UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM ~~10-Q/A~~10-Q

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

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

ORor

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

Commission File Number 000-51274

FRONTIER FUNDS

FRONTIER DIVERSIFIED FUND;

~~FRONTIER MASTERS FUND;~~

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER MASTERS FUND;

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

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

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in ~~its~~Its Charter)

Delaware

36-6815533

(State or Other Jurisdiction of
Incorporation or Organization)

~~(IRS Employer~~

(IRS Employer
Identification No.)

c/o Frontier Fund Management, LLC

25568 Genesee Trail Road

Golden, Colorado 80401

(Address of Principal Executive Offices)

~~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

~~(303) 454-5500~~

~~(Registrant’s Telephone Number)~~

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

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

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

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

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

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

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

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

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

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

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

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

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

Large Accelerated Filer	☐	Accelerated Filer	☐
~~Non-Accelerated~~Non–Accelerated Filer	☒	Smaller ~~reporting company~~Reporting Company	☐
~~Emerging growth company~~	☐		Emerging Growth Company	☐

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

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

~~EXPLANATORY NOTE~~Table of Contents

		Pages

PART I – FINANCIAL INFORMATION

Item 1.	Series Financial Statements	1

	Statements of Financial Condition as of March 31, 2020 (Unaudited) and December 31, 2019	1

	Condensed Schedules of Investments as of March 31, 2020 (Unaudited) and December 31, 2019	4

	Statements of Operations for the three months ended March 31, 2020 and 2019 (Unaudited)	10

	Statements of Changes in Owners’ Capital for the three months ended March 31, 2020 (Unaudited)	13

	Statements of Cash Flows for the three months ended March 31, 2020 and 2019 (Unaudited)	17

	Notes to Financial Statements (Unaudited)	20

	Trust Financial Statements (1)

	Consolidated Statements of Financial Condition as of March 31, 2020 (Unaudited) and December 31, 2019	49

	Consolidated Condensed Schedules of Investments as of March 31, 2020 (Unaudited) and December 31, 2019	50

	Consolidated Statements of Operations for the three months ended March 31, 2020 and 2019 (Unaudited)	52

	Consolidated Statement of Changes in Owners’ Capital for the three months ended March 31, 2020 (Unaudited)	53

	Consolidated Statements of Cash Flows for the three months ended March 31, 2020 and 2019 (Unaudited)	54

	Notes to Consolidated Financial Statements (Unaudited)	55

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	73

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	112

Item 4.	Controls and Procedures	120

PART II – OTHER INFORMATION

Item 1.	Legal Proceedings	123

Item 1A.	Risk Factors	123

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	123

Item 3.	Defaults Upon Senior Securities	123

Item 4.	Mine Safety Disclosures	123

Item 5.	Other Information	123

Item 6.	Exhibits	123

SIGNATURES		124

(1)

These financial statements represent the consolidated financial statements of the Series of the Trust.

Special Note About Forward-Looking Statements

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

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

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

PART I. FINANCIAL INFORMATION

Item 1.

Series Financial Statements

The Series of Frontier Funds

Statements of Financial Condition

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

	Frontier				Frontier				Frontier
	Diversified Fund				Masters Fund				Long/Short Commodity Fund
	3/31/2020		12/31/2019		3/31/2020		12/31/2019		3/31/2020		12/31/2019
ASSETS
Cash and cash equivalents	$	229,432	$	56,263	$	176,877	$	25,639	$	126,375	$	34,272
U.S. Treasury securities, at fair value		20,858		99,605		16,080		45,391		11,489		60,673
Swap contracts, at fair value		4,742,032		6,384,583		-		-		613,963		362,521
Investments in private investment companies, at fair value		7,112,211		9,305,733		1,936,942		2,198,997		799,320		986,757
Investments in unconsolidated trading companies, at fair value		10,412		24,150		8,027		11,005		5,735		14,711
Interest receivable		198		2,027		153		924		124		1,296
Receivable from related parties		11,453		11,453		-		-		-		-
Redemptions receivable from private investment companies		171,906		171,906		-		-		-		-
Other assets		6,163		5,700		-		-		-		-

Total Assets	$	12,304,665	$	16,061,420	$	2,138,079	$	2,281,956	$	1,557,006	$	1,460,230

LIABILITIES & CAPITAL

LIABILITIES
Redemptions payable	$	-	$	-	$	-	$	-	$	-	$	6,585
Service fees payable to Managing Owner		1,861		3,392		199		204		-		-
Trading fees payable to Managing Owner		27,725		35,877		9,341		11,673		3,047		3,468
Advance on unrealized swap appreciation		4,000,000		4,000,000		-		-		115,000		115,000
Subscriptions in advance for service fee rebates		22,629		22,531		31,725		31,541		296		220
Other liabilities		-		-		485		499		346		667

Total Liabilities		4,052,215		4,061,800		41,750		43,917		118,689		125,940

CAPITAL
Managing Owner - Class 2		2,377		3,023		12,892		13,043		4,920		4,530
Managing Owner - Class 2a		-		-		-		-		8,522		7,861
Managing Owner - Class 3		91,218		115,933		9,127		9,228		-		-
Managing Owner - Class 3a		-		-		-		-		1,077		993
Limited Owner - Class 1		572,402		1,303,195		12,591		12,794		-		-
Limited Owner - Class 1a		-		-		-		-		12,359		11,447
Limited Owner - Class 2		3,394,736		5,597,828		828,122		837,765		38,123		36,515
Limited Owner - Class 2a		-		-		-		-		80,210		73,965
Limited Owner - Class 3		4,191,717		4,979,641		1,233,597		1,365,209		1,068,324		991,828
Limited Owner - Class 3a		-		-		-		-		224,782		207,151

Total Owners’ Capital		8,252,450		11,999,620		2,096,329		2,238,039		1,438,317		1,334,290

Non-Controlling Interests		-		-		-		-		-		-

Total Capital		8,252,450		11,999,620		2,096,329		2,238,039		1,438,317		1,334,290

Total Liabilities and Capital	$	12,304,665	$	16,061,420	$	2,138,079	$	2,281,956	$	1,557,006	$	1,460,230

Units Outstanding
Class 1		7,232		12,890		177		177		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A		259		259
Class 2		35,534		46,067		9,759		9,759		485		503
Class 2a		N/A		N/A		N/A		N/A		1,557		1,557
Class 3		47,915		44,853		15,363		16,806		11,487		11,581
Class 3a		N/A		N/A		N/A		N/A		3,763		3,763

Net Asset Value per Unit
Class 1	$	79.15	$	101.10	$	71.33	$	72.28		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A	$	47.69	$	44.20
Class 2	$	95.60	$	121.58	$	86.18	$	87.18	$	88.66	$	81.60
Class 2a		N/A		N/A		N/A		N/A	$	56.98	$	52.55
Class 3	$	89.39	$	113.61	$	80.89	$	81.78	$	93.01	$	85.64
Class 3a		N/A		N/A		N/A		N/A	$	60.02	$	55.31

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

The Series of Frontier Funds

Statements of Financial Condition

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

	Frontier Balanced Fund				Frontier Select Fund
	3/31/2020		12/31/2019		3/31/2020		12/31/2019
ASSETS
Cash and cash equivalents	$	1,214,004	$	118,506	$	137,502	$	61,345
U.S. Treasury securities, at fair value		110,365		209,799		12,500		108,603
Open trade equity, at fair value		2,108		116,184		-		-
Receivable from futures commission merchants		145,332		2,526,242		-		-
Swap contracts, at fair value		7,285,942		11,944,753		-		-
Investments in private investment companies, at fair value		12,156,919		13,809,892		1,994,548		2,184,240
Investments in unconsolidated trading companies, at fair value		55,094		50,867		585,550		505,355
Interest receivable		1,047		4,270		119		2,268
Redemptions receivable from private investment companies		1,480,111		380,111		-		-

Total Assets	$	22,450,922	$	29,160,624	$	2,730,219	$	2,861,811

LIABILITIES & CAPITAL

LIABILITIES
Redemptions payable	$	-	$	39,059	$	-	$	6,875
Management fees payable to Managing Owner		9,115		8,795		-		-
Interest payable to Managing Owner		1,044		105		132		-
Service fees payable to Managing Owner		32,629		41,635		6,344		6,906
Trading fees payable to Managing Owner		58,281		70,179		5,144		6,000
Risk analysis fees payable		9,971		8,465		-		-
Advance on unrealized swap appreciation		6,176,555		6,176,555		-		-
Subscriptions in advance for service fee rebates		329,179		319,698		17,777		16,895
Other liabilities		3,403		2,372		7,690		8,509

Total Liabilities		6,620,177		6,666,863		37,087		45,185

CAPITAL
Managing Owner - Class 2		54,518		73,748		30,472		29,831
Managing Owner - Class 2a		111,737		151,133		-		-
Limited Owner - Class 1		12,405,891		17,797,600		2,594,384		2,715,051
Limited Owner - Class 1AP		176,344		238,544		11,067		10,834
Limited Owner - Class 2		2,383,861		3,288,105		57,209		60,910
Limited Owner - Class 2a		32,566		44,048		-		-
Limited Owner - Class 3a		665,828		900,583		-		-

Total Owners’ Capital		15,830,745		22,493,761		2,693,132		2,816,626

Non-Controlling Interests		-		-		-		-

Total Capital		15,830,745		22,493,761		2,693,132		2,816,626

Total Liabilities and Capital	$	22,450,922	$	29,160,624	$	2,730,219	$	2,861,811

Units Outstanding
Class 1		144,220		151,814		38,447		40,793
Class 1AP		1,731		1,731		138		138
Class 2		17,751		18,092		826		873
Class 2a		1,212		1,212		N/A		N/A
Class 3a		5,611		5,611		N/A		N/A

Net Asset Value per Unit
Class 1	$	86.02	$	117.23	$	67.48	$	66.56
Class 1AP	$	101.87	$	137.81	$	79.99	$	78.51
Class 2	$	137.37	$	185.82	$	106.15	$	103.94
Class 2a	$	119.07	$	161.04		N/A		N/A
Class 3a	$	118.66	$	160.50		N/A		N/A

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

The Series of Frontier Funds

Statements of Financial Condition

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

	Frontier Global Fund				Frontier Heritage Fund
	3/31/2020		12/31/2019		3/31/2020		12/31/2019
ASSETS
Cash and cash equivalents	$	248,015	$	27,532	$	152,200	$	44,011
U.S. Treasury securities, at fair value		22,547		48,741		13,836		77,916
Swap contracts, at fair value		-		-		3,094,855		2,888,008
Investments in private investment companies, at fair value		4,396,238		5,022,967		2,529,507		2,259,678
Investments in unconsolidated trading companies, at fair value		11,255		11,818		6,907		18,891
Interest receivable		214		992		131		1,586

Total Assets	$	4,678,269	$	5,112,050	$	5,797,436	$	5,290,090

LIABILITIES & CAPITAL

LIABILITIES
Redemptions payable	$	-	$	71,379	$	-	$	9,735
Interest payable to Managing Owner		844		56		563		166
Service fees payable to Managing Owner		9,787		11,263		5,886		5,362
Trading fees payable to Managing Owner		17,510		22,540		11,151		11,170
Advance on unrealized swap appreciation		-		-		1,900,000		1,900,000
Subscriptions in advance for service fee rebates		151,527		150,025		58,835		57,132
Other liabilities		8,683		8,543		1,052		1,488

Total Liabilities		188,351		263,806		1,977,487		1,985,053

CAPITAL
Managing Owner - Class 2		55,976		50,058		33,731		28,593
Limited Owner - Class 1		4,069,172		4,471,980		2,614,943		2,295,623
Limited Owner - Class 1AP		36,954		33,047		9,830		8,333
Limited Owner - Class 2		327,816		293,159		582,135		493,464

Total Owners’ Capital		4,489,918		4,848,244		3,240,639		2,826,013

Non-Controlling Interests		-		-		579,310		479,024

Total Capital		4,489,918		4,848,244		3,819,949		3,305,037

Total Liabilities and Capital	$	4,678,269	$	5,112,050	$	5,797,436	$	5,290,090

Units Outstanding
Class 1		27,876		34,003		22,896		23,536
Class 1AP		214		214		73		73
Class 2		1,780		1,780		3,399		3,399

Net Asset Value per Unit
Class 1	$	145.97	$	131.52	$	114.21	$	97.54
Class 1AP	$	173.08	$	154.43	$	135.37	$	114.15
Class 2	$	215.64	$	192.82	$	181.17	$	153.59

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

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

		Frontier					Frontier					Frontier
		Diversified Fund					Masters Fund					Long/Short Commodity Fund
		Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset
Description		Value		Value)			Value		Value)			Value		Value)
SWAPS (1)
	Frontier XXXV Diversified select swap (U.S.)		4,742,032		57.46	%	$	-		-		$	-		-
	Frontier XXXVII L/S select swap (U.S.)		-		-			-		-			613,963		42.69	%
	Total Swaps	$	4,742,032		57.46	%	$	-		-		$	613,963		42.69	%

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	66,514		0.81	%	$	21,902		1.04	%	$	15,156		1.05	%
	Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,126,654		13.65	%		-		-			-		-
	Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		1,332,960		16.15	%		-		-			-		-
	Galaxy Plus Fund - QIM Feeder Fund (526) LLC		616,065		7.47	%		-		-			-		-
	Galaxy Plus Fund - Quest Feeder Fund (517) LLC		613,323		7.43	%		-		-			-		-
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,639,481		19.87	%		1,078,591		51.45	%		-		-
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		1,695,533		20.55	%		493,661		23.55	%		418,884		29.12	%
	Galaxy Plus Fund - TT Feeder Fund (531) LLC		-		0.00	%		342,788		16.35	%		-		-
	Galaxy Plus Fund - LRR Feeder Fund (522) LLC		21,681		0.26	%		-		-			365,280		25.40	%

	Total Private Investment Companies	$	7,112,211		86.19	%	$	1,936,942		92.40	%	$	799,320		55.57	%

INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	10,412		0.13	%	$	8,027		0.38	%	$	5,735		0.40	%
	Total Investment in Unconsolidated Trading Companies	$	10,412		0.13	%	$	8,027		0.38	%	$	5,735		0.40	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value				Fair Value
$	155,000	US Treasury Note 6.875% due 08/15/2025 (Cost $199,768)	$	20,858	0.25	%	$	16,080	0.77	%	$	11,489	0.80	%
			$	20,858	0.25	%	$	16,080	0.77	%	$	11,489	0.80	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Face Value				Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	15,567			$	12,001			$	8,575
			$	15,567			$	12,001			$	8,575

