UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-K

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

For the fiscal year ended December 31, 2014

or

¨For the fiscal year ended December 31, 2016
or
oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from              to             

Commission File Number 000-51274

EQUINOX FRONTIER FUNDS

EQUINOX FRONTIER DIVERSIFIED FUND;

EQUINOX FRONTIER LONG/SHORT COMMODITY FUND;

EQUINOX FRONTIER MASTERS FUND;

EQUINOX FRONTIER BALANCED FUND;

EQUINOX FRONTIER SELECT FUND;

EQUINOX FRONTIER WINTON FUND;

EQUINOX FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in Its Charter)

 

Delaware36-6815533

(State or Other Jurisdiction of

Incorporation or
Organization)

(IRS Employer Identification No.)

c/o Equinox Fund Management, LLC


1775 Sherman Street, Suite 2500,

2010,
Denver, Colorado

80203

(Address of Principal Executive Offices)(Zip Code)

Registrant’s Telephone Number, Including Area Code: (303) 837-0600


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


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


Title of Each Class


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


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


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


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


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


Equinox Frontier Winton Fund Class 1, Class 1AP, and Class 2 Units;


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

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

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

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  x    No  ¨o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files).    Yes  x    No  ¨o

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.x

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

Large Accelerated Filer¨o Accelerated Filer¨
o
Non–Accelerated Filerxx (Do not check if a smaller reporting company)Smaller Reporting Company¨o

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

The Equinox Frontier Funds’ units of beneficial interest are not traded on any market and, accordingly, do not have an aggregate market value. Units outstanding as of December 31, 20142016 were: 500,842438,024 for the Equinox Frontier Diversified Fund, 139,60480,593 for the Equinox Frontier Long/Short Commodity Fund, 212,533142,761 for the Equinox Frontier Masters Fund, 705,682555,520 for the Equinox Frontier Balanced Fund, 155,534122,869 for the Equinox Frontier Select Fund, 211,024185,748 for the Equinox Frontier Winton Fund and 93,53478,770, for the Equinox Frontier Heritage Fund.

Documents Incorporated by Reference

Portions of the Prospectus filed by the registrant on May 7, 20142, 2016 pursuant to rule 424(b)(3) of the Securities Act (File No. 333-185695)333-210313) are incorporated by reference into Part I and Part II of this report.

 

 

 


Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF DECEMBER 31, 2014,2016, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.


OATH AND AFFIRMATION

Equinox Frontier Funds

AFFIRMATION OF THE COMMODITY POOL OPERATOR

To the bestTable of the knowledge and belief of the undersigned, the information contained in the attached financial statements for the years ended December 31, 2014 and 2013 is accurate and complete.Contents

 

/s/ Robert J. Enck
Robert J. Enck
President and Chief Executive Officer
Equinox Fund Management, LLC, commodity pool
operator for Equinox Frontier Funds


Table of Contents

Page
    
PART I Page 

PART I

Item 1.Business  1 
Item 1.Item 1A.Business1
Risk Factors  6 
Item 1A.Item 1B.Risk Factors7
Unresolved Staff Comments  22 
Item 1B.Item 2.Unresolved Staff Comments23
Properties  22 
Item 2.Item 3.Properties23
Legal Proceedings  22 
Item 3.

Item 4.

Legal Proceedings
24
Mine Safety Disclosures  22
Item 4.Mine Safety Disclosures24
 

PART II

 
 Item 5. 
Item 5.Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities25
  23 
Item 6.Selected Financial Data27
  25 
Item 7.Management’s Discussion and Analysis of Financial Condition and Results of Operations36
  34 
Item 7A.Quantitative and Qualitative Disclosures About Market Risk79
  79 
Item 8.Financial Statements and Supplementary Data84
  86 
Item 9.Changes in and Disagreements with Accountants on Accounting and Financial Disclosure84
  86 
Item 9AControls and Procedures84
  86
Item 9B.Other Information85
 
PART III Item 9B.
 Other Information  87 

PART III

Item 10.Directors, Executive Officers and Corporate Governance86
  88 
Item 11.Executive Compensation89
  90 
Item 12.Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters90
  91 
Item 13.Certain Relationships and Related Transactions90
  91 
Item 14.Principal Accountant Fees and Services91
PART IV
  91 

PART IV

Item 15.Exhibits and Financial Statement Schedules92
  93 
 Index to Financial StatementsF-1
  F-1 
 SignaturesF-305

Table of Contents
 Signatures


Part I

 

Item  1.BUSINESS.

