31, 2020 to $76.41$83.47 at March 31,September 30, 2021. The NAV per Unit, Class 2, increased from $94.20 as of December 31, 2020 to $101.40$110.77 at March 31,September 30, 2021. Total Class 1 subscriptions and redemptions for the three monthsperiod ended March 31,September 30, 2021, were $0 and $130,530,$299,314, respectively. Total Class 1AP subscriptions and redemptions for the three monthsperiod ended March 31,September 30, 2021, were $0 and $656, respectively. Total Class 2 subscriptions and redemptions for the three monthsperiod ended March 31,September 30, 2021, were $0 and $1,282,$3,281, respectively. Ending capital, at March 31,September 30, 2021, was $1,547,969$1,496,992 for Class 1, $9,897$10,811 for Class 1AP, and $71,787$76,312 for Class 2. Ending capital at December 31, 2020 was $1,575,328 for Class 1, $9,821 for Class 1AP, and $67,979 for Class 2.
For the threenine months ended March 31,September 30, 2021, Frontier Select Fund did not own a swap investment.
The Frontier Select Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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FourThree of the six sectors which traded in the Frontier Select Fund were profitable in Q1Q3 2021 and fourthree of the six were profitable YTD. Metals, Energies, Agriculturals and Stock Indices were positiveprofitable for the quarter while Metals, Currencies and Interest Rates werefinished negative for the quarter. Metals, Energies, Agriculturals and Stock Indices were profitable YTD while Metals, Currencies and Interest Rates finished negative YTD.
In terms of major CTA performance, Welton finished positive for the quarter andwhile John Locke finished negative for the quarter.negative. Welton finished positive YTD while John Locke finished negative YTD.
2020
2020
The Frontier Select Fund—Class 1 NAV lost 19.84% and gained 1.39% and lost 0.91%8.89%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 18.03% and gained 2.13% and lost 0.18%,11.41% respectively for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV lost 18.22% and gained 1.89% and lost 0.21%10.37%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019.
For the threenine months ended March 31,September 30, 2020, the Frontier Select Fund recorded net gain on investmentstotal expenses of $81,804,$93,908, net investment loss of $37,115$93,908, net realized/unrealized loss on investments of $350,073, and resulting in a net decrease in Owners’ capital from operations of $443,981.
For the nine months September 30, 2019, the Frontier Select Fund recorded total expenses of $37,115,$146,651, net investment loss of $146,656, net realized/unrealized gain on investments $463,062, and resulting in a net increase in Owners’ capital from operations of $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.$316,406.
The NAV per Unit, Class 1, increaseddecreased from $66.56 as of December 31, 2019 to $67.48$53.35 at March 31,September 30, 2020. The NAV per Unit, Class 1AP, increaseddecreased from $78.51 as of December 31, 2019 to $79.99$64.20 at March 31,September 30, 2020. The NAV per Unit, Class 2, increaseddecreased from $103.94 as of December 31, 2019 to $106.15$85.20 at March 31,September 30, 2020. Total Class 1 subscriptions and redemptions for the three months ended March 31, 2020,period were $0 and $162,985,$790,915, respectively. Total Class 1AP subscriptions and redemptions for the three months ended March 31, 2019,period were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2019,period were $0 and $5,198,$14,198, respectively. Ending capital, at March 31,September 30, 2020, was $2,594,384$1,495,959 for Class 1, $11,067$8,882 for Class 1AP, and $87,681$62,691 for Class 2. Ending capital, at December 31, 2019, was $2,715,051 for Class 1, $10,834 for Class 1AP, and $90,741 for Class 2.2.
The Frontier Select Fund invested in one or more swaps as of March 31, 2020. The swap owned by the Frontier Select Fund waswhich were terminated effective May 30, 2020. To the extent that the Series investsinvested in a swap, the swap referencesreferenced an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance iswas 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 arewere said to be embedded.
The aggregate fees embedded in a swap arewere 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 providesprovided for the deduction of a management fee to the counterparty for the swap. The counterparty management fee iswas determined based on the management fee spread set forth in the index description, while the CTA Fees arewere based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and arewere 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 behave been subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which arewere reflected in the transaction values, and consequently the value of the index.