Additional Disclosure on U.S. Treasury Securities			Cost				Cost				Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	20,063			$	15,468			$	11,051
			$	20,063			$	15,468			$	11,051

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

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

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

		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 base metals futures contracts (U.S.)		(25,730	)		-0.16	%		-		0.00	%
	Total Long Futures Contracts	$	(25,730	)		-0.16	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
	Various base metals futures contracts (U.S.)		27,838			0.18	%		-		0.00	%
	Total Short Futures Contracts	$	27,838			0.18	%	$	-		0.00	%
SWAP (1)
	Frontier XXXIV Balanced select swap (U.S.)	$	7,285,942			46.02	%	$	-		-
	Total Swap	$	7,285,942			46.02	%	$	-		-

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	106,682			0.67	%	$	-		-
	Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,756,213			11.09	%		-		-
	Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		2,030,283			12.82	%		-		-
	Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,722,463			10.88	%		-		-
	Galaxy Plus Fund - Quest Feeder Fund (517) LLC		712,652			4.50	%		-		-
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		2,526,565			15.96	%		-		-
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		3,266,863			20.64	%		1,052,525		39.08	%
	Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			0.00	%		942,023		34.98	%
	Galaxy Plus Fund - LRR Feeder Fund (522) LLC		35,198			0.22	%		-		-
	Total Private Investment Companies	$	12,156,919			76.78	%	$	1,994,548		74.06	%

INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	55,094			0.35	%	$	6,240		0.23	%
	Frontier Trading Company XXXIX, LLC		-			0.00	%		579,310		21.51	%
	Total Investment in Unconsolidated Trading Companies	$	55,094			0.35	%	$	585,550		21.74	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value

$	155,000	US Treasury Note 6.875% due 08/15/2025 (Cost $199,768)	$	110,365	0.70	%	$	12,500	0.46	%
			$	110,365	0.70	%	$	12,500	0.46	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Face Value

		US Treasury Note 6.875% due 08/15/2025 (2)	$	82,372			$	9,330
			$	82,372			$	9,330

Additional Disclosure on U.S. Treasury Securities			Cost				Cost

		US Treasury Note 6.875% due 08/15/2025 (2)	$	106,163			$	12,024
			$	106,163			$	12,024

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

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

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

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2020 (Unaudited)

		Frontier					Frontier
		Global Fund					Heritage Fund
		Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset
Description		Value		Value)			Value		Value)
SWAP (1)
	Frontier Brevan Howard swap (U.S.)	$	-		-		$	3,094,855		81.02	%
	Total Swap	$	-		-		$	3,094,855		81.02	%

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	4,396,238		97.91	%	$	1,447,373		37.89	%
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		-		-			1,082,134		28.33	%
	Total Private Investment Companies	$	4,396,238		97.91	%	$	2,529,507		66.22	%

INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	11,255		0.25	%	$	6,907		0.18	%
	Total Investment in Unconsolidated Trading Companies	$	11,255		0.25	%	$	6,907		0.18	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value

$	155,000	US Treasury Note 6.875% due 08/15/2025 (Cost $199,768)	$	22,547	0.50	%	$	13,836	0.36	%
			$	22,547	0.50	%	$	13,836	0.36	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Face Value

		US Treasury Note 6.875% due 08/15/2025 (2)	$	16,828			$	10,327
			$	16,828			$	10,327

Additional Disclosure on U.S. Treasury Securities			Cost				Cost

		US Treasury Note 6.875% due 08/15/2025 (2)	$	21,689			$	13,310
			$	21,689			$	13,310

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

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

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

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

		Frontier					Frontier					Frontier
		Diversified Fund					Masters Fund					Long/Short Commodity Fund
		Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset
Description		Value		Value)			Value		Value)			Value		Value)
SWAPS (1)
	Frontier XXXV Diversified select swap (U.S.)	$	6,384,583		53.21	%	$	-		-		$	-		-
	Frontier XXXVII L/S select swap (U.S.)		-		-			-		-			362,521		27.17	%
	Total Swaps	$	6,384,583		53.21	%	$	-		-		$	362,521		27.17	%

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	494,968		4.12	%	$	210,013		9.38	%	$	111,013		8.32	%
	Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,267,090		10.56	%		-		-			-		-
	Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		2,031,482		16.93	%		-		-			-		-
	Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,460,173		12.17	%		-		-			-		-
	Galaxy Plus Fund - Quest Feeder Fund (517) LLC		499,551		4.16	%		-		-			-		-
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,827,263		15.23	%		1,049,575		46.90	%		-		-
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		1,549,720		12.91	%		466,988		20.87	%		343,834		25.77	%
	Galaxy Plus Fund - TT Feeder Fund (531) LLC		-		-			472,421		21.11	%		-		-
	Galaxy Plus Fund - LRR Feeder Fund (522) LLC		175,486		1.46	%		-		-			531,910		39.86	%
	Total Private Investment Companies	$	9,305,733		77.54	%	$	2,198,997		98.26	%	$	986,757		73.95	%

INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	24,150		0.20	%	$	11,005		0.49	%	$	14,711		1.10	%
	Total Investment in Unconsolidated Trading Companies	$	24,150		0.20	%	$	11,005		0.49	%	$	14,711		1.10	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value				Fair Value
$	510,000	US Treasury Note 6.875% due 08/15/2025 (Cost $652,026)	$	99,605	0.83	%	$	45,391	2.03	%	$	60,673	4.55	%
			$	99,605	0.83	%	$	45,391	2.03	%	$	60,673	4.55	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Fair Value				Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	78,065			$	35,575			$	47,552
			$	78,065			$	35,575			$	47,552

Additional Disclosure on U.S. Treasury Securities			Cost				Cost				Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	99,804			$	45,482			$	60,794
			$	99,804			$	45,482			$	60,794

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

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

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

		Frontier						Frontier
		Balanced Fund						Select Fund
		Fair			% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset
Description		Value			Value)			Value		Value)
LONG FUTURES CONTRACTS*
	Various agriculture futures contracts (U.S.)	$	22,437			0.10	%	$	-		0.00	%
	Various base metals futures contracts (U.S.)		(3,344	)		-0.01	%		-		0.00	%
	Various energy futures contracts (U.S.)		(735	)		0.00	%		-		0.00	%
	Various interest rates futures contracts (Europe)		(2,763	)		-0.01	%		-		0.00	%
	Various precious metal futures contracts (U.S.)		45,590			0.20	%		-		0.00	%
	Various soft futures contracts (Far East)		709			0.00	%		-		0.00	%
	Various soft futures contracts (U.S.)		1,740			0.01	%		-		0.00	%
	Various stock index futures contracts (Europe)		(2,506	)		-0.01	%		-		0.00	%
	Various stock index futures contracts (Far East)		(7,157	)		-0.03	%		-		0.00	%
	Various stock index futures contracts (Oceanic)		(21,237	)		-0.09	%		-		0.00	%
	Various stock index futures contracts (U.S.)		21,385			0.10	%		-		0.00	%
	Total Long Futures Contracts	$	54,119			0.25	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
	Various agriculture futures contracts (U.S.)	$	(1,410	)		-0.01	%	$	-		0.00	%
	Various base metals futures contracts (U.S.)		(6,369	)		-0.03	%		-		0.00	%
	Various energy futures contracts (U.S.)		3,380			0.02	%		-		0.00	%
	Various interest rates futures contracts (Europe)		9,573			0.04	%		-		0.00	%
	Various interest rates futures contracts (Far East)		1,104			0.00	%		-		0.00	%
	Various soft futures contracts (U.S.)		(3,340	)		-0.01	%		-		0.00	%
	Total Short Futures Contracts	$	2,938			0.00	%	$	-		0.00	%
CURRENCY FORWARDS*
	Various currency forwards contracts (NA)	$	59,127			0.26	%	$	-		0.00	%
	Total Currency Forwards	$	59,127			0.26	%	$	-		0.00	%
	Total Open Trade Equity (Deficit)	$	116,184			0.52	%	$	-		0.00	%
SWAP (1)
	Frontier XXXIV Balanced select swap (U.S.)	$	11,944,753			53.10	%	$	-		-
	Total Swap	$	11,944,753			53.10	%	$	-		-

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	668,428			2.97	%	$	-		0.00	%
	Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,913,873			8.51	%		-		0.00	%
	Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		2,589,148			11.51	%		-		0.00	%
	Galaxy Plus Fund - QIM Feeder Fund (526) LLC		2,556,118			11.36	%		-		0.00	%
	Galaxy Plus Fund - Quest Feeder Fund (517) LLC		533,194			2.37	%		-		0.00	%
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		2,679,197			11.91	%		-		0.00	%
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		2,583,294			11.48	%		835,386		29.66	%
	Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			0.00	%		1,348,854		47.89	%
	Galaxy Plus Fund - LRR Feeder Fund (522) LLC		286,640			1.27	%		-		0.00	%
	Total Private Investment Companies	$	13,809,892			61.39	%	$	2,184,240		77.55	%

INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	50,867			0.23	%	$	26,331		0.93	%
	Frontier Trading Company XXXIX, LLC		-			-			479,024		17.01	%
	Total Investment in Unconsolidated Trading Companies	$	50,867			0.23	%	$	505,355		17.94	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value

$	510,000	US Treasury Note 6.875% due 08/15/2025 (Cost $652,026)	$	209,799	0.93	%	$	108,603	3.86	%
			$	209,799	0.93	%	$	108,603	3.86	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Face Value

		US Treasury Note 6.875% due 08/15/2025 (2)	$	164,427			$	85,116
			$	164,427			$	85,116

Additional Disclosure on U.S. Treasury Securities			Cost				Cost

		US Treasury Note 6.875% due 08/15/2025 (2)	$	210,217			$	108,820
			$	210,217			$	108,820

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

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

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2019

		Frontier Global Fund (Formerly Winton Fund)					Frontier Heritage Fund
		Fair		% of Total Capital (Net Asset			Fair		% of Total Capital (Net Asset
Description		Value		Value)			Value		Value)
SWAP (1)
	Frontier Brevan Howard swap (U.S.)	$	-		-		$	2,888,008		18.14	%
	Total Swap	$	-		-		$	2,888,008		18.14	%

PRIVATE INVESTMENT COMPANIES (3)
	Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	$	-		-		$	786,246		23.79	%
	Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		5,022,967		103.60	%		1,473,432		44.58	%
	Total Private Investment Companies	$	5,022,967		103.60	%	$	2,259,678		68.37	%

INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
	Frontier Trading Company XXXVIII, LLC	$	11,818		0.24	%	$	18,891		0.57	%
	Total Investment in Unconsolidated Trading Companies	$	11,818		0.24	%	$	18,891		0.57	%

U.S. TREASURY SECURITIES (2)

FACE VALUE

			Fair Value				Fair Value

$	510,000	US Treasury Note 6.875% due 08/15/2025 (Cost $652,026)	$	48,741	1.01	%	$	77,916	2.36	%
			$	48,741	1.01	%	$	77,916	2.36	%

Additional Disclosure on U.S. Treasury Securities			Face Value				Face Value

		US Treasury Note 6.875% due 08/15/2025 (2)	$	38,200			$	61,065
			$	38,200			$	61,065

Additional Disclosure on U.S. Treasury Securities			Cost				Cost

		US Treasury Note 6.875% due 08/15/2025 (2)	$	48,838			$	78,071
			$	48,838			$	78,071

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

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

The Series of Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2020 (Unaudited) and 2019

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	3/31/2020			3/31/2019			3/31/2020			3/31/2019			3/31/2020			3/31/2019

Investment income:
Interest - net	$	34		$	4,868		$	990		$	690		$	647		$	698

Total Income		34			4,868			990			690			647			698

Expenses:
Management Fees		-			2,668			-			5,593			-			-
Service Fees - Class 1		7,707			12,029			595			7,486			111			162
Due Diligence Fees		3,383			-			656			-			93			-
Trading Fees		100,550			130,304			32,399			67,318			9,547			13,852

Total Expenses		111,640			145,001			33,650			80,397			9,751			14,014

Investment (loss) - net		(111,606	)		(140,133	)		(32,660	)		(79,707	)		(9,104	)		(13,316	)

Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		115,286			442,738			246,694			64,220			(59,841	)		410,350
Net realized gain/(loss) on private investment companies		(149,796	)		(332,437	)		(235,137	)		(103,856	)		(67,371	)		(545,569	)
Net realized gain/(loss) on swap contracts		-			(86,648	)		-			-			-			(17,436	)
Net unrealized gain/(loss) on swap contracts		(2,111,698	)		-			-			-			251,441			-
Net realized gain/(loss) on U.S. Treasury securities		(16,266	)		15,071			7,304			(1,931	)		5,194			4,109
Net unrealized gain/(loss) on U.S. Treasury securities		23,218			(18,038	)		(1,929	)		3,930			(1,916	)		(2,979	)
Change in fair value of investments in unconsolidated trading companies		(1,009	)		(84,498	)		(6,482	)		(61,227	)		(4,706	)		(560	)

Net gain/(loss) on investments		(2,140,265	)		(63,812	)		10,450			(98,864	)		122,801			(152,085	)

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(2,251,871	)		(203,945	)		(22,210	)		(178,571	)		113,697			(165,401	)

Less: Operations attributable to non-controlling interests		-			-			-			-			-			-

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(2,251,871	)	$	(203,945	)	$	(22,210	)	$	(178,571	)	$	113,697		$	(165,401	)

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(21.95	)	$	(1.41	)	$	(0.95	)	$	(2.91	)		N/A			N/A
Class 1a		N/A			N/A			N/A			N/A		$	3.49		$	(6.66	)
Class 2	$	(25.98	)	$	(1.15	)	$	(1.00	)	$	(2.99	)	$	7.06		$	(5.15	)
Class 2a		N/A			N/A			N/A			N/A		$	4.42		$	(7.56	)
Class 3	$	(24.22	)	$	(1.00	)	$	(0.89	)	$	2.73		$	7.36		$	(5.41	)
Class 3a		N/A			N/A			N/A			N/A		$	4.71		$	(7.87	)