Overview

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

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

The Trust has six (6)seven (7) separate and distinct Seriesseries of Units issued and outstanding: Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund, and Equinox Frontier Heritage Fund, (each a “Series” and collectively, the “Series”). The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units.

The Trust, with respect to each Series:

 

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;

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

 

allocates funds to a limited liability trading company or companies (“Trading Company” or “Trading Companies”). Except as otherwise described in these notes, each Trading Company 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 assets and make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

allocates funds to a limited liability trading company or companies affiliated with the Managing Owner (“Trading Company” or “Trading Companies” or to an unaffiliated series limited liability company (“Galaxy Plus entities” or “Galaxy Plus entity”), each of which has one-year renewable contracts with its own independent trading advisor(s) (each a “Trading Advisor”) 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 vested in such Trading Company of Galaxy Plus entity. The assets of each Trading Company and Galaxy Plus entity will be segregated from the assets of the other Trading Companies and Galaxy Plus entities.

 

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

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;

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

 

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

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

 

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

1

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 Equinox Frontier Long/Short Commodity Fund or Equinox 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 with respect to such Units has been reached or will be reached. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

 

all payments made to Selling Agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund or Equinox 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. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

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

As of December 31, 2014,2016, the total Units outstanding were 438,024 for the Equinox Frontier Diversified Fund, 80,593 for the Equinox Frontier Long/Short Commodity Fund, 142,761 for the Equinox Frontier Masters Fund, 555,520 for the Equinox Frontier Balanced Fund, 122,869 for the Equinox Frontier Select Fund, 185,748 for the Equinox Frontier Winton Fund and 78,770, for the Equinox Frontier Heritage Fund.

As of each Series ofDecember 31, 2016, the Trust, was 500,842 with respect to the Equinox Frontier Diversified Fund 139,604and Equinox Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Equinox Frontier Long/Short Commodity Fund, 212,533 with respect to the Equinox Frontier Masters Fund, 705,682 with respect to the Equinox Frontier Balanced Fund, 155,534 with respect to the Equinox Frontier Select Fund, 211,024 with respect to the Equinox Frontier Winton Fund and 93,534 with respect to the Equinox Frontier Heritage Fund.

Each of the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund, and Equinox Frontier Heritage Fund has investedseparates Units into a portionmaximum of its assets in several different Trading Companies and has multiple Trading Advisors that manage the assets invested in such Trading Companies.

During July 2012, Equinox Frontier Long/Short Commodity Fund three separate Classes—Class 1, Units and Equinox Frontier Balanced Fund Class 1a Units ceased trading operations and all remaining Units were exchanged for Class 3 Units2 and Class 3a Units, respectively.

As of December 9, 2013, the Balanced Series of the1AP. The Trust, became known aswith respect to the Equinox Frontier Balanced Fund the Frontier Diversified Seriesseparates Units into a maximum of thefive separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, became known as the Equinox Frontier Diversified Fund, the Frontier Heritage Series became known as Equinox Frontier Heritage Fund, the Frontier Long/Short Commodity Series became known aswith respect to the Equinox 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 December 31, 2016, a portion of the interests in Equinox Frontier Masters Series became known asTrading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, and Frontier Trading Company XXIII LLC held by Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, the Frontier Select Series became known as the Equinox Frontier SelectBalanced Fund and the Winton Series became known as the Equinox Frontier Winton Fund.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, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

2

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

The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors. As of December 31, 2014, none of the Trading Advisors or any of their principals had any beneficial interest in the Trust, but any of them are free to acquire such beneficial interest.

Equinox Fund Management, LLC,

The Managing Owner is a Delaware limited liability companyLimited Liability Company formed in June 2003, is the managing owner of the Trust (the “Managing Owner”).2003. The Managing Owner became registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator (“CPO”), as of August 6, 2003, and has been a member of the National Futures Association (the “NFA”) in such capacity since that date. The Managing Owner’s main business office is located at 1775 Sherman Street, Suite 2500,2010, Denver, Colorado 80203, telephone (303) 837-0600. A description of the Managing Owner’s responsibilities to the Trust is contained in a

Prospectus dated April 30, 2014,29, 2016, filed with the SEC on May 7, 20142, 2016 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (File No. 333-185695)333-210313), which is referred to herein as the “Prospectus,” under the section captioned “The Managing Owner,” and such description is incorporated herein by reference from the Prospectus.