The currentPrior to the termination of the swap, the management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps iswas 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 iswere 15% of new net trading profits on a monthly or quarterly basis. To the extent that there arewere embedded management and incentive fees incurred in a swap investment, the Managing Owner waiveswaived any management and incentive fees to which it iswas otherwise entitled. The management and incentive fees embedded in a swap may behave been higher or lower than the management and incentive fee that would otherwise be charged to a Series by the Managing Owner.
As of March 31,September 30, 2020, the management fee embedded in swaps owned by the Frontier Select Fund was 1.00%0.00% 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 iswas accrued on the relevant notional amount of the swap.
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 thanequal to 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 periodquarter ended March 31,September 30, 2020, the effective management fee rate of Frontier Select Fund was 1.74%2.50%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31,September 30, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by Frontier Select Fund was $4,227.$0.
The Frontier Select Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals Hybrids and CommoditiesAgriculturals sectors.
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Two of the six sectors traded in the Frontier Select Fund were profitable in Q1Q3 2020 and two of the six were profitable YTD. EnergiesMetals and Interest RatesEnergies were positive while Metals,Interest Rates, Currencies, Stock Indices and Agriculturals were negative for the quarter. Energies and Interest Rates were profitable YTD while Metals, Currencies, Stock Indices and Agriculturals finished negative YTD.
In terms of major CTA performance, Brevan HowardJohn Locke and Welton finished positive for the quarter and Transtrend finished negative for the quarter. Brevan Howard andDoherty was flat for the quarter. Welton finished positive YTD while Brevan Howard, Doherty, John Locke and Transtrend finished negative YTD.
Frontier Global Fund
2021
The Frontier Global Fund—Class 1 NAV gained 3.09%7.81% and gained 10.99%lost 20.79%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 3.85%10.26% and gained 11.83%lost 18.98%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gainedlost 0% and gained 12.08%lost 18.80%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020.
For the threenine months ended March 31,September 30, 2021, the Frontier Global Fund recorded total expenses of $165,067, net investment loss of $165,067, net realized/unrealized gain on investments of $143,706, net investment loss of $55,068,$380,812, and total expenses of $55,068, resulting in a net increase in Owners’ capital from operations of $88,638.$215,145. For the threenine months ended March 31,September 30, 2020, the Frontier Global Fund recorded net gain on investmentstotal expenses of $559,705,$231,358, net investment loss of $85,996,$231,358, net realized/unrealized loss on investments of $524,909, and total expenses of $85,996, resulting in a net increasedecrease in Owners’ capital from operations of $473,709.$756,267.
The NAV per Unit, Class 1, increased from $110.90 at December 31, 2020 to $114.32$119.56 as of March 31,September 30, 2021. The NAV per Unit, Class 1AP The NAV per Unit, Class 2, increased from $167.56 at December 31, 2020 to $174.01$184.75 as of March 31,September 30, 2021. Total Class 1 subscriptions and redemptions for the period ended were $0 and $139,476,$445,629, respectively. Total Class 2 subscriptions and redemptions for the period ended were $0 and $2,000,$5,000, respectively. Ending capital at March 31,September 30, 2021 was $2,683,941$2,492,688 for Class 1 $193,871and $202,477 for Class 2 and2. Ending capital at December 31, 2020 was $2,741,972 for Class 1 and $188,677 for Class 2.
Frontier Global Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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Four of the six sectors which traded in the Frontier Global Fund were profitable in Q1Q3 2021 and four of the six were profitable YTD. Metals, Energies, Agriculturals, Metals and Stock Indices were positiveprofitable for the quarter while Currencies and Interest Rates werefinished negative for the quarter. Metals, Energies, Agriculturals, Metals and Stock Indices were positiveprofitable YTD while Currencies and Interest Rates werefinished negative YTD.
2020
The Frontier Global Fund—Class 1 NAV gained 10.99%lost 20.79% and gained 3.63%15.54%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 11.83%lost 18.98% and gained 4.43%18.18%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gained 12.08%lost 18.80% and gained 4.39%18.17%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019.
For the threenine months ended March 31,September 30, 2020, the Frontier Global Fund recorded total expenses of $231,358, net investment loss of $231,358, net realized/unrealized loss on investments of $524,909, and resulting in a net decrease in Owners’ capital from operations of $756,267. For the nine months ended September 30, 2019, the Frontier Global Fund recorded total expenses of $386,195, net investment loss of $386,197, net realized/unrealized gain on investments of $559,705, net investment loss of $85,996,$1,324,354, and total expenses of $85,996, resulting in a net increase in Owners’ capital from operations of $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.$938,157.