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

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2020 (Unaudited) and 2019

	Frontier Balanced Fund						Frontier Select Fund
	3/31/2020			3/31/2019			3/31/2020			3/31/2019

Investment income:
Interest - net	$	6,311		$	11,360		$	-		$	-

Total Income/(loss)		6,311			11,360			-			-

Expenses:
Management Fees		5,020			8,079			-			-
Service Fees - Class 1		125,308			170,865			20,160			25,505
Risk analysis Fees		1,506			1,458			-			22,632
Trading Fees		198,985			279,337			16,955			-

Total Expenses		330,819			459,739			37,115			48,137

Investment (loss) - net		(324,508	)		(448,379	)		(37,115	)		(48,137	)

Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		642,235			4,526			-			-
Net unrealized gain/(loss) on private investment companies		(93,693	)		903,551			(22,952	)		82,768
Net realized gain/(loss) on private investment companies		(93,600	)		(747,334	)		7,923			(50,950	)
Net change in open trade equity/(deficit)		(25,719	)		(102,236	)		-			-
Net unrealized gain/(loss) on swap contracts		(5,837,508	)		(195,186	)		-			-
Net realized gain/(loss) on U.S. Treasury securities		20,156			(3,429	)		5,292			3,463
Net unrealized gain/(loss) on U.S. Treasury securities		1,596			14,684			(2,216	)		(2,737	)
Trading commissions		(8,375	)		(7,065	)		-			-
Change in fair value of investments in unconsolidated trading companies		(23,301	)		(138,270	)		93,757			(25,473	)

Net gain/(loss) on investments		(5,418,209	)		(270,759	)		81,804			7,071

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(5,742,717	)		(719,138	)		44,689			(41,066	)

Less: Operations attributable to non-controlling interests		-			-			-			-

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(5,742,717	)	$	(719,138	)	$	44,689		$	(41,066	)

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(31.21	)	$	(2.74	)	$	0.92		$	(0.65	)
Class 1AP	$	(35.94	)	$	(2.15	)	$	1.49		$	(0.18	)
Class 2	$	(48.45	)	$	(2.90	)	$	2.21		$	(0.19	)
Class 2a	$	(41.97	)	$	(2.54	)		N/A			N/A
Class 3a	$	(41.84	)	$	(2.48	)		N/A			N/A

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

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2020 (Unaudited) and 2019

	Frontier Global Fund						Frontier Heritage Fund
	3/31/2020			3/31/2019			3/31/2020			3/31/2019

Investment income:
Interest - net	$	-		$	-		$	-		$	-

Total Income		-			-			-			-

Expenses:
Management Fees		-			29,148			-			6,189
Service Fees - Class 1		30,441			52,123			18,013			23,185
Trading Fees		55,555			42,715			29,905			27,093

Total Expenses		85,996			123,986			47,918			56,467

Investment (loss) - net		(85,996	)		(123,986	)		(47,918	)		(56,467	)

Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		249,122			688,108			416,114			140,824
Net realized gain/(loss) on private investment companies		309,658			-			4,371			(6,746	)
Net unrealized gain/(loss) on swap contracts		-			-			206,847			(50,194	)
Net realized gain/(loss) on U.S. Treasury securities		11,493			77,673			6,794			8,382
Net unrealized gain/(loss) on U.S. Treasury securities		(5,491	)		(72,893	)		(951	)		(7,239	)
Change in fair value of investments in unconsolidated trading companies		(5,077	)		(328,263	)		(6,103	)		(56,952	)

Net gain/(loss) on investments		559,705			364,625			627,072			28,075

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		473,709			240,639			579,154			(28,392	)

Less: Operations attributable to non-controlling interests		-			-			100,287			(24,336	)

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	473,709		$	240,639		$	478,867		$	(4,056	)

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	14.46		$	4.76		$	16.67		$	(0.15	)
Class 1AP	$	18.66		$	6.58		$	21.22		$	0.66
Class 2	$	22.82		$	8.31		$	27.58		$	0.93

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

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

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

	Frontier Diversified Fund																				Frontier Masters Fund
	Class 1			Class 2			Class 2			Class 3			Class 3			Non-					Class 1			Class 2			Class 2			Class 3			Class 3			Non-
	Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total

Owners’ Capital, December 31, 2019	$	1,303,195		$	3,023		$	5,597,828		$	115,933		$	4,979,641		$	-	$	11,999,620		$	12,794		$	13,043		$	837,765		$	9,228		$	1,365,209		$	-	$	2,238,039

Sale of Units		-			-			-			-						-		-			-			-			-			-		$	-			-		-
Redemption of Units		(589,750	)		-			(1,274,585	)		-		$	369,037			-		(1,495,298	)		-			-			-			-			(119,501	)		-		(119,501	)
Net increase/(decrease) in Owners’		-			-			-			-			-			-		-			-			-			-			-			-			-		-
Capital resulting from operations attributable to controlling interests		(141,043	)		(646	)		(928,507	)		(24,715	)		(1,156,961	)		-		(2,251,872	)		(203	)		(151	)		(9,643	)		(101	)		(12,110	)		-		(22,209	)

Owners’ Capital, March 31, 2020	$	572,402		$	2,377		$	3,394,736		$	91,218		$	4,191,717		$	-	$	8,252,450		$	12,591		$	12,892		$	828,122		$	9,127		$	1,233,597		$	-	$	2,096,329

Owners’ Capital - Units, December 31, 2019		12,890			25			46,042			1,021			43,832								177			149			9,610			113			16,693

Sale of Units (including transfers)		-			-			-			-			5,028								-			-			-			-			-
Redemption of Units (including transfers)		(5,658	)		-			(10,533	)		-			(1,966	)							-			-			0.00			-			(1,443	)

Owners’ Capital - Units, March 31, 2020		7,232			25			35,509			1,021			46,894								177			149			9,610			113			15,250

Net asset value per unit at December 31, 2019	$	101.10					$	121.58					$	113.61							$	72.28					$	87.18					$	81.78

Change in net asset value per unit for the three months ended March 31, 2020		(21.95	)					(25.98	)					(24.22	)							(0.95	)					(1.00	)					(0.89	)

Net asset value per unit at March 31, 2020	$	79.15					$	95.60					$	89.39							$	71.33					$	86.18					$	80.89

(1)

Values are for both the Managing Owner and Limited Owners.

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

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

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

	Frontier Long/Short Commodity Fund
	Class 2					Class 3			Class 1a		Class 2a				Class 3a				Non-
	Managing Owner		Limited Owners			Limited Owners			Limited Owners		Managing Owner		Limited Owners		Managing Owner		Limited Owners		Controlling Interests		Total

Owners’ Capital, December 31, 2019	$	4,530	$	36,515		$	991,828		$	11,447	$	7,861	$	73,965	$	993	$	207,151	$	-	$	1,334,290

Sale of Units		-		-			-			-		-		-		-		-		-		-
Redemption of Units		-		(1,422	)		(8,248	)		-		-		-		-				-		(9,670	)
Transfer of Units In(Out)		-		-			-			-		-		-		-		-		-		-
Net increase/(decrease) in Owners’		-		-			-			-		-		-		-		-		-		-
Capital resulting from operations attributable to controlling interests		390		3,030			84,744			912		661		6,245		84		17,631		-		113,697

Owners’ Capital, March 31, 2020	$	4,920	$	38,123		$	1,068,324		$	12,359	$	8,522	$	80,210	$	1,077	$	224,782	$	-	$	1,438,317

Owners’ Capital - Units, December 31, 2019		56		447			11,581			259		149		1,408		18		3,745

Sale of Units (including transfers)		-		-			-			-		-		-		-		-
Redemption of Units (including transfers)		-		(18	)		(94	)		-		-		-		-		-

Owners’ Capital - Units, March 31, 2020		56		429			11,487			259		149		1,408		18		3,745

Net asset value per unit at December 31, 2019			$	81.60		$	85.64		$	44.20			$	52.55			$	55.31

Change in net asset value per unit for the three months ended March 31, 2020				7.06			7.37			3.49				4.43				4.71

Net asset value per unit at March 31, 2020			$	88.66		$	93.01		$	47.69			$	56.98			$	60.02

(2)

Values are for both the Managing Owner and Limited Owners.

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

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2020 (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, 2019		$	17,797,600		$	238,544		$	73,748		$	3,288,105		$	151,133		$	44,048		$	900,583		$	-	$	22,493,761

Sale of Units			-			-			-			-			-			-			-			-		-
Redemption of Units			(854,782	)		-			-			(65,517	)		-			-			-			-		(920,299	)
Transfer of Units In(Out)			-			-			-			-			-			-			-			-		-
Net increase/(decrease) in Owners’			-			-			-			-			-			-			-			-		-
Capital resulting from operations attributable to controlling interests			(4,536,927	)		(62,200	)		(19,230	)		(838,727	)		(39,396	)		(11,482	)		(234,755	)		-		(5,742,717	)

Owners’ Capital, March 31, 2020		$	12,405,891		$	176,344		$	54,518		$	2,383,861		$	111,737		$	32,566		$	665,828		$	-	$	15,830,745

Owners’ Capital - Units, December 31, 2019			151,814			1,731			397			17,695			938			274			5,611

Sale of Units (including transfers)			-			-			-			-			-			-			-
Redemption of Units (including transfers)			(7,594	)		-						(341	)					-			-

Owners’ Capital - Units, March 31, 2020			144,220			1,731			397			17,354			938			274			5,611

Net asset value per unit at December 31, 2019		$	117.23		$	137.81					$	185.82					$	161.04		$	160.50

Change in net asset value per unit for the three months ended March 31, 2020			(31.21	)		(35.94	)					(48.45	)					(41.97	)		(41.84	)

Net asset value per unit at March 31, 2020		$	86.02		$	101.87					$	137.37					$	119.07		$	118.66

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

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

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

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

	Frontier Select Fund															Frontier Global Fund														Frontier Heritage Fund
	Class 1			Class 1AP		Class 2					Non-					Class 1			Class 1AP		Class 2				Non-					Class 1			Class 1AP		Class 2				Non-
	Limited Owners			Limited Owners		Managing Owner		Limited Owners			Controlling Interests		Total			Limited Owners			Limited Owners		Managing Owner		Limited Owners		Controlling Interests		Total			Limited Owners			Limited Owners		Managing Owner		Limited Owners		Controlling Interests		Total

Owners’ Capital, December 31, 2019	2,715,051			10,834		29,831		60,910			-		$2,816,626			$	4,471,980		$	33,047	$	50,058	$293,159		$	-	$4,848,244			$2,295,623			$	8,333	$	28,593	$	493,464	$	479,024	3,305,037

Sale of Units		-			-		-	$	-			-		-			-			-		-		-		-		-			-			-		-		-		-		-
Redemption of Units		(162,985	)		-		-		(5,198	)		-		(168,183	)		(832,035	)		-		-		-		-		(832,035	)		(64,241	)		-		-		-		-		(64,241	)
Transfer of Units In(Out)		-			-		-					-		-			-			-		-		-		-		-			-			-		-		-		-		-
Net increase/(decrease) in Owners’		-			-		-					-		-			-			-		-		-		-		-			-			-		-		-		-		-
Capital resulting from operations attributable to controlling interests		42,318			233		641		1,497			-		44,689			429,227			3,907		5,918		34,657			$	473,709			383,561			1,497		5,138		88,671		-		478,867

Owners’ Capital, March 31, 2020	$	2,594,384		$	11,067	$	30,472	$	57,209		$	-	$	2,693,132		$	4,069,172		$	36,954	$	55,976	$	327,816	$	-	$	4,489,918		$	2,614,943		$	9,830	$	33,731	$	582,135	$	579,310	$	3,819,949

Owners’ Capital - Units, December 31, 2019		40,793			138		288		585								34,003			214		260		1,520							23,526			73		186		3,213

Sale of Units (including transfers)		-			-		-		-								-			-		-		-							-			-		-		-
Redemption of Units (including transfers)		(2,346	)		-		-		(47	)							(6,127	)		-		-		-							(640	)		-		-		-

Owners’ Capital - Units, March 31, 2020		38,447			138		288		538								27,876			214		260		1,520							22,886			73		186		3,213

Net asset value per unit at December 31, 2019		66.56			78.51				103.94							$	131.52		$	154.43			$	192.82						$	97.54		$	114.15			$	153.59
Change in net asset value per unit for the three months ended March 31, 2020		0.92			1.48				2.21								14.45			18.65				22.82							16.67			21.22				27.58
Net asset value per unit at March 31, 2020	$	67.48		$	79.99			$	106.15							$	145.97		$	173.08			$	215.64						$	114.21		$	135.37			$	181.17

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

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

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2020 and March 31, 2019(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	March 31, 2020			March 31, 2019			March 31, 2020			March 31, 2019			March 31, 2020			March 31, 2019

Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(2,251,871	)	$	(203,945	)	$	(22,210	)	$	(178,571	)	$	113,697		$	(165,401	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in ownership allocation of U.S. Treasury securities		464,949			1,620,832			(124,907	)		446,301			(139,395	)		(338,182	)
Net unrealized gain/(loss) on swap contracts		2,111,698			86,648			-			-			(251,441	)		17,437
Net unrealized gain/(loss) on U.S. Treasury securities		(23,218	)		18,038			1,929			(3,930	)		1,916			2,979
Net realized gain/(loss) on U.S. Treasuries securities		16,266			(15,071	)		(7,304	)		1,931			(5,194	)		(4,109	)
Net unrealized gain/(loss) on private investment companies		(115,286	)		(442,738	)		(246,694	)		(64,219	)		59,841			(410,350	)
Net realized gain/(loss) on private investment companies		149,796			332,437			(235,137	)		103,856			67,371			545,569
(Purchases) sales of:
Sales of U.S. Treasury securities		171,210			973,376			468,240			-			404,529			390,642
(Purchases) of U.S. Treasury securities		(550,460	)		(1,043,914	)		(309,637	)		(323,654	)		(213,319	)		(34,463	)
U.S. Treasury interest and premium paid/amortized		-			-			990			690			647			698
(Purchases) of Private Investment Companies		(387,849	)		(3,997,991	)		333,863			(1,803,933	)		(36,300	)		(232,986	)
Reduction of collateral in Swap contracts		(469,147	)		-			-			-			-			-
Sale of Private Investment Companies		2,546,860			2,847,023			410,024			1,428,047			96,524			326,194
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		13,738			1,141,174			2,978			759,982			8,976			4,235
Interest receivable		1,829			32,017			771			2,932			1,172			2,927
Receivable from related parties		-			(3,199	)		-			-			-			-
Other assets		(463	)		(31,288	)		-			(56,644	)		-			(1,503	)
Incentive fees payable to Managing Owner		-			(10,897	)		-			-			-			-
Management fees payable to Managing Owner		-			(3,875	)		-			(8,347	)		-			-
Trading fees payable to Managing Owner		(8,152	)		(2,559	)		(2,332	)		(4,661	)		(421	)		(1,203	)
Service fees payable to Managing Owner		(1,531	)		(2,008	)		(5	)		(463	)		-			(44	)
Subscriptions in advance for service fee rebates		98			5,989			184			3,899			76			-
Other liabilities		-			2,665			(14	)		367			(321	)		143