Regulation

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

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

Operations

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

3

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

 

A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.

A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.
A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.
An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.
A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

 

A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively in this prospectus as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

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

Selection and Replacement of Trading Advisors

The managing ownerManaging Owner is responsible for the selection, retention and termination of the trading advisorsTrading Advisors and reference programs on behalf of each series.Series. The actual allocation among trading advisorsTrading Advisors for each seriesSeries will vary based upon the relative trading

performance of the trading advisorsTrading Advisors and/or reference programs, and the managing ownerManaging Owner may otherwise vary such percentages from time to time in its sole discretion. The managing ownerManaging Owner will adjust its allocations and rebalance the portfolio of any seriesSeries among trading advisorsTrading Advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant series.Series.

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

In 1983, Richard Bornhoft, the Chief Investment Officer of the managing owner, began compiling a proprietary database of the leading United States and internationally based alternative investment programs. Trading advisors are monitored and performance data is entered on a daily, monthly, quarterly or bi-annual basis according to internal ranking systems.

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

Following is a summary of the quantitative and qualitative analysis:

Quantitative Analysis

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

Qualitative Analysis

Although quantitative analysis statistically identifies the top performing trading advisors,Trading Advisors, qualitative analysis plays a major role in the trading advisorTrading Advisor evaluation and final selection process. Each trading advisorTrading Advisor in the managing owner’sManaging Owner’s top deciledocile universe initially undergoes extensive qualitative review by the managing owner’sManaging Owner’s research department, as well as continual monitoring. This analysis generally includes, but is not limited to: (1) preliminary information and due diligence, (2) background review, (3) onsiteon-site due diligence, (4) extensive due diligence questionnaires and (5) written review and periodic updates. This information allows a thorough review of each trading advisor’sTrading Advisor’s trading philosophy, trading systems and corporate structure.

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Multi-Manager Approach

A multi-manager approach to portfolio management provides diversification of trading advisorsTrading Advisors and access to broader global markets. Multiple trading advisorsTrading Advisors can provide diversification across trading methodologies, trading time horizons, and markets traded. Additionally, multi-manager portfolios tend to provide a greater level of professional management with ongoing risk management and review. The result can be more consistent returns with lower volatility.

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

 

Major Commodity Trading Advisor

 Trading System StyleAccessed Through

Abraham Trading Company

Aspect Capital Limited SystematicGalaxy Plus

Beach Horizon

SystematicTrading Company
BH-DG Systematic Trading LLP

 SystematicSwap

Brandywine Asset Management

Chesapeake Capital Corporation
SystematicGalaxy Plus
Crabel Capital Partners LLPCSystematicSwap
Emil Van Essen, LLC DiscretionaryGalaxy Plus

Campbell & Company, Inc.

Fort, L.P.
 SystematicGalaxy Plus

Cantab Capital Partners LLP

H2O Asset Management
 Systematic

Chesapeake Capital Corporation

 SystematicSwap

Commodity Strategies AG

Systematic

Crabel Capital Management, LLC

Systematic

Emil Van Essen, LLC

Discretionary

Fort, L.P.

Systematic

H2O Asset Management

Systematic

J E Moody & Company

 SystematicSwap

Quantica Capital AG

Quantitative Investment Management, LLC
 SystematicGalaxy Plus

Quantitative InvestmentQuantmetrics Capital Management LLC

LLP
 SystematicGalaxy Plus

QuantMetrics Capital Management LLP

Quest Partners LLC
 Systematic

Quest Partners LLC

 SystematicGalaxy Plus

Red Oak Commodity Advisors, Inc.

 DiscretionaryGalaxy Plus

Rosetta Capital Management, LLC

 Discretionary

Skyline Management, Inc.

 DiscretionaryGalaxy Plus

Tiverton Trading

Discretionary

Transtrend B.V.

 SystematicTrading Company

Winton Capital Management Ltd.

 SystematicTrading Company

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

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As of December 31, 2014,2016, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:

 

  

Allocation as of December 31, 2014

(expressed as a percentage of aggregate notional exposure to commodity trading  programs)

 
Advisor Equinox
Frontier
Diversified
Fund
  Equinox
Frontier
Long/Short
Commodity
Fund
  Equinox
Frontier
Masters
Fund
  Equinox
Frontier
Balanced
Fund
  Equinox
Frontier
Select
Fund
  Equinox
Frontier
Winton
Fund
  Equinox
Frontier
Heritage
Fund
 

Abraham Trading Company

      21                    

Brandywine Asset Management

              3              

BH- DG Systematic Trading LLP

  10              43      46

Campbell &Company Inc.