The NAV per Unit, Class 1, increaseddecreased from $131.52 at December 31, 2019 to $145.97$104.18 as of March 31,September 30, 2020. The NAV per Unit, Class 2, increaseddecreased from $192.82 at December 31, 2019 to $215.64$156.22 as of March 31,September 30, 2020. The NAV per Unit, Class 1AP, increaseddecreased from $154.43 at December 31, 2019 to $173.08$125.39 as of March 31,September 30, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $832,035,$1,009,896, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $0,$132,401, respectively. Total Class 1AP subscriptions and redemptions for the period were $0 and $0, respectively. Ending capital, at March 31,September 30, 2020 was $4,069,172$2,745,609 for Class 1, $383,792$177,301 for Class 2 and $36,954$26,771 for Class 1AP. Ending capital, at December 31, 2019 was $4,471,980 for Class 1, $343,217 for Class 2 and $33,047 for Class 1AP.
The
Frontier Global Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and CommoditiesAgriculturals sectors.
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Three
None of the six sectors traded in the Frontier Global Fund were profitable in Q1Q3 2020 and threetwo of the six were profitable YTD. Interest Rates, Metals and Energies were positive while Agriculturals, Currencies, Metals, Energies and Stock Indices were negative for the quarterquarter. Interest Rates Metals and Energies were positive YTD while Agriculturals, Metals, Currencies and Stock Indices were negative YTD.
Frontier Heritage Fund
2021
The Frontier Heritage Fund—Class 1 NAV gained 7.99%16.75% and gained 17.09%lost 10.92%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020 net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 8.79%19.40% and gained 17.96%lost 8.91%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 8.79%19.40% and gained 18.59%lost 8.43%, respectively, for the threenine months ended March 31,September 30, 2021 and 2020.
For the threenine months ended March 31,September 30, 2021, the Frontier Heritage Fund recorded total expenses of $125,859, net investment loss of $125,859, net realized/unrealized gain on investments of $227,118, net investment loss of $39,833,$516,625, and total expenses of $39,833, resulting in a net increase in Owners’ capital from operations of $187,285, after non-controlling interests of $0.$390,766. For the threenine months ended March 31,September 30, 2020, the Frontier Heritage Fund recorded net gain on investmentstotal expenses of $627,072,$134,838, net investment loss of $47,918,$134,838, net realized/unrealized loss on investments of $37,942, and total expenses of $47,918, resulting in a net increasedecrease in Owners’ capital from operations of $478,867,$268,694, after non-controlling interests of $100,287.$95,914.
The NAV per Unit, Class 1, increased from $96.10 as of December 31, 2020 to $103.77$112.20 at March 31,September 30, 2021. The NAV per Unit, Class 1AP, increased from $116.50 as of December 31, 2020 to $126.74$139.10 at March 31,September 30, 2021. The NAV per Unit, Class 2, increased from $155.92 as of December 31, 2020 to $169.62$186.17 at March 31,September 30, 2021. Total Class 1 subscriptions and redemptions for the three monthsperiod were $0 and $108,298,$182,668, respectively. Total Class 1AP subscriptions and redemptions for the three monthsperiod were $0 and $1,099,$1,100, respectively. Total Class 2 subscriptions and redemptions for the three monthsperiod were $0 and $0,$1,000, respectively. Ending capital, at March 31,September 30, 2021, was $2,229,166$2,335,536 for Class 1, $8,085$8,874 for Class 1AP and $225,919$246,870 for Class 2. Ending capital at December 31, 2020 was $2,169,152 for Class 1, $8,460 for Class 1AP, and $207,670 for Class 2.
For the threenine months ended March 31,September 30, 2021, Frontier Heritage Fund did not own a swap investment.
The Frontier Heritage Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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Four
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Three of the six sectors which traded in the Frontier Heritage Fund were profitable in Q1Q3 2021 and fourthree of the six were profitable YTD. Metals, Energies, Agriculturals and Stock Indices were positiveprofitable for the quarter while Metals, Currencies and Interest Rates werefinished negative for the quarter. Metals, Energies, Agriculturals and Stock Indices were positiveprofitable YTD while Metals, Currencies and Interest Rates werefinished negative YTD.