Net cash provided by (used in) operating activities		1,668,467			1,302,714			270,739			303,583			108,358			102,583

Cash Flows from Financing Activities:
Payment for redemption of units		(1,495,298	)		(1,775,410	)		(119,501	)		(345,323	)		(9,670	)		(144,447	)
Change in owner redemptions payable		-			-			-			-			(6,585	)		7,855

Net cash provided by (used in) financing activities		(1,495,298	)		(1,775,410	)		(119,501	)		(345,323	)		(16,255	)		(136,592	)

Net increase (decrease) in cash and cash equivalents		173,169			(472,696	)		151,238			(41,740	)		92,103			(34,009	)

Cash and cash equivalents, beginning of period		56,263			472,696			25,639			46,374			34,272			61,600
Cash and cash equivalents, end of period	$	229,432		$	-		$	176,877		$	4,634		$	126,375		$	27,591

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

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2020 and March 31, 2019(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	March 31, 2020			March 31, 2019			March 31, 2020			March 31, 2019

Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(5,742,717	)	$	(719,138	)	$	44,689		$	(41,066	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		114,076			76,833			-			-
Net change in ownership allocation of U.S. Treasury securities		(125,149	)		1,528,663			(103,949	)		(270,667	)
Net unrealized (gain)/loss on swap contracts		5,837,508			195,186			-			-
Net unrealized (gain)/loss on U.S. Treasury securities		(1,596	)		(14,684	)		2,216			2,737
Net realized (gain)/loss on U.S. Treasury securities		(20,156	)		3,429			(5,292	)		(3,463	)
Net unrealized (gain)/loss on private investment companies		93,693			(903,551	)		22,952			(82,768	)
Net realized (gain)/loss on private investment companies		93,600			747,334			(7,923	)		50,950
(Purchases) sales of:
Sales of U.S. Treasury securities		1,199,775			-			501,211			299,322
(Purchases) of U.S. Treasury securities		(959,751	)		(1,693,363	)		(298,083	)		(44,178	)
U.S. Treasury interest and premium paid/amortized		6,311			11,360			-			-
(Purchases) of Private Investment Companies		(937,631	)		(7,114,581	)		(115,441	)		(212,825	)
Sale of Private Investment Companies		2,403,311			9,087,067			290,105			374,648
Increase and/or decrease in:
Receivable from futures commission merchants		2,380,910			(26,764	)		-			-
Control of ownership of trading companies		(1,178,697	)		-			-			-
Investments in unconsolidated trading companies, at fair value		(4,227	)		1,671,454			(80,195	)		23,031
Interest receivable		3,223			604			2,149			1,034
Receivable from related parties		-			(292,131	)		-			-
Other assets		(1,100,000	)		-			-			-
Management fees payable to Managing Owner		320			(4,951	)		-			-
Interest payable to Managing Owner		939			(253	)		132			37
Trading fees payable to Managing Owner		(11,898	)		(13,183	)		(856	)		(329	)
Service fees payable to Managing Owner		(9,006	)		(9,638	)		(562	)		(668	)
Risk analysis fees payable		1,506			(50	)		-			-
Subscriptions in advance for service fee rebates		9,481			25,560			882			1,712
Other liabilities		1,031			-			(819	)		1,167

Net cash provided by (used in) operating activities		2,054,856			2,555,203			251,216			98,674

Cash Flows from Financing Activities:
Payment for redemption of units		(920,299	)		(2,557,903	)		(168,184	)		(144,628	)
Change in owner redemptions payable		(39,059	)		8,132			(6,875	)		35,604

Net cash provided by (used in) financing activities		(959,358	)		(2,549,771	)		(175,059	)		(109,024	)

Net increase (decrease) in cash and cash equivalents		1,095,498			5,432			76,157			(10,350	)

Cash and cash equivalents, beginning of period		118,506			37,556			61,345			25,072
Cash and cash equivalents, end of period	$	1,214,004		$	42,988		$	137,502		$	14,722

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

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2020 and March 31, 2019(Unaudited)

	Frontier Global Fund						Frontier Heritage Fund
	March 31, 2020			March 31, 2019			March 31, 2020			March 31, 2019

Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	473,709		$	240,639		$	579,154		$	(28,392	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in ownership allocation of U.S. Treasury securities		(279,777	)		(2,868,141	)		(39,622	)		(100,254	)
Net unrealized gain/(loss) on swap contracts		-			-			(206,847	)		50,194
Net unrealized gain/(loss) on U.S. Treasury securities		5,491			72,893			951			7,239
Net realized gain/(loss) on U.S. Treasuries securities		(11,493	)		(77,673	)		(6,794	)		(8,382	)
Net unrealized gain/(loss) on private investment companies		(249,122	)		(688,108	)		(416,114	)		(140,824	)
Net realized gain/(loss) on private investment companies		(309,658	)		-			(4,371	)		6,746
(Purchases) sale of:
Sales of U.S. Treasury Securities		647,979			6,105,545			370,523			645,710
(Purchases) of U.S. Treasury securities		(336,006	)		(2,132,656	)		(260,978	)		(278,310	)
(Purchases) of Private Investment Companies		(120,247	)		(4,423,706	)		(241,319	)		(1,083,866	)
Sale of Private Investment Companies		1,305,756			-			391,974			192,052
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		563			3,973,037			11,984			695,297
Interest receivable		778			50,798			1,455			7,952
Management fees payable to Managing Owner		-			(42,705	)		-			(9,201	)
Interest payable to Managing Owner		788			(2,620	)		397			(619	)
Trading fees payable to Managing Owner		(5,030	)		(5,212	)		(19	)		1,068
Service fees payable to Managing Owner		(1,476	)		(3,915	)		524			(626	)
Subscriptions in advance for service fee rebates		1,502			9,187			1,703			4,880
Other liabilities		140			129,745			(436	)		2,103

Net cash provided by (used in) operating activities		1,123,897			337,108			182,165			(37,233	)

Cash Flows from Financing Activities:
Proceeds from sale of units		-			-			-			-
Payment for redemption of units		(832,035	)		(986,101	)		(64,241	)		(85,652	)
Change in owner redemptions payable		(71,379	)		-			(9,735	)		14,345

Net cash provided by (used in) financing activities		(903,414	)		(986,101	)		(73,976	)		(71,307	)

Net increase (decrease) in cash and cash equivalents		220,483			(648,993	)		108,189			(108,540	)

Cash and cash equivalents, beginning of period		27,532			951,485			44,011			135,096
Cash and cash equivalents, end of period	$	248,015		$	302,492		$	152,200		$	26,556

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

Notes to Financial Statements

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, 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:

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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;

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

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

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

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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;

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maintains each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold 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

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

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

As of March 31, 2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus entities, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus entities, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

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.

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

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

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

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

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

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

Receivable From Futures Commission Merchants—The 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 March 31, 2020 and December 31, 2019 included restricted cash for margin requirements of $1,322,883 and $2,890,330 respectively, for the Frontier Balanced Fund.

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

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

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

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

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

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

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

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

The 2016 through 2019 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

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

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

Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2017, 2018 and 2019 the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2020 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 $22,629, $296, $31,725, $329,179, $17,777, $151,527 and $58,835 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of March 31, 2020,

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

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

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

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

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

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

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

Swap contracts are reported at fair value. Valuation reports are generated and disseminated daily from the swap counterparty to the third-party administrator. The fair value is applied by the third-party administrator to calculate the daily performance. The Managing Owner reviews the third-party administrator performance reports and any noticeable exceptions are investigated. Unexplained exceptions are escalated to the Managing Owner’s Valuation Committee for further evaluation and resolution. Swap contracts are reported at fair value using Level 3 inputs.

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

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

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

March 31, 2020	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value

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

December 31, 2019	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value

Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	24,150	$	-	$	-	$	24,150
Swap Contracts		-		-		6,384,583		6,384,583
U.S. Treasury Securities		99,605		-		-		99,605
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		11,005		-		-		11,005
U.S. Treasury Securities		45,391		-		-		45,391
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		14,711		-		-		14,711
Swap Contracts		-		-		362,521		362,521
U.S. Treasury Securities		60,673		-		-		60,673
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		50,867		-		-		50,867
Open Trade Equity (Deficit)		57,057		59,127		-		116,184
Swap Contracts		-		-		11,944,753		11,944,753
U.S. Treasury Securities		209,799		-		-		209,799
Frontier Select Fund
Investment in Unconsolidated Trading Companies		26,331		-		479,024		505,355
U.S. Treasury Securities		108,603		-		-		108,603
Frontier Global Fund
Investment in Unconsolidated Trading Companies		11,818		-		-		11,818
U.S. Treasury Securities		48,741		-		-		48,741
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		18,891		-		-		18,891
Swap Contracts		-		-		2,888,008		2,888,008
U.S. Treasury Securities		77,916		-		-		77,916

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

For the Three Months Ending March 31, 2020

Swaps

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

Balance of recurring Level 3 assets as of March 31, 2020	$	7,285,942		$	613,963

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

Balance of recurring Level 3 assets as of March 31, 2020	$	4,742,032		$	3,094,855

For the Three Months ending March 31, 2020

Investments in Unconsolidated Trading Companies:

	Frontier Select Fund

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

For the Year Ended December 31, 2019

Swaps

	Frontier Balanced Fund		Frontier Long/Short Commodity Fund
Balance of recurring Level 3 assets as of January 1, 2019	$	10,794,908	$	479,102
Total gains or losses (realized/unrealized):
Included in earnings-realized		-		-
Included in earnings-unrealized		1,149,845		(116,581	)
Proceeds from collateral reduction		-		-
Change in ownership allocation		-		-
Transfers in and/or out of Level 3		-		-

Balance of recurring Level 3 assets as of December 31, 2019	$	11,944,753	$	362,521

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

Balance of recurring Level 3 assets as of December 31, 2019	$	6,384,583	$	2,888,009

For the Year Ended December 31, 2019

Investments in Unconsolidated Trading Companies

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

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 three months ended March 31, 2020, the Trust did not transfer any assets between Levels 1, 2 or 3.

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

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

		Frontier Diversified Fund				Frontier Long/Short Commodity Fund				Frontier Balanced Fund				Frontier Heritage Fund
Swap Contracts		$	(2,111,698	)		$	251,441			$	(5,837,508	)		$	206,846

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

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

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

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

4. Swap Contracts

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

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

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

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

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

The Series have invested in the following swaps as of and for the three months ended March 31, 2020:

		Frontier Balanced Fund				Frontier Diversified Fund				Frontier Long/Short Commodity Fund				Frontier Heritage Fund
		Total Return Swap				Total Return Swap				Total Return Swap				Total Return Swap
Counterparty		DeutscheBank AG				DeutscheBank AG				DeutscheBank AG				DeutscheBank AG
Notional Amount		$	7,420,403			$	1,761,834			$	653,610			$	2,072,056
Termination Date			7/31/2023				7/31/2023				7/31/2023				3/27/2023
Cash Collateral		$	1,264,696			$	555,147			$	29,950			$	975,450
Swap Value		$	6,021,245			$	4,186,885			$	584,013			$	2,119,405
Investee Returns	Total Returns				Total Returns				Total Returns				Total Returns
Realized Gain/(Loss)		$	0			$	0			$	0			$	0
Change in Unrealized Gain/(Loss)		$	(5,837,508	)		$	(2,111,698	)		$	251,441			$	206,846
Fair Value as of March 31, 2020		$	7,285,942			$	4,742,032			$	613,963			$	3,094,855
Advance on swap appreciation		$	(6,176,555	)		$	(4,000,000	)		$	(115,000	)		$	(1,900,000	)

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

	Frontier Balanced Fund			Frontier Diversified Fund			Frontier Long/Short Commodity Fund			Frontier Heritage Fund
	Total Return Swap			Total Return Swap			Total Return Swap			Total Return Swap
Counterparty	DeutscheBank AG			DeutscheBank AG			DeutscheBank AG			DeutscheBank AG
Notional Amount	$	7,420,403		$	1,761,834		$	653,610		$	2,072,056
Termination Date		7/31/2023			7/31/2023			7/31/2023			3/27/2023
Cash Collateral	$	86,000		$	86,000		$	29,950		$	975,450
Swap Value	$	11,858,754		$	6,298,583		$	332,571		$	1,912,559
Investee Returns	Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	0		$	0		$	0		$	0
Change in Unrealized Gain/(Loss)	$	1,149,846		$	464,169		$	(116,581	)	$	(67,435	)
Fair Value as of December 31, 2019	$	11,944,754		$	6,384,583		$	362,521		$	2,888,009
Advance on swap appreciation	$	(6,176,555	)	$	(4,000,000	)	$	(115,000	)	$	(1,900,000	)

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

	As of March 31, 2020					As of December 31, 2019
	Percentage of					Percentage of
	Series Total					Series Total
	Capital Invested in					Capital Invested in
Series	Unconsolidated Trading Companies			Fair Value		Unconsolidated Trading Companies			Fair Value

Frontier Diversified Series —
Frontier Trading Companies II and XXXVIII		0.13	%	$	10,412		0.20	%	$	24,150

Frontier Masters Fund —
Frontier Trading Companies II and XXXVIII		0.38	%	$	8,027		0.49	%	$	11,005

Frontier Long/Short Commodity Fund —
Frontier Trading Company XXXVIII		0.40	%	$	5,735		1.10	%	$	14,711

Frontier Balanced Fund —
Frontier Trading Companies II and XXXVIII		0.35	%	$	55,094		0.23	%	$	50,867