              9            

Cantab Capital Partners LLP

              8            

Chesapeake Capital Corporation

  10      27                

Commodity Strategies AG

                            

Crabel Capital Management, LLC

  8          4            

Emil Van Essen, LLC

  6  22  17    4            

Fort, L.P.

  10          10            

H2O Asset Management

  7          8            

J E Moody & Company

      16                    

Quantica Capital AG

              6            

Quantitative Investment

  9          7            

Management, LLC QuantMetrics Capital

  14          8            

Management LLP Quest Partners LLC

  11                        

Red Oak Commodity Advisors, Inc.

      20                    

Rosetta Capital Management, LLC

      16                    

Skyline Management, Inc.

              7            

Tiverton Trading

              7            

Transtrend B.V.

          26      57        

Winton Capital Management Ltd.

  12      30  9      100  54

Allocation as of December 31, 2016 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

     Equinox                
  Equinox  Frontier  Equinox  Equinox     Equinox  Equinox 
  Frontier  Long/Short  Frontier  Frontier  Equinox  Frontier  Frontier 
  Diversified  Commodity  Masters  Balanced  Frontier  Winton  Heritage 
Advisor   Fund    Fund    Fund    Fund    Select Fund    Fund    Fund 
Aspect Capital Limited  5%        6%         
Beach Horizon           5%         
BH-DG Systematic Trading LLP              41%     44%
Chesapeake Capital Corporation  9%  15%  25%            
Crabel Capital Management, LLC  4%        5%         
Doherty  3%          4%            
Emil Van Essen, LLC  8%  22%  23%  7%         
Fort, L.P.  9%        11%         
H2O Asset Management  9%        12%         
J E Moody & Company     10%               
Landmark  2%  4%      4%            
Quantitative Investment Management,LLC  19%        21%         
Quantmetrics Capital ManagementLLP  15%        14%         
Quest Partners LLC  8%        2%         
Red Oak Commodity Advisors, Inc.     30%               
Rosetta Capital Management, LLC     19%               
Transtrend B.V.        28%     59%      
Winton Capital Management Ltd.  9%     24%  9%     100%  56%

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

Financial Information about Geographic Areas

Although the Trust trades in the global futures and forward markets, it does not have operations outside of the U.S.United States, and therefore this item is not applicable.

Employees

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

Available Information

The Trust files quarterly, annual and current reports with the Securities and Exchange Commission (“SEC”). These reports are posted athttp://equinoxfunds.comwww.WakefieldFunds.com, and are also available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street, N.W., Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information or visithttp://www.sec.gov.

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Additional Information

None.

On December 5, 2016, Equinox Fund Management, LLC (“Equinox”), Frontier Fund Management LLC (the “New Managing Owner”), and Wakefield Advisors, LLC (“Wakefield”) entered into a Unit Purchase Agreement (the “Agreement”). Equinox was the Managing Owner of the Trust and the Series. Pursuant to the Agreement, Equinox agreed to transfer to the New Managing Owner such amount of Equinox’s General Units (as defined in the Trust Agreement) as the Managing Owner shall be required to hold in its capacity as managing owner of the Trust pursuant to the Trust Agreement, and redeem the remainder of Equinox’s General Units (the “Transaction”).

The Transaction was consummated on March 6, 2017, and upon consummation of the Transaction, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of operational control in respect of the Trust and each Series.

In connection with the foregoing, the Trust Agreement was amended to effect certain changes to replace Equinox as the managing owner and to reflect the New Managing Owner as the new managing owner. Also, the New Managing Owner has temporarily suspended the sale of Units (as defined in the Trust Agreement) while the Managing Owner engages with the Securities and Exchange Commission to have declared effective a post-effective amendment to the Series’ registration statements, as well as approval by the NFA. The Series will file Form 8-K to announce the resumption of the sale of Units, which the New Managing Owner expects will occur shortly.

The New Managing Owner is seeking to cause the suspension to be lifted as promptly as practicable.

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

 

Item 1A.RISK FACTORS.