In terms of major CTA performance, Aspect Capital and Welton were positive for Q1 2021 while noQ3 2021. No CTA’s were negative for the quarter. Welton and Aspect Capital and Welton were positive YTD while no CTA’s werefinished negative YTD.
2020
2020
The Frontier Heritage Fund—Class 1 NAV lost 10.92% and gained 17.09% and lost 0.15%13.12%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019 net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 17.96%lost 8.91% and gained 0.61%15.70%, respectively for the threenine months ended March 31,September 30, 2020 and 2019, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 18.59%lost 8.43% and gained 0.60%17.34%, respectively, for the threenine months ended March 31,September 30, 2020 and 2019.
For the threenine months ended March 31,September 30, 2020, the Frontier Heritage Fund recorded total expenses of $134,838, net investment loss of $134,838, net realized/unrealized loss on investments of $37,942, and resulting in a net decrease in Owners’ capital from operations of $268,694, after non-controlling interests of $95,914. For the nine months ended September 30, 2019, the Frontier Heritage Fund recorded total expenses of $162,062, net investment loss of $162,068, net realized/unrealized gain on investments of $627,072, net investment loss of $47,918,$637,595, and total expenses of $47,918, resulting in a net increase in Owners’ capital from operations of $478,867,$435,283, after non-controlling interests of $100,287. 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.$40,244.
The NAV per Unit, Class 1, increaseddecreased from $97.54 as of December 31, 2019 to $114.21$86.88 at March 31,September 30, 2020. The NAV per Unit, Class 1AP, increaseddecreased from $114.15 as of December 31, 2019 to $135.37$104.53 at March 31,September 30, 2020. The NAV per Unit, Class 2, increaseddecreased from $153.59 as of December 31, 2019 to $181.17$139.90 at March 31,September 30, 2020. Total Class 1 subscriptions and redemptions for the three months wereperiod $0 and $64,241,$84,653, respectively. Total Class 1AP subscriptions and redemptions for the three months wereperiod $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months wereperiod $0 and $0,$304,812, respectively. Ending capital, at March 31,September 30, 2020, was $2,614,943$1,970,940 for Class 1, $9,830$7,591 for Class 1AP and $615,866$189,322 for Class 2. Ending capital, at December 31, 2019, was $2,295,623 for Class 1, $8,333 for Class 1AP and $522,057 for Class 2.
The Frontier Heritage Fund invested in one or more swaps as of March 31,which were terminated effective May 30, 2020. To the extent that the Series investsinvested in a swap, the swap referencesreferenced an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance iswas 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 arewere said to be embedded.
The aggregate fees embedded in a swap arewere 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 providesprovided for the deduction of a management fee to the counterparty for the swap. The counterparty management fee iswas determined based on the management fee spread set forth in the index description, while the CTA Fees arewere based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and arewere 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 behave been subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which arewere reflected in the transaction values, and consequently the value of the index.
The currentPrior to the termination of the swap, the management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps iswas 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 iswas 15% of new net trading profits on a monthly or quarterly basis. To the extent that there arewere embedded management and incentive fees incurred in a swap investment, the Managing Owner waiveswaived any management and incentive fees to which it iswas otherwise entitled. The management and incentive fees embedded in a swap may behave been higher or lower than the management and incentive feesfee that would otherwise be charged to a Series by the Managing Owner.
As of March 31,September 30, 2020, the management fee embedded in swaps owned by the Frontier Heritage Fund was 1.00%0.00% 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 iswas 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 thanequal to 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 periodquarter ended March 31,September 30, 2020, the effective management fee rate of the Frontier Heritage Fund was 2.17%2.50%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31,September 30, 2020, the management and incentive fees embedded in gains (losses) from trading companies owned by the Frontier Heritage Fund was $5,087$0.
The Frontier Heritage Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Agriculturals sectors.
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Four
One of the six sectors traded in the Frontier Heritage Fund werewas profitable in Q1Q3 2020 and fourtwo of the six were profitable YTD. Energies, Currencies, Metals and Interest Rates were positive while Energies, Currencies, Metals, Agriculturals and Stock Indices were negative for the quarter. Energies Currencies, Metals and Interest Rates were profitable YTD while Agriculturals, Currencies, Metals and Stock Indices finished negative YTD.