Frontier Select Fund —
Frontier Trading Companies XXXVIII and XXXIX		21.74	%	$	585,550		17.94	%	$	505,355

Frontier Global Fund —
Frontier Trading Companies II and XXXVIII		0.25	%	$	11,255		0.25	%	$	11,818

Frontier Heritage Fund —
Frontier Trading Companies II and XXXVIII		0.18	%	$	6,907		0.57	%	$	18,891

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

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

	Three Months Ended March 31, 2020									Three Months Ended March 31, 2019
	Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Frontier Balanced Fund
Frontier Trading Company II, LLC	$	-		$	-		$	-		$	-		$	(139,281	)	$	(139,281	)
Frontier Trading Company XXXVIII, LLC		-			(23,301	)		(23,301	)		-			1,011			1,011
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		101,444			260,300			361,744			120,519			463,481			584,000
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(6,308	)		(41,608	)		(47,916	)		26,341			(66,548	)		(40,207	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		(310,754	)		(332,663	)		(643,417	)		2,226,558			(2,658,416	)		(431,858	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		78,918			(356,986	)		(278,068	)		756,923			110,042			866,965
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		7,506			(259,157	)		(251,651	)		-			(18,750	)		(18,750	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		25,548			(298,885	)		(273,337	)		(637,224	)		5,649			(631,575	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		-			-			-			(1,081	)		(15,747	)		(16,828	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(23,195	)		166,919			143,724			(14,485	)		27,339			12,854
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		33,241			768,387			801,628			(209,955	)		41,574		��	(168,381	)
Total	$	(93,600	)	$	(116,994	)	$	(210,594	)	$	2,267,596		$	(2,249,646	)	$	17,950

Frontier Global Fund
Frontier Trading Company II LLC	$	-		$	-		$	-		$	-		$	(313,867	)	$	(313,867	)
Frontier Trading Company XXXVIII, LLC		-			(5,077	)		(5,077	)		-			(14,396	)		(14,396	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		309,658			249,122			558,780			211,587			476,520			688,107
Total	$	309,658		$	244,045		$	553,703		$	211,587		$	148,257		$	359,844

Frontier Select Fund
Frontier Trading Company XXXIX, LLC	$	-		$	-		$	-		$	-		$	(24,336	)	$	(24,336	)
Frontier Trading Company XXXVIII, LLC		-			(6,529	)		(6,529	)		-			(1,137	)		(1,137	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		24,954			236,122			261,076			17,422			83,870			101,292
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(17,031	)		(259,074	)		(276,105	)		(77,573	)		8,099			(69,474	)
Total	$	7,923		$	(29,481	)	$	(21,558	)	$	(60,151	)	$	66,496		$	6,345

Frontier Heritage Fund
Frontier Trading Company II, LLC	$	-		$	-		$	-		$	-		$	(54,170	)	$	(54,170	)
Frontier Trading Company XXXVIII, LLC		-			(6,103	)		(6,103	)		-			(2,782	)		(2,782	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		33,962			142,571			176,533			45,575			154,712			200,287
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(29,591	)		273,543			243,952			(85,749	)		19,541			(66,208	)
Total	$	4,371		$	410,011		$	414,382		$	(40,174	)	$	117,301		$	77,127

Frontier Long/Short Commodity Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	(4,706	)	$	(4,706	)	$	-		$	(560	)	$	(560	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		(61,736	)		(33,649	)		(95,385	)		242,599			(307,997	)		(65,398	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		820			(137,741	)		(136,921	)		-			(29,334	)		(29,334	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(6,455	)		111,549			105,094			(38,688	)		(1,661	)		(40,349	)
Total	$	(67,371	)	$	(64,547	)	$	(131,918	)	$	203,911		$	(339,552	)	$	(135,641	)

	Three Months Ended March 31, 2020									Three Months Ended March 31, 2019
	Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Frontier Diversified Fund
Frontier Trading Company II, LLC	$	-		$	-		$	-		$	-		$	(75,905	)	$	(75,905	)
Frontier Trading Company XXXVIII, LLC		-			(1,009	)		(1,009	)		-			(8,593	)		(8,593	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		88,315			152,312			240,627			76,575			227,597			304,172
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(10,522	)		(20,678	)		(31,200	)		14,385			(40,480	)		(26,095	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		(268,381	)		(144,944	)		(413,325	)		1,169,334			(1,421,023	)		(251,689	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		109,016			(298,106	)		(189,090	)		449,932			70,240			520,172
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		3,721			(159,251	)		(155,530	)		-			(7,545	)		(7,545	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(53,371	)		(32,636	)		(86,007	)		(408,500	)		10,691			(397,809	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		-			-			-			(2,615	)		(6,777	)		(9,392	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(12,007	)		134,066			122,059			(10,475	)		30,375			19,900
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(6,567	)		484,523			477,956			(98,965	)		57,554			(41,411	)
Total	$	(149,796	)	$	114,277		$	(35,519	)	$	1,189,671		$	(1,163,866	)	$	25,805

Frontier Masters Fund
Frontier Trading Company II, LLC	$	-		$	-		$	-		$	-		$	(61,450	)	$	(61,450	)
Frontier Trading Company XXXVIII, LLC		-			(6,482	)		(6,482	)		-			223			223
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		28,637			104,600			133,237			48,690			130,340			179,030
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		(248,608	)		88,339			(160,269	)		865,677			(1,066,728	)		(201,051	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(21,114	)		156,235			135,121			(16,211	)		85,443			69,232
Galaxy Plus Fund - TT Feeder Fund (531) LLC		5,948			(102,480	)		(96,532	)		(92,470	)		5,622			(86,848	)
Total	$	(235,137	)	$	240,212		$	5,075		$	805,686		$	(906,550	)	$	(100,864	)

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

	Redemptions	Redemptions	Liquidity
	Notice Period	Permitted	Restrictions

Frontier Diversified Fund
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None

Frontier Masters Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None

Frontier Long/Short Commodity Fund
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None

Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None

Frontier Select Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None

Frontier Heritage Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None

Frontier Global Fund
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None

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

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

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

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

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

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

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

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

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

The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2020. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,629, $296, $31,725, $329,179, $17,777, $151,527 and $58,835 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively

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

Three Months Ended March 31, 2020	Incentive (Rebate) Fees		Management Fee		Service Fee		Trading Fee

Frontier Diversified Fund	$	-	$	-	$	7,707	$	103,933
Frontier Masters Fund		-		-		595		33,055
Frontier Long/Short Commodity Fund		-		-		111		9,640
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

Three Months Ended March 31, 2019	Incentive (Rebate) Fees		Management Fee		Service Fee		Trading Fee

Frontier Diversified Fund	$	-	$	2,668	$	12,029	$	130,304
Frontier Masters Fund		-		5,593		7,486		67,318
Frontier Long/Short Commodity Fund		-		-		162		13,852
Frontier Balanced Fund		-		8,079		170,865		279,337
Frontier Select Fund		-		-		25,505		22,632
Frontier Global Fund		-		29,148		52,123		42,715
Frontier Heritage Fund		-		6,189		23,185		27,093

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

As of March 31, 2020	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees

Frontier Diversified Fund	$	-	$	-	$	-	$	1,861	$	27,725
Frontier Masters Fund		-		-		-		199		9,341
Frontier Long/Short Commodity Fund		-		-		-		-		3,047
Frontier Balanced Fund		-		9,115		1,044		32,629		58,281
Frontier Select Fund		-		-		132		6,344		5,144
Frontier Global Fund		-		-		844		9,787		17,510
Frontier Heritage Fund		-		-		563		5,886		11,151

As of December 31, 2019	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees

Frontier Diversified Fund	$	-	$	-	$	-	$	3,391	$	35,877
Frontier Masters Fund		-		-		-		204		11,673
Frontier Long/Short Commodity Fund		-		-		-		-		3,468
Frontier Balanced Fund		-		8,795		105		41,635		70,179
Frontier Select Fund		-		-		-		6,906		6,000
Frontier Global Fund		-		-		56		11,263		22,540
Frontier Heritage Fund		-		-		166		5,362		11,170

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

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

Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) 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.

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

Three Months Ended	March 31, 2020		March 31, 2019		March 31, 2020			March 31, 2019
	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		5		6		0.01	%		0.00	%
Frontier Long/Short Commodity Fund Class 3		114		127		0.01	%		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		2,221		1,731		0.01	%		0.01	%
Frontier Balanced Fund Class 1AP		31		26		0.01	%		0.01	%
Frontier Balanced Fund Class 2		425		323		0.01	%		0.01	%
Frontier Balanced Fund Class 2a		5		4		0.00	%		0.00	%
Frontier Balanced Fund Class 3a		23		13		0.00	%		0.00	%
Frontier Select Fund Class 1		779		859		0.03	%		0.01	%
Frontier Select Fund Class 1AP		3		-		0.03	%		0.00	%
Frontier Select Fund Class 2		26		30		0.03	%		0.01	%
Frontier Global Fund Class 1		1,217		18,729		0.03	%		0.27	%
Frontier Global Fund Class 1AP		11		84		0.03	%		0.27	%
Frontier Global Fund Class 2		111		1,034		0.03	%		0.26	%
Frontier Heritage Fund Class 1		728		2,228		0.03	%		0.07	%
Frontier Heritage Fund Class 1AP		3		1		0.03	%		0.10	%
Frontier Heritage Fund Class 2		170		414		0.03	%		0.07	%

Total	$	5,872	$	25,609

7. Financial Highlights

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

For the three months ended March 31, 2020

	Frontier Diversified Fund									Frontier Masters Fund									Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 1a			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2019	$	101.10		$	121.58		$	113.61		$	72.28		$	87.18		$	81.78		$	44.20		$	81.60		$	52.55		$	85.64		$	55.31
Net operating results:
Interest income		0.00			0.00			0.00			0.03			0.04			0.04			0.02			0.04			0.03			0.04			0.03
Expenses		(1.77	)		(1.11	)		(1.02	)		(4.46	)		(1.32	)		(1.24	)		(0.75	)		(0.59	)		(0.38	)		(0.62	)		(0.40	)
Net gain/(loss) on investments, net of non-controlling interests		(20.18	)		(24.87	)		(23.20	)		3.49			0.27			0.31			4.21			7.61			4.77			7.94			5.08
Net income/(loss)		(21.95	)		(25.98	)		(24.22	)		(0.95	)		(1.01	)		(0.89	)		3.49			7.06			4.42			7.36			4.71
Net asset value, March 31, 2020	$	79.15		$	95.60		$	89.39		$	71.34		$	86.18		$	80.89		$	47.69		$	88.66		$	56.98		$	93.01		$	60.02

Ratios to average net assets
Net investment income/(loss)		-7.11	%		-3.68	%		-3.68	%		-24.52	%		-5.87	%		-5.87	%		-6.43	%		-2.64	%		-2.64	%		-2.64	%		-2.64	%
Expenses before incentive fees (3)(4)		7.11	%		3.68	%		3.68	%		24.70	%		6.05	%		6.05	%		6.62	%		2.83	%		2.83	%		2.83	%		2.83	%
Expenses after incentive fees (3)(4)		7.11	%		3.68	%		3.68	%		24.70	%		6.05	%		6.05	%		6.62	%		2.83	%		2.83	%		2.83	%		2.83	%
Total return before incentive fees (2)		-21.71	%		-21.37	%		-21.32	%		-1.31	%		-1.15	%		-1.09	%		7.89	%		8.65	%		8.40	%		8.60	%		8.52	%
Total return after incentive fees (2)		-21.71	%		-21.37	%		-21.32	%		-1.31	%		-1.15	%		-1.09	%		7.89	%		8.65	%		8.40	%		8.60	%		8.52	%

Incentive fee per share		-			-			-			-			-			-
Incentive Fee to ANA		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

	Frontier 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 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	%

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

For the three months ended March 31, 2019

	Frontier Diversified Fund									Frontier Masters Fund									Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 1a			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2018	$	102.25		$	120.84		$	112.62		$	91.10		$	107.68		$	100.77		$	56.80		$	98.82		$	66.52		$	103.66		$	69.83
Net operating results:
Interest income		0.03			0.04			0.04			0.01			0.01			0.01			0.02			0.03			0.02			0.03			0.02
Expenses		(1.63	)		(1.05	)		(0.98	)		(1.69	)		(1.46	)		(1.37	)		(0.77	)		(0.59	)		(0.37	)		(0.62	)		(0.39	)
Net gain/(loss) on investments, net of non-controlling interests		0.19			(0.14	)		(0.06	)		(1.23	)		(1.54	)		(1.37	)		(5.90	)		(4.59	)		(7.21	)		(4.82	)		(7.49	)
Net income/(loss)		(1.41	)		(1.15	)		(1.00	)		(2.91	)		(2.99	)		(2.73	)		(6.66	)		(5.15	)		(7.56	)		(5.41	)		(7.87	)
Net asset value, March 31, 2019	$	100.84		$	119.69		$	111.62		$	88.19		$	104.69		$	98.04		$	50.14		$	93.67		$	58.96		$	98.25		$	61.96

Ratios to average net assets
Net investment income/(loss)		-6.58	%		-3.51	%		-3.51	%		-8.08	%		-5.87	%		-5.87	%		-6.28	%		-2.46	%		-2.46	%		-2.46	%		-2.46	%
Expenses before incentive fees (3)(4)		6.71	%		3.64	%		3.64	%		8.14	%		5.93	%		5.93	%		6.41	%		2.60	%		2.60	%		2.60	%		2.60	%
Expenses after incentive fees (3)(4)		6.71	%		3.64	%		3.64	%		8.14	%		5.93	%		5.93	%		6.41	%		2.60	%		2.60	%		2.60	%		2.60	%
Total return before incentive fees (2)		-1.38	%		-0.95	%		-0.89	%		-3.19	%		-2.78	%		-2.71	%		-11.73	%		-5.21	%		-11.37	%		-5.22	%		-11.27	%
Total return after incentive fees (2)		-1.38	%		-0.95	%		-0.89	%		-3.19	%		-2.78	%		-2.71	%		-11.73	%		-5.21	%		-11.37	%		-5.22	%		-11.27	%