In terms of major CTA performance, Aspect Capital, Brevan Howard and Weltonno CTA’s were positive for Q1 while no CTA’sQ3 2020. Aspect Capital and Welton were negative for the quarter. Aspect Capital, Brevan Howard and Welton werewas positive YTD while no CTA’sAspect Capital and Brevan Howard were negative 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 and Galaxy Plus 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
The Series’ approximate risk exposure in the various market sectors traded by its Trading Advisors is quantified below in terms of value at risk. Due to the Series’ mark-to-market accounting, any loss in the fair value of the Series’ (through the Trading Companies 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.
In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals, the margin requirements for the equivalent futures positions have been used as value at risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Series, which is valued in U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars.
In quantifying each Series’ value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk. The diversification effects resulting from the fact that the Series’ positions held through the Trading Companies 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,September 30, 2021 and December 31, 2020. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.
DOMESTIC EXPOSURE
Frontier Balanced Fund:
| March 31, 2021 | December 31, 2020 | |||||||||||||||
| VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
| MARKET SECTOR | AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | ||||||||||||
| Interest Rates | $ | 23,126 | 0.21 | % | $ | 6,095 | 0.05 | % | ||||||||
| Currencies | 321,232 | 2.88 | % | 324,038 | 2.68 | % | ||||||||||
| Stock Indices | 6,087 | 0.05 | % | - | 0.00 | % | ||||||||||
| Metals | 54,597 | 0.49 | % | 87,332 | 0.72 | % | ||||||||||
| Agriculturals/Softs | 146,727 | 1.32 | % | 275,253 | 2.27 | % | ||||||||||
| Energy | 16,599 | 0.15 | % | - | 0.00 | % | ||||||||||
| Total: | $ | 568,368 | 5.10 | % | $ | 692,718 | 5.72 | % | ||||||||
| September 30, 2021 | December 31, 2020 | |||||||||||||||
| VALUE AT RISK | % OF TOTAL CAPITALIZATION | VALUE AT RISK | % OF TOTAL CAPITALIZATION | |||||||||||||
| MARKET SECTOR | ||||||||||||||||
| Interest Rates | $ | 19,938 | 0.20 | % | $ | 6,095 | 0.05 | % | ||||||||
| Currencies | 803,228 | 7.92 | % | 324,038 | 2.68 | % | ||||||||||
| Stock Indices | 11,521 | 0.11 | % | - | 0.00 | % | ||||||||||
| Metals | 122,613 | 1.21 | % | 87,332 | 0.72 | % | ||||||||||
| Agriculturals/Softs | 45,068 | 0.44 | % | 275,253 | 2.27 | % | ||||||||||
| Energy | 122,890 | 1.21 | % | - | 0.00 | % | ||||||||||
| Total: | $ | 1,125,258 | 11.10 | % | $ | 692,718 | 5.72 | % | ||||||||
The swaps owned by Frontier Heritage Fund and Frontier Select Fund (through its investment in an unconsolidated trading company) were terminated effective May 30, 2020, and the swaps owned by Frontier Balanced Fund, Frontier Long/Short Commodity Fund and Frontier Diversified Fund were terminated effective December 21, 2020.
110
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 March 31,September 30, 2021 and December 31, 2020. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.
FOREIGN EXPOSURE
Frontier Balanced Fund:Fund
| March 31, 2021 | December 31, 2020 | |||||||||||||||
| VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
| MARKET SECTOR | AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | ||||||||||||
| Interest Rates | $ | 277,548 | 2.49 | % | $ | 282,145 | 2.33 | % | ||||||||
| Currencies | 28,919 | 0.26 | % | 20,954 | 0.17 | % | ||||||||||
| Stock Indices | 19,094 | 0.17 | % | 8,652 | 0.07 | % | ||||||||||
| Metals | - | 0.00 | % | - | 0.00 | % | ||||||||||
| Agriculturals/Softs | 13,266 | 0.12 | % | 131,914 | 1.09 | % | ||||||||||
| Energy | - | 0.00 | % | - | 0.00 | % | ||||||||||
| Total: | $ | 338,827 | 3.04 | % | $ | 443,665 | 3.66 | % | ||||||||
| September 30, 2021 | December 31, 2020 | |||||||||||||||
| VALUE AT RISK | % OF TOTAL CAPITALIZATION | VALUE AT RISK | % OF TOTAL CAPITALIZATION | |||||||||||||
| MARKET SECTOR | ||||||||||||||||
| Interest Rates | $ | 658,503 | 6.49 | % | $ | 282,145 | 2.33 | % | ||||||||
| Currencies | 47,750 | 0.47 | % | 20,954 | 0.17 | % | ||||||||||
| Stock Indices | 25,952 | 0.26 | % | 8,652 | 0.07 | % | ||||||||||
| Agriculturals/Softs | 183,609 | 1.81 | % | 131,914 | 1.09 | % | ||||||||||
| Total: | $ | 915,814 | 9.03 | % | $ | 443,665 | 3.66 | % | ||||||||
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.
Qualitative Market Risk
The following are the primary trading risk exposures of the Series of the Trust as of March 31,September 30, 2021, 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 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.
Frontier Long/Short CommodityMaster Fund Class 1a1 was closed as of September 30, 2020April 1, 2021 and Frontier GlobalDiversified Fund Class 1AP1 was closed as of November 18, 2020. July 21, 2021.
Currencies
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 currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trading Advisors on behalf of a Series trade in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar. The Managing Owner does not anticipate that the risk profile of the Series’ currency sector will change significantly in the future.
Stock Indices
For each Series, 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 metals market exposure is fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. Some metals, such as gold, are used as surrogate stores of value, in place of hard currency, and thus have currency or interest rate risk associated with them relative to their price in a specific currency. Other metals, such as silver, platinum, copper and steel, have substantial industrial applications, and may be subject to forces affecting industrial production and demand.
Agriculturals/Softs
Each Series 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.
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 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.
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 usernames 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.
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 March 31,September 30, 2021 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can only provide 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 their evaluation, the Chairman and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filing.
Report on Management’s Assessment of 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 March 31,September 30, 2021, 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 maintained effective internal control over financial reporting as of March 31,September 30, 2021.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s internal control over financial reporting for the quarter ended March 31,September 30, 2021.
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 certifications of the Chief Executive Officer and Chief Financial Officer of the Managing Owner included respectively as Exhibits 31.1 and 31.2 to this Form 10-Q apply not only to the Trust as a whole but also to each Series individually.
PART II. OTHER INFORMATION
ITEM 1. LEGAL PROCEEDINGS.
There are no material legal proceedings pending against the Trust, or any of the Series.
ITEM 1A. RISK FACTORS.
There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Trust’s annual report on Form 10-K for the fiscal year ended December 31, 20202020.
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 March 31,September 30, 2021. 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.
None.
ITEM 6. EXHIBITS.
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document | |
| 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document | |
| 101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document | |
| 104 |
117
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 | ||
| (Registrant) | ||
| Date: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: November 15, 2021 | By: | /s/ Patrick F. HART III |
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
118
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 | ||
| a Series of Frontier Funds | ||
| (Registrant) | ||
| Date: | By: | /s/ PatrickJ. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: November 15, 2021 | By: | /s/ Patrick F. |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES
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: November 15, 2021 | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds | ||
| Date: November 15, 2021 | By: | /s/ Patrick F. HART III |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| Frontier Global Fund | ||
| a Series of Frontier Funds | ||
| (Registrant) | ||
| Date: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: | By: | /s/ |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
120
SIGNATURES
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: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: | By: | /s/ |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
121
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: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: | By: | /s/ |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
122
SIGNATURES
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: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: | By: | /s/ |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
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 Masters Fund, | ||
| a Series of Frontier Funds | ||
| (Registrant) | ||
| Date: | By: | /s/ Patrick J. Kane |
| Patrick J. Kane | ||
| Chairman and Chief Financial Officer of Frontier Fund | ||
Management LLC, the Managing Owner of Frontier Funds | ||
| Date: | By: | /s/ |
| Patrick F. Hart | ||
| President and Chief Executive Officer of Frontier Fund | ||
| Management LLC, the Managing Owner of Frontier Funds |
124138