	Frontier Balanced Fund															Frontier Select Fund
	Class 1			Class 1AP			Class 2			Class 2a			Class 3a			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2018	$	117.63		$	134.16		$	180.94		$	156.81		$	156.26		$	71.41		$	82.48		$	108.18
Net operating results:
Interest income		0.04			0.05			0.07			0.06			0.06			0.00			0.00			0.00
Expenses		(1.97	)		(1.29	)		(1.74	)		(1.51	)		(1.51	)		(0.92	)		(0.49	)		(0.65	)
Net gain/(loss) on investments, net of non-controlling interests		(0.82	)		(0.91	)		(1.22	)		(1.09	)		(1.03	)		0.27			0.31			0.46
Net income/(loss)		(2.74	)		(2.15	)		(2.90	)		(2.54	)		(2.49	)		(0.65	)		(0.18	)		(0.19	)
Net asset value, March 31, 2019	$	114.89		$	132.01		$	178.04		$	154.27		$	153.78		$	70.76		$	82.30		$	107.99

Ratios to average net assets
Net investment income/(loss)		-6.90	%		-3.90	%		-3.90	%		-3.90	%		-3.90	%		-5.58	%		-2.58	%		-2.58	%
Expenses before incentive fees (3)(4)		7.06	%		4.06	%		4.06	%		4.06	%		4.06	%		5.58	%		2.58	%		2.58	%
Expenses after incentive fees (3)(4)		7.06	%		4.06	%		4.06	%		4.06	%		4.06	%		5.58	%		2.58	%		2.58	%
Total return before incentive fees (2)		-2.33	%		-1.60	%		-1.60	%		-1.62	%		-1.59	%		-0.91	%		-0.22	%		-0.18	%
Total return after incentive fees (2)		-2.33	%		-1.60	%		-1.60	%		-1.62	%		-1.59	%		-0.91	%		-0.22	%		-0.18	%

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

Ratios to average net assets
Net investment income/(loss)		-6.91	%		-3.91	%		-3.91	%		-6.63	%		-3.63	%		-3.63	%
Expenses before incentive fees (3)(4)		6.91	%		3.91	%		3.91	%		6.63	%		3.63	%		3.63	%
Expenses after incentive fees (3)(4)		6.91	%		3.91	%		3.91	%		6.63	%		3.63	%		3.63	%
Total return before incentive fees (2)		3.62	%		4.39	%		4.44	%		-0.15	%		0.59	%		0.61	%
Total return after incentive fees (2)		3.62	%		4.39	%		4.44	%		-0.15	%		0.59	%		0.61	%

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

8. Derivative Instruments and Hedging Activities

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

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

For the Three Months ended March 31, 2020

Monthly average contracts:

	Bought		Sold

Frontier Balanced Fund		628		625

For the Three Months ended March 31, 2019

Monthly average contracts:

	Bought		Sold

Frontier Balanced Fund		251		306

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

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2020

Type of contract	Frontier Balanced Fund

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

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2019

Type of contract	Frontier Balanced Fund

Agriculturals	$	(45,090	)
Currencies		(118,064	)
Energies		(29,682	)
Interest rates		235,633
Metals		(4,975	)
Stock indices		(33,296	)
Realized trading income/(loss)⁽¹⁾	$	4,526

(1)

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

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

for the Three Months Ended March 31, 2020

Type of contract	Frontier Balanced 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	)

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

for the Three Months Ended March 31, 2019

Type of contract	Frontier Balanced Fund

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

(1)

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

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 FCMs are subject to master netting arrangements and collateral arrangements and meet the GAAP guidance to qualify for offset. A master netting arrangement with a counterparty creates a right of offset for amounts due to and from that same counterparty that is enforceable in the event of a default or bankruptcy. The Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the statements of financial condition.

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

As of March 31, 2020

	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	53,568	$	(51,460	)	$	2,108
Swap Contracts		7,285,942		-		$	7,285,942

Frontier Diversified Fund
Swap Contracts	$	4,742,032	$	-		$	4,742,032

Frontier Long/Short Commodity Fund
Swap Contracts	$	613,963	$	-		$	613,963

Frontier Heritage Fund
Swap Contracts	$	3,094,855	$	-		$	3,094,855

As of December 31, 2019

	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	154,778	$	(38,594	)	$	116,184
Swap Contracts		11,944,753		-		$	11,944,753

Frontier Diversified Fund
Swap Contracts	$	6,384,583	$	-		$	6,384,583

Frontier Long/Short Commodity Fund
Swap Contracts	$	362,521	$	-		$	362,521

Frontier Heritage Fund
Swap Contracts	$	2,888,009	$	-		$	2,888,009

9. Trading Activities and Related Risks

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

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

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

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

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

10. Indemnifications and Guarantees noted in Management Discussion and Analysis

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

11. Subsequent Events

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

From April 1, 2020 through May 11, 2020, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Global Fund paid $231,875, $1,310,939, $4,062, $28,760, $131,595, $30,786 and $127,159, respectively, in redemptions.

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

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

Frontier Funds

Consolidated Statements of Financial Condition

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

	March 31, 2020		December 31, 2019

ASSETS

Cash and cash equivalents	$	2,284,405	$	367,568
U.S. Treasury securities, at fair value		207,675		650,728
Receivable from futures commission merchants		145,332		2,526,242
Open trade equity, at fair value		2,108		116,184
Swap contracts, at fair value		15,736,792		21,579,865
Investments in private investment companies, at fair value		31,029,355		35,926,037
Interest receivable		1,986		13,363
Receivable from related parties		11,453		11,453
Redemptions receivable from private investment companies		1,652,017		552,017
Other assets		6,163		5,700

Total Assets	$	51,077,286	$	61,749,157

LIABILITIES & CAPITAL

LIABILITIES
Redemptions payable	$	-	$	133,633
Management fees payable to Managing Owner		9,115		8,795
Interest payable to Managing Owner		2,583		327
Trading fees payable to Managing Owner		132,199		160,907
Service fees payable to Managing Owner		56,706		68,762
Risk analysis fees payable		9,971		8,465
Advance on unrealized Swap Appreciation		12,191,555		12,191,555
Subscriptions in advance for service fee rebates		611,968		598,042
Other liabilities		21,659		22,078

Total Liabilities		13,035,756		13,192,564

OWNERS CAPITAL
Managing Owner Units		416,567		487,974
Limited Owner Units		37,624,963		48,068,619

Total Owners Capital		38,041,530		48,556,593

Total Liabilities and Owners Capital	$	51,077,286	$	61,749,157

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

Frontier Funds

Consolidated Condensed Schedule of Investments

March 31, 2020 (unaudited)

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

U.S. TREASURY SECURITIES

FACE VALUE

			Fair Value

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

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

(1)

See Notes to Consolidated Financial Statements, Note 4.

(2)

See Notes to Consolidated Financial Statements, Note 5.

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

Frontier Funds

Consolidated Condensed Schedule of Investments

December 31, 2019

				% of Total Capital
Description	Fair Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(3,344	)		-0.01	%
Various agriculture futures contracts (U.S.)		22,437			0.05	%
Various soft futures contracts (Far East)		709			0.00	%
Various energy futures contracts (U.S.)		(735	)		0.00	%
Various soft futures contracts (U.S.)		1,740			0.00	%
Various interest rates futures contracts (Europe)		(2,763	)		-0.01	%
Various precious metal futures contracts (U.S.)		45,590			0.09	%
Various stock index futures contracts (Europe)		(2,506	)		-0.01	%
Various stock index futures contracts (Far East)		(7,157	)		-0.01	%
Various stock index futures contracts (Oceanic)		(21,237	)		-0.04	%
Various stock index futures contracts (U.S.)		21,385			0.04	%
Total Long Futures Contracts	$	54,119			0.10	%
SHORT FUTURES CONTRACTS *
Various base metals futures contracts (U.S.)	$	(6,369	)		-0.01	%
Various agriculture futures contracts (U.S.)		(1,410	)		0.00	%
Various energy futures contracts (U.S.)		3,380			0.01	%
Various interest rates futures contracts (Europe)		9,572			0.02	%
Various interest rates futures contracts (Far East)		1,104			0.00	%
Various soft futures contracts (U.S.)		(3,340	)		-0.01	%
Total Short Futures Contracts	$	2,937			0.01	%
CURRENCY FORWARDS *
Various currency forwards contracts (NA)		59,128			0.12	%
Total Currency Forwards	$	59,128			0.12	%
Total Open Trade Equity (Deficit)	$	116,184			0.23	%
SWAPS (1)
Frontier Brevan Howard swap (U.S.)	$	2,888,008			5.95	%
Frontier XXXIV Balanced select swap (U.S.)		11,944,753			24.60	%
Frontier XXXV Diversified select swap (U.S.)		6,384,583			13.15	%
Frontier XXXVII L/S select swap (U.S.)		362,521			0.75	%
Total Swaps	$	21,579,865			44.45	%
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	1,484,422			3.06	%
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		3,180,963			6.55	%
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		4,620,630			9.52	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		4,016,291			8.27	%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		157,773			0.32	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,032,745			2.13	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		12,052,434			24.82	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		6,565,468			13.52	%
Galaxy Plus Fund - TT Feeder Fund (531) LLC		1,821,275			3.75	%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		994,036			2.05	%
Total Private Investment Companies	$	35,926,037			73.99	%

U.S. TREASURY SECURITIES

FACE VALUE

			Fair Value

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

(1)

See Notes to Consolidated Financial Statements, Note 4.

(2)

See Notes to Consolidated Financial Statements, Note 5.

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

Frontier Funds

Consolidated Statements of Operations

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

	March 31, 2020			March 31, 2019
Investment income:
Interest - net	$	7,982		$	44,172

Total Income		7,982			44,172

Expenses:
Management Fees		(5,020	)		51,677
Risk analysis Fees		(1,506	)		6,692
Service Fees - Class 1		(202,335	)		291,355
Due Diligence Fees		(4,132	)		-
Trading Fees		(443,896	)		583,251
Total Expenses		(656,889	)		932,975

Investment income/(loss) - net		(648,907	)		(888,803	)

Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		642,235			(1,277,349	)
Net unrealized gain/(loss) on private investment companies		792,691			2,834,733
Net realized gain/(loss) on private investment companies		(219,121	)		(1,920,406	)
Net change in open trade equity/(deficit)		(25,719	)		525,552
Net unrealized gain/(loss) on swap contracts		(7,490,918	)		(349,464	)
Net realized gain/(loss) on U.S. Treasury securities		39,967			103,338
Net unrealized gain/(loss) on U.S. Treasury securities		12,311			(85,272	)
Trading commissions		(8,375	)		(11,073	)

Net gain/(loss) on investments		(6,256,929	)		(179,941	)

NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(6,905,836	)	$	(1,068,744	)

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

Frontier Funds

Consolidated Statements of Changes in Owners’ Capital

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

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2019	$	487,974		$	48,068,619		$	48,556,593

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

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

Frontier Funds

Consolidated Statements of Cash Flows

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

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

Net cash provided by operating activities		5,659,698			4,653,523
Cash Flows from Financing Activities:

Proceeds from sale of capital
Payment for redemption of capital		(3,609,228	)		(6,030,355	)
Redemptions payable		(133,633	)		65,936

Net cash used in financing activities		(3,742,861	)		(5,964,419	)

Net increase (decrease) in cash and cash equivalents		1,916,837			(1,310,896	)

Cash and cash equivalents, beginning of period		367,568			1,729,879
Cash and cash equivalents, end of period	$	2,284,405		$	418,983

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

Frontier Funds

Notes to Consolidated Financial Statements

1. Organization and Purpose

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

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

The Trust has been organized to pool investor funds for the purpose of ~~this Amendment No.~~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:

●

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

●

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

●

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

●

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

As of March 31, 2020, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund Frontier Global Fund and Frontier Heritage Fund separates Units into a maximum of three separate Classes- 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, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus entities, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus entities, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

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

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 to of the investment level of the private investment companies is shown in the statements of operations as net unrealized gain/(loss) on private investment companies. The Trading Companies and Series of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in consolidation.

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

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

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

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

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

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

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

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

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

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

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

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 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the quarter ended March 31, 2020. The 2016 through 2019 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the commodity trading advisors up to 10% of new net profits. 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.

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

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.

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.

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

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

Level 3 Inputs

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

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 March 31, 2020 and December 31,2019, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

March 31, 2020	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	2,108	$	-	$	-	$	2,108
Swap Contracts		-		-		15,736,792		15,736,792
U.S. Treasury Securities		207,675		-		-		207,675

December 31, 2019	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	57,056	$	59,128	$	-	$	116,184
Swap Contracts		-		-		21,579,865		21,579,865
U.S. Treasury Securities		650,728		-		-		650,728

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

Swaps

	For the Three Months ended March 31, 2020

Balance of recurring Level 3 assets as of January 1, 2019		21,579,865
Total gains or losses (realized/unrealized):
Included in earnings-realized		-
Included in earnings-unrealized		(7,490,918	)
Proceeds from collateral reduction		-
Purchase of investments		1,647,845
Sale of investments		-
Transfers in and/or out of Level 3		-

Balance of recurring Level 3 assets as of March 31, 2020		15,736,792

	For the Year ended December 31, 2019

Balance of recurring Level 3 assets as of January 1, 2019		20,149,868
Total gains or losses (realized/unrealized):
Included in earnings-realized		-
Included in earnings-unrealized		1,429,997
Proceeds from collateral reduction		-
Purchase of investments		-
Sale of investments		-
Transfers in and/or out of Level 3		-

Balance of recurring Level 3 assets as of December 31, 2019		21,579,865

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 three months ended March 31, 2020 and December 31, 2019, the Trust did not transfer any assets between Levels 1, 2 and 3.

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

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2019: Swaps $1,429,997

4. Swap Contracts

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

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

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

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

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

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

	XXXIV Balanced select swap			XXXV Diversified select swap			XXXVII L/S select swap			Brevan Howard
	Total Return Swap			Total Return Swap			Total Return Swap			Total Return Swap
Counterparty	DeutscheBank AG			DeutscheBank AG			DeutscheBank AG			DeutscheBank AG
Notional Amount	$	7,420,403		$	1,761,834		$	653,610		$	2,072,056
Termination Date		7/31/2023			7/31/2023			7/31/2023			3/27/2023
Cash Collateral	$	1,264,696		$	555,147		$	29,950		$	975,450
Swap Value	$	6,021,245		$	4,186,885		$	584,013		$	2,119,405
Investee Returns	Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	0		$	0		$	0		$	0
Change in Unrealized Gain/(Loss)	$	(5,837,509	)	$	(2,111,698	)	$	251,441		$	206,846
Fair Value as of March 31, 2020	$	7,285,941		$	4,742,032		$	613,963		$	3,094,855
Advance on swap appreciation	$	(6,176,555	)	$	(4,000,000	)	$	(115,000	)	$	(1,900,000	)

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

	XXXIV Balanced select swap			XXXV Diversified select swap			XXXVII L/S select swap			Brevan Howard
	Total Return Swap			Total Return Swap			Total Return Swap			Total Return Swap
Counterparty	DeutscheBank AG			DeutscheBank AG			DeutscheBank AG			DeutscheBank AG
Notional Amount	$	7,420,403		$	1,761,834		$	653,610		$	2,072,056
Termination Date		7/31/2023			7/31/2023			7/31/2023			3/27/2023
Cash Collateral	$	86,000		$	86,000		$	29,950		$	975,450
Swap Value	$	11,858,754		$	6,298,583		$	332,571		$	1,912,559
Investee Returns	Total Returns			Total Returns			Total Returns			Total Returns
Realized Gain/(Loss)	$	0		$	0		$	0		$	0
Change in Unrealized Gain/(Loss)	$	1,149,846		$	464,169		$	(116,581	)	$	(67,435	)
Fair Value as of December 31, 2019	$	11,944,754		$	6,384,583		$	362,521		$	2,888,009
Advance on swap appreciation	$	(6,176,555	)	$	(4,000,000	)	$	(115,000	)	$	(1,900,000	)

5. Investments in Private Investment Companies

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

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

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

	Three Months Ended March 31, 2020									Three Months Ended March 31, 2019
	Realized Gain/(Loss)			Change in Unrealized			Net Income (Loss) Gain/(Loss)			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		562,016			908,905			1,470,921			502,946			1,452,650			1,955,596
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(16,830	)		(62,286	)		(79,116	)		40,726			(107,028	)		(66,302	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		(889,479	)		(422,917	)		(1,312,396	)		4,504,168			(5,454,164	)		(949,996	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		187,934			(655,091	)		(467,157	)		1,206,855			180,282			1,387,137
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		12,047			(556,149	)		(544,102	)		-			(55,629	)		(55,629	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(27,823	)		(331,521	)		(359,344	)		(1,045,724	)		16,340			(1,029,384	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		-			-			-			(3,696	)		(22,524	)		(26,220	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(35,202	)		300,986			265,784			(24,960	)		57,714			32,754
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		-			-			-			-			(31,483	)		(31,483	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(11,083	)		(361,554	)		(372,637	)		(170,043	)		13,721			(156,322	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(5,532	)		2,030,359			2,024,827			(432,146	)		286,321			(145,825	)
Total	$	(223,952	)	$	850,732		$	626,780		$	4,578,126		$	(3,663,800	)	$	914,326

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

	Redemptions	Redemptions	Liquidity
	Notice Period	Permitted	Restrictions

Frontier Funds
Multi-Strategy
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None

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

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

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

6. Transactions with Affiliates

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

Expenses

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

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

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

As of December 31, 2019, the Trust had a payable to the Managing Owner in the amounts of $0, $8,795, $327, $160,907, and $68,762 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended March 31, 2020, the Managing Owner earned $0, $5,020, $202,335 and $443,896 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended March 31, 2019 the Managing Owner earned $0, $51,677, $291,355 and $583,251 for incentive fees, management fees, service fees, and trading fees, respectively.

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

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

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

During the three months ended March 31, 2020 and March 31, 2019 and, the Trust paid $5,872, and $25,609, 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.

7. Financial Highlights

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

Three months ended March 31

	2020			2019

Ratios to average net assets (1)
Net investment income/(loss) (1)		-5.77	%		-5.42	%
Expenses before incentive fees (3) (4)		5.84	%		5.69	%
Expenses after incentive fees (3) (4)		5.84	%		5.69	%

Total return before incentive fees (2)		-15.26	%		-1.61	%
Total return after incentive fees (2)		-15.26	%		-1.61	%

(1)

Annualized with the exception of incentive fees.

(2)

Total returns are not annualized.

(3)

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

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 March 31, 2020 and December 31, 2019 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.

For the three months ended March 31, 2020 and March 31, 2019, the monthly average of futures, forwards and options contracts bought was approximately 628, and 274, respectively and sold was approximately 625, and 1,348, respectively.

The following tables summarize the trading revenues for the three months ended March 31, 2020 and March 31, 2019 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2020

Type of contract
Agriculturals	$	75,122
Currencies		106,325
Energies		35,710
Interest rates		88,571
Metals		313,738
Stock indices		22,769
Realized trading income/(loss)⁽¹⁾	$	642,235

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2019

Type of contract
Agriculturals	$	(59,562	)
Currencies		(500,661	)
Energies		(584,896	)
Interest rates		552,670
Metals		(617,340	)
Stock indices		(67,560	)
Realized trading income/(loss)⁽¹⁾	$	(1,277,349	)

(1)

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

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

for the Three Months Ended March 31, 2020

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

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

for the Three Months Ended March 31, 2019

Type of contract
Agriculturals	$	(79,579	)
Currencies		87,240
Energies		221,050
Interest rates		(234,353	)
Metals		484,455
Stock indices		46,739
Change in unrealized trading income/(loss)⁽¹⁾	$	525,552

(1)

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

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

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 March 31, 2020 and December 31, 2019:

As of March 31, 2020

	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)	$	53,568	$	(51,460	)	$	2,108
Swap Contracts	$	15,736,792		-		$	15,736,792

As of December 31, 2019

	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition

Open Trade Equity/(Deficit)	$	154,778	$	(38,594	)	$	116,184
Swap Contracts		21,579,866		-			21,579,866

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 margin- to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

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 Macquarie Futures USA LLC. The Trust has not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

11. Subsequent Events

From April 1, 2020 through May 11, 2020, the Trust paid $ 1,865,176 in redemptions.

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

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

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

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 2019 Annual Report on Form 10-K for the year ended December 31, 2019.

Overview

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

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

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

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

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)

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 adoptedAccounting Standard Codification (“ASC”) 820,Fair Value Measurements and Disclosure, and implemented the framework for measuring fair value for assets and liabilities.

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

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

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

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
Beach Horizon	Systematic	Trading Company
BH-DG Systematic Trading LLP	Systematic	Swap
Crabel Capital Partners LLPC	Systematic	Swap
Doherty Advisors, LLC	Discretionary	Galaxy Plus
Fort, L.P.	Systematic	Galaxy Plus
H2O Asset Management	Systematic	Swap
J E Moody & Company	Systematic	Swap
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

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

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

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

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

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

Advisor	Frontier Diversified Fund			Frontier Long/Short Commodity Fund			Frontier Masters Fund			Frontier Balanced Fund			Frontier Select Fund			Frontier Global Fund			Frontier Heritage Fund
Aspect Capital Limited		29	%		—			73	%		23	%		—			100	%		56	%
BH-DG Systematic Trading LLP		—			—			—			—			40	%		—			23	%
Crabel Capital Partners, LLPC		7	%		—			—			8	%		—			—			—
Doherty		10	%		—			10	%		8	%		20	%		—			—
Fort, L.P.		17	%		—			—			14	%		—			—			—
H2O Asset Management		3	%		—			—			3	%		—			—			—
J E Moody & Company		—			36	%		—			—			—			—			—
Quantitative Investment Management, LLC		10	%		—			—			15	%		—			—			—
Quest Partners, LLC		9	%		—			—			5	%		—			—			—
Rosetta Capital Management, LLC		—			41	%		—			—			—			—			—
Welton Investment Partners LLC		15	%		23	%		17	%		15	%		40	%		—			21	%
Wimmer Horizon		—			—			—			9	%		—			—			—

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

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

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, 2020, cash deposited at the clearing brokers was $1,322,883 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. As of March 31, 2020, with the Federal Funds target rate at 0.00 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, 2020, total cash and cash equivalents held at banking institutions were $229,432 for the Frontier Diversified Fund, $126,375 for the Frontier Long/Short Commodity Fund, $176,877 for the Frontier Masters Fund, $1,214,004 for the Frontier Balanced Fund, $137,502 for the Frontier Select Fund, $248,015 for the Frontier Global Fund, and $152,200 for the Frontier Heritage Fund.

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

Series Returns and Other Information

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

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

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

Frontier Diversified Fund

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

For the three months ended March 31, 2020, the Frontier Diversified Fund recorded net loss on investments of $2,140,625, net investment loss of $111,606, and total expenses of $111,640 resulting in a net decrease in Owners’ capital from operations of $2,251,871. For the three months ended March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $66,078, net investment loss of $137,867, and total expenses of $142,735 resulting in a net decrease in Owners’ capital from operations of $203,945.

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

Frontier Masters Fund

The Frontier Masters Fund—Class 1 NAV lost 1.31% and lost 3.19% for the three months ended March 31, 2020 and 2019 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 1.15% and lost 2.78% for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 1.09% and lost 2.71% for the three months ended March 31, 2020 and 2019, net of fees and expenses.

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

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

Frontier Long/Short Commodity Fund

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

For the three months ended March 31, 2020, the Frontier Long/Short Commodity Fund recorded net gain on investments of $122,801, net investment loss of $9,104, and total expenses of $9,751, resulting in a net increase in Owners’ capital from operations of $113,697. For the three months ended March 31, 2019, the Frontier Long/Short Commodity Fund recorded net loss on investments of $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.

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

Frontier Balanced Fund

The Frontier Balanced Fund—Class 1 NAV lost 26.62% and lost 2.33%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 26.08% and lost 1.60%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV lost 26.06% and lost 1.62%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV lost 26.07% and lost 1.59%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV lost 26.08% and lost 1.60% for the three months ended March 31, 2020 and 2019, net of fees and expenses.

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. For the three months ended March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $273,490, net investment loss of $445,648, and total expenses of $457,008, resulting in a net decrease in Owners’ capital from operations of $719,138.

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

Frontier Select Fund

The Frontier Select Fund—Class 1 NAV gained 1.39% and lost 0.91%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 2.13% and lost 0.21% respectively for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV gained 1.89% and lost 0.18%, respectively, for the three months ended March 31, 2020 and 2019.

For the three months ended March 31, 2020, the Frontier Select Fund recorded net gain on investments of $81,804, net investment loss of $37,115 and total expenses of $37,115, 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.

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

Frontier Global Fund

The Frontier Global Fund—Class 1 NAV gained 10.99% and gained 3.63%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Global Fund —Class 2 NAV gained 11.83% and gained 4.43%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Global Fund —Class 1AP NAV gained 12.08% and gained 4.39%, respectively, for the three months ended March 31, 2020 and 2019.

For the three months ended March 31, 2020, the Frontier Global Fund recorded net gain on investments of $559,705, net investment loss of $85,996, 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.

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

Frontier Heritage Fund

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

For the three months ended March 31, 2020, the Frontier Heritage Fund recorded net gain on investments of $627,072, net investment loss of $47,918, and total expenses of $47,918, resulting in a net increase in Owners’ capital from operations of $478,867, after non-controlling interests of $100,287. For the three months ended March 31, 2019, the Frontier Heritage Fund recorded net 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.

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

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

Frontier Diversified Fund

2020

For the three months ended March 31, 2020, the Frontier Diversified Fund recorded net loss on investments of $2,140,265, net investment loss of $111,606, and total expenses of $111,640 resulting in a net decrease in Owners’ capital from operations of $2,251,871. For the three months ended March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $66,078, net investment loss of $137,867, and total expenses of $142,735 resulting in a net decrease in Owners’ capital from operations of $203,945.

The NAV per Unit, Class 1, decreased from $101.10 at December 31, 2019 to $79.15 as of March 31, 2020. The NAV per Unit, Class 2, decreased from $121.58 at December 31, 2019 to $95.60 as of March 31, 2020. The NAV per Unit, Class 3 decreased from $113.61 at December 31, 2019 to $89.39 as of March 31, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $589,750, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,274,585, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $(369,037), respectively. Ending capital at March 31, 2020 was $572,402 for Class 1, $3,397,113 for Class 2 and $4,282,935 for Class 3. Ending capital at December 31, 2019, is $1,303,195 for Class 1 and $5,600,851 for Class 2 and $5,095,574 for Class 3.

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

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

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

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

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

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

Three of the six sectors traded in the Frontier Diversified Fund were profitable in Q1 2020. Metals, Energies and Interest Rates were profitable while Currencies, Agriculturals and Stock Indices finished negative for the quarter.

Metals, Energies and Interest Rate sectors were positive year-to-date (“YTD”) while Currencies, Agriculturals and Stock Indices were 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. Emil Van Essen, Fort, H2O 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.

2019

The Frontier Diversified Fund— Class 1 NAV lost 1.38% and lost 8.49%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 0.95% and lost 8.08%, respectively for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 0.90% and lost 8.03%, respectively for the three months ended March 31, 2019 and 2018.

For the three months ended March 31, 2019, the Frontier Diversified Fund recorded net loss on investments of $66,078, net investment loss of $137,867, and total expenses of $142,735 resulting in a net decrease in Owners’ capital from operations of $203,945. The NAV per Unit, Class 1, decreased from $102.25 at December 31, 2018 to $100.84 as of March 31, 2019. The NAV per Unit, Class 2, decreased from $120.84 at December 31, 2018 to $119.69 as of March 31, 2019. The NAV per Unit, Class 3 decreased from $112.62 at December 31, 2018 to $111.62 as of March 31, 2019. Total Class 1 subscriptions and redemptions for the period were $0 and $37,231, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,394,381, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $343,798, respectively. Ending capital at March 31, 2019 was $1,583,757 for Class 1, $6,166,872 for Class 2 and $6,426,526 for Class 3. Ending capital at December 31, 2018 was $1,703,556 for Class 1, $7,672,754 for Class 2 and $6,780,200 for Class 3.

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

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

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

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

Two sectors which traded in the Frontier Diversified Fund were profitable in Q1 2019 and two were profitable YTD. Energies and Interest Rates were profitable for Q1 2019 while Metals, Currencies, Agriculturals and Stock Indices finished negative for the quarter. Energies and Interest Rates were profitable YTD while Metals, Currencies, Agriculturals and Stock Indices finished negative YTD. In terms of major CTA performance, Aspect, H20 and Fort finished positive for the quarter. Crabel, Emil Van Essen, QIM and Quantmetrics, Quest, Welton and Winton were negative for the quarter.

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

Frontier Masters Fund

2020

The NAV per Unit, Class 1, decreased from $72.28 at December 31, 2019 to $71.34 as of March 31, 2020. The NAV per Unit, Class 2, decreased from $87.18 at December 31, 2019 to $86.18 as of March 31, 2020. The NAV per Unit, Class 3, decreased from $81.78 at December 31, 2019 to $80.89 as of March 31, 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, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $119,501, respectively. Ending capital at March 31, 2020 was $12,591 for Class 1, $841,014 for Class 2 and $1,242,724 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 Commodities sectors.

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

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

2019

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

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

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

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

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

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

Frontier Long/Short Commodity Fund

2020

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

The NAV per Unit, Class 2, increased from $81.60 as of December 31, 2019 to $88.66 at March 31, 2020. The NAV per Unit, Class 3, increased from $85.64 as of December 31, 2019 to $93.01 at March 31, 2020. The NAV per Unit, Class 1a, increased from $44.20 as of December 31, 2019 to $47.69 at March 31, 2020. The NAV per Unit, Class 2a, increased from $52.55 as of December 31, 2019 to $56.98 at March 31, 2020. The NAV per Unit, Class 3a, increased from $55.31 as of December 31, 2019 to $60.02 at March 31, 2020. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $1,422, respectively. Total Class 3 subscriptions and redemptions for the three months were $0 and $8,248, respectively. Total Class 1a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $0, respectively.

Ending capital at March 31, 2020, is $43,043 for Class 2, $1,068,324 for Class 3, $12,359 for Class 1a, $88,732 for Class 2a and $225,859 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 invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

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

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

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

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

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

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

2019

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

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

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

None of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1 2019 and none of the seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished negative for the quarter. Energies, Base Metals, Grains, Meats, Precious Metals Softs and Financials were negative YTD.

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

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

Frontier Balanced Fund

2020

The Frontier Balanced Fund—Class 1 NAV lost 26.62% and lost 2.33%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 26.08% and lost 1.60%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 26.06% and lost 1.62%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 26.07% and lost 1.59%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 26.08% and lost 1.60% for the three months ended March 31, 2020 and 2019, net of fees and expenses.

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. For the three months ended March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $273,490 net investment loss of $445,648, and total expenses of $457,008, resulting in a net decrease in Owners’ capital from operations of $719,138.

The NAV per Unit, Class 1, decreased from $117.23 as of December 31, 2019 to $86.02 at March 31, 2020. The NAV per Unit, Class 1AP, decreased from $137.81 as of December 31, 2019 to $101.87 at March 31, 2020. The NAV per Unit, Class 2, decreased from $185.82 as of December 31, 2019 to $137.37 at March 31, 2020. For Class 2a, the NAV per Unit decreased from $161.04 as of December 31, 2019 to $119.07 at March 31, 2020. For Class 3a, the NAV per Unit decreased from $160.50 as of December 31, 2019 to $118.66 at March 31, 2020. Total Class 1 subscriptions and redemptions for the three months were $0 and $854,782, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $65,517, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $0, respectively. Ending capital at March 31, 2020, was $12,405,891 for Class 1, $176,344 for Class 1 AP, $2,438,379 for Class 2, $144,303 for Class 2a and $665,828 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 invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees are said to be embedded.

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

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

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

Four of the six sectors traded in the Frontier Balanced Fund were profitable in Q1 2020 and four of the six were profitable YTD. Metals, Energies, Agriculturals and Interest Rates were profitable for Q1 2020 while Currencies and Stock Indices finished negative for the quarter. Metals, Energies, Agriculturals and Interest Rates were positive YTD while Currencies 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, Fort LP (GC), H2O AM and Quantitative Investment Management were negative for the quarter.

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

2019

The Frontier Balanced Fund—Class 1 NAV lost 2.33% and lost 8.11%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 1.60% and lost 7.40%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 1.62% and lost 7.45%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 1.59% and lost 7.46%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 1.60% and lost 7.46% for the three months ended March 31, 2019 and 2018, net of fees and expenses.

For the three months ended March 31, 2019, the Frontier Balanced Fund recorded net loss on investments of $273,490 net investment loss of $445,648, and total expenses of $457,008, resulting in a net decrease in Owners’ capital from operations of $719,138. For the three months ended March 31, 2018, the Frontier Balanced Fund recorded net loss on investments of $2,907,257, net investment loss of $797,948, net investment income of $16,516, and total expenses of $814,464, resulting in a net increase in Owners’ capital from operations of $3,705,205.

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

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

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

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

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

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

100

Frontier Select Fund

2020

The Frontier Select Fund—Class 1 NAV gained 1.39% and lost 0.91%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Select Fund —Class 2 NAV gained 2.13% and lost 0.18% respectively for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV gained 1.89% and lost 0.21%, respectively, for the three months ended March 31, 2020 and 2019.

The NAV per Unit, Class 1, increased from $66.56 as of December 31, 2019 to $67.48 at March 31, 2020. The NAV per Unit, Class 1AP, increased from $78.51 as of December 31, 2019 to $79.99 at March 31, 2020. The NAV per Unit, Class 2, increased from $103.94 as of December 31, 2019 to $106.15 at March 31, 2020. Total Class 1 subscriptions and redemptions for the three months ended March 31, 2020, were $0 and $162,985, respectively. Total Class 1AP subscriptions and redemptions for the three months ended March 31, 2019, were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2019, were $0 and $5,198, respectively. Ending capital, at March 31, 2020, was $2,594,384 for Class 1, $11,067 for Class 1AP, and $87,681 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

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

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

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

101

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

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

102

Two of the six sectors traded in the Frontier Select Fund were profitable in Q1 2020 and two of the six were profitable YTD. Energies and Interest Rates were positive while Metals, 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 Howard and Welton finished positive for the quarter and Transtrend finished negative for the quarter. Brevan Howard and Welton finished positive YTD while Transtrend finished negative YTD.

2019

The Frontier Select Fund—Class 1 NAV lost 0.91% and lost 15.29%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 0.18% and lost 14.65% respectively for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV lost 0.21% and lost 14.66%, respectively, for the three months ended March 31, 2019 and 2018.

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. For the three months ended March 31, 2018, the Frontier Select Fund recorded net loss on investments of $894,845, net investment loss of $77,283, and total expenses of $77,283, resulting in a net decrease in Owners’ capital from operations of $972,128.

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

103

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

Based on an analysis of the management fees charged to Frontier Select Fund, the effective management fee rate of the Frontier Select Fund was lower than the management fee rate otherwise payable to the Managing Owner. The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. For the period ended March 31, 2019, ~~originally filed with~~ the ~~Securities~~effective management fee rate of the Frontier Select Fund was 2.24%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31, 2019, the management and ~~Exchange Commission~~incentive fees embedded in gains (losses) from trading companies owned by the Frontier Select Fund was $4,337.

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

104

Three of the six sectors traded in the Frontier Select Fund were profitable in Q4 2018. Metals, Currencies and Interest Rates were positive while Energies, Stock Indices and Agriculturals were negative for the quarter. Interest Rates were positive YTD while Metals, Currencies, Energies, Agriculturals and Interest Rates were negative YTD.

In terms of major CTA performance, Welton finished positive for the quarter while Brevan Howard and Transtrend finished the quarter negative. Welton, Brevan Howard and Transtrend finished the year negative.

Frontier Global Fund

2020

The Frontier Global Fund—Class 1 NAV gained 10.99% and gained 3.63%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 11.83% and gained 4.43%, respectively, for the three months ended March 31, 2020 and 2019, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gained 12.08% and gained 4.39%, respectively, for the three months ended March 31, 2020 and 2019.

For the three months ended March 31, 2020, the Frontier Global Fund recorded net gain on ~~June 24,~~investments of $559,705, net investment loss of $85,996, 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 “Form 10-Q”)~~the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639.

The NAV per Unit, Class 1, increased from $131.52 at December 31, 2019 to $145.97 as of March 31, 2020. The NAV per Unit, Class 2, increased from $192.82 at December 31, 2019 to $215.64 as of March 31, 2020. The NAV per Unit, Class 1AP, increased from $154.43 at December 31, 2019 to $173.08 as of March 31, 2020. Total Class 1 subscriptions and redemptions for the period were $0 and $832,035, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $0, respectively. Total Class 1AP subscriptions and redemptions for the period were $0 and $0, respectively. Ending capital at March 31, 2020 was $4,069,172 for Class 1, $383,792 for Class 2 and $36,954 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

105

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

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

2019

The Frontier Global Fund—Class 1 NAV gained 3.63% and lost 9.10%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 4.43% and lost 9.12%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gained 4.39% and lost 8.41%, respectively, for the three months ended March 31, 2019 and 2018.

For the three months ended March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639. For the three months ended March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639. For the three months ended March 31, 2018, the Frontier Global Fund recorded net loss on investments of $1,026,553, net investment loss of $307,495, and total expenses of $307,495, resulting in a net decrease in Owners’ capital from operations of $1,334,048

106

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

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

Metals and Energies were negative YTD.

Frontier Heritage Fund

2020

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

107

The NAV per Unit, Class 1, increased from $97.54 as of December 31, 2019 to $114.21 at March 31, 2020. The NAV per Unit, Class 1AP, increased from $114.15 as of December 31, 2019 to $135.37 at March 31, 2020. The NAV per Unit, Class 2, increased from $153.59 as of December 31, 2019 to $181.17 at March 31, 2020. Total Class 1 subscriptions and redemptions for the three months were $0 and $64,241, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $0, respectively. Ending capital, at March 31, 2020, was $2,614,943 for Class 1, $9,830 for Class 1AP and $615,866 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 invests in one or more swaps. To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading program of one or more commodity trading advisors. Such performance is net of management fees and incentive fees paid to ~~file Exhibit 101~~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 current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled. The management and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.

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

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

108

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

Four of the six sectors traded in the Frontier Heritage Fund were profitable in Q1 2020 and four of the six were profitable YTD. Energies, Currencies, Metals and Interest Rates were positive while Agriculturals and Stock Indices were negative for the quarter. Energies, Currencies, Metals and Interest Rates were profitable YTD while Agriculturals and Stock Indices finished negative YTD.

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

109

2019

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

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

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

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

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

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

110

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

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

In terms of major CTA performance, Aspect Capital was positive for Q1 while Brevan Howard, Welton and Winton were negative for the quarter. Aspect Capital was positive YTD while Welton, Brevan Howard and Winton were negative YTD.

111

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.

112

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, 2020 and December 31, 2019. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

DOMESTIC EXPOSURE

Frontier Diversified Fund:

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

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

Frontier Long/Short Commodity Fund:

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

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

113

Frontier Masters Fund:

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

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

Frontier Balanced Fund:

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

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

Frontier Select Fund:

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

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

Frontier Global Fund:

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

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

114

Frontier Heritage Fund:

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

Interest Rates	$	1,594,354		41.74	%	$	1,487,795		45.02	%
Currencies		-		0.00	%		-		0.00	%
Stock Indices		-		0.00	%		-		0.00	%
Metals		-		0.00	%		-		0.00	%
Agriculturals/Softs		-		0.00	%		-		0.00	%
Energy		-		0.00	%		-		0.00	%
Total:	$	1,594,354		41.74	%	$	1,487,795		45.02	%

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

Value at Risk: Foreign Markets

FOREIGN EXPOSURE

Frontier Diversified Fund

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

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

115

Frontier Long/Short Commodity Fund

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

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

Frontier Masters Fund

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

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

Frontier Balanced Fund:

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

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

Frontier Select Fund:

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

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

116

Frontier Global Fund:

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

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

Frontier Heritage Fund:

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

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

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

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

Non-Trading Risk

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

117

Qualitative Market Risk

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

Interest Rates

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

Currencies

Exchange rate risk is a significant market exposure of each Series of the Trust in general. For each Series of the Trust in general, currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different 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.

118

Other Trading Risks

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

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

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

119

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, 2020 (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 that evaluation, the management of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were not effective due to the material weaknesses in internal control over financial reporting described below.

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

120

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

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

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with ~~Rule 405~~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 ~~Regulation S-T. Exhibit 101 provides~~records that, in reasonable detail, accurately and fairly reflect the ~~consolidated~~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, 2020, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its 2013 report entitled Internal Control-Integrated Framework.

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

Consolidation

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

Financial Reporting

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

Remediation Efforts

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

121

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

●

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

●

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

●

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

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

Scope of Exhibit 31 Certifications

The 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 applies not only to the Trust as a whole but also to each Series individually.

122

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, 2019.

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

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

SERIES		DATE		UNITS		CONSIDERATION
NONE

One hundred percent of the offering proceeds from the ~~Form 10-Q formatted in XBRL (eXtensible Business Reporting Language).~~sale of Units are initially available for the Series’ trading activities.

No other changes have been made to the Form 10-Q. This Amendment No. 1 to the Form 10-Q speaks as of the original filing date of the Form 10-Q, does not reflect events that may have occurred subsequent to the original filing date and does not modify or update in any way disclosures made in the original Form 10-Q.ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. MINE SAFETY DISCLOSURES.

Not applicable.

ITEM 5. OTHER INFORMATION.

None.

ITEM 6. EXHIBITS.

~~Exhibits (numbered in accordance with Item 601 of Regulation S-K)~~

31.1		Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

31.2		Certification of Chief Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)

32.1		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.2		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.3		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.4		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.5		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.6		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.7		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

32.8		Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished herewith)

101		Financials in XBRL format

123

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, ~~as amended,~~ the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Funds
	(Registrant)

Date: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~atrick J. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

124

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Balanced Fund,
	a Series of Frontier Funds
	(Registrant)

Date: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~atrick J. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

125

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Heritage Fund,
	a Series of Frontier Funds
	(Registrant)

Date: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~ atrickJ. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

126

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Global Fund
	a Series of Frontier Funds
	(Registrant)

Date: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~atrick J. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

6127

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: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~atrick J. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

7128

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: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~atrick J. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

8129

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: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~ atrickJ. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

9130

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: ~~June 24, 2019~~May 15, 2020	By:	/s/ P~~Patrick~~ atrickJ. ~~Kane~~Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer ~~Chief Accounting Officer and Managing Member~~ of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

Date: May 15, 2020	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

131