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

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

Market Risks

The commodity interest markets in which the Trading Advisors trade are highly volatile, which could cause substantial losses and may cause you to lose your entire investment.

Commodity interest contracts are highly volatile and are subject to occasional rapid and substantial fluctuations. Consequently, you could lose all or substantially all of your investment in the Units of any Series should such Series’ trading positions suddenly turn unprofitable. The profitability of any Series depends primarily on the ability of its Trading Advisor(s) to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:

 

changes in interest rates;

changes in interest rates;

 

governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies;

governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies;

 

weather and climate conditions;

weather and climate conditions;

 

natural disasters, such as hurricanes;

natural disasters, such as hurricanes;7

changing supply and demand relationships;

 

changing supply and demand relationships;

changes in balances of payments and trade;

 

changes in balances of payments and trade;

U.S. and international rates of inflation;

 

U.S. and international rates of inflation;

currency devaluations and revaluations;

 

currency devaluations and revaluations;

U.S. and international political and economic events; and

 

U.S. and international political and economic events; and

changes in philosophies and emotions of market participants.

 

changes in philosophies and emotions of market participants.

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

In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.

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

A principal risk in futures, forward and options trading is volatile performance. Because the trading decisions for the Equinox Frontier Winton Fund will be made by a single Trading Advisor, the trading for Equinox Frontier Winton Fund is similar to a single advisor fund in which one trading advisorrading Advisor makes all the trading decisions. In single advisor funds, volatility may increase as compared to a fund with several trading advisorsTrading Advisors who, collectively, can diversify risk to a greater extent (assuming those advisors are non-correlated with each other).

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

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

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The Trading Advisors’ trading is subject to execution risks.

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

Futures Interestsinterests trading is speculative and volatile.

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

Each Series’ performance will be volatile, and a Series could lose all or substantially all of its assets. The multi-advisor feature of each Series, except for Equinox Frontier Winton Fund, may reduce the return volatility relative of the performance of single-advisor investment funds.

Options are volatile and inherently leveraged, and sharp movements in prices could cause the Trust to incur large losses.

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

Exchanges of futures for physicals may adversely affect performance.

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

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

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

The Trading Companies or Galaxy Plus entities and Trust may enter into Swapswap and similar transactions which may create risks.

Swaps are not traded on exchanges and are not subject to the same type of government regulation as exchange markets. As a result, many of the protections afforded to participants on organized exchanges and in a regulated environment are not available in connection with these transactions.

The Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, will affect the manner in which OTCover-the-counter (“OTC”) swap transactions are traded and the credit risk associated with such trading. Any changes will likely impact the way swaps are traded and could impact the trading strategy of the trust,Trust, as well as make it more expensive to trade swaps.

There are no limitations on daily price movements in swaps. Speculative position limits are not applicable to swaps, although the counterparties to swaps may limit the size or duration of positions as a consequence of credit considerations. Participants in the swap markets are not required to make continuous markets in the swaps they trade. Participants could refuse to quote prices for swaps or quote prices with an unusually wide spread between the price at which they are prepared to buy and the price at which they are prepared to sell. In the case of any swap that references a fund or program managed by a trading advisor,Trading Advisor, certain or all of the risks disclosed in this report in relation to the trading advisorsTrading Advisors also may apply, indirectly, in relation to the relevant series’Series’ investment in such swap.

9

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

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

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

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

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

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

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

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

Your investment could be illiquid.

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

10

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

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

Redemptions may be temporarily suspended.

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

An investment in Units may not diversify an overall portfolio.

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

Trading Risks

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

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

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

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

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

There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed pursuant to trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market

participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisorsTrading Advisors using technical systems are attempting to initiate or liquidate commodity interest positions at the same time as the Trading Advisors. The more competition there is for the same positions, the more costly and harder they will be to acquire.

11

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

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

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

The U.S. futures exchanges have established speculative position limits (referred to as “position limits”) on the maximum net long or net short position which any person or group of persons may hold or control in particular futures and options on futures. Most exchanges also limit the amount of fluctuation in commodity futures contract prices on a single trading day. Therefore, a Trading Advisor may have to modify its trading instructions or reduce the size of its positions in one or more futures or options contracts in order to avoid exceeding such position limits, which could adversely affect the profitability of the Trading Companies.Companies or Galaxy Plus entities. The futures exchange may amend or adjust these position limits or the interpretation of how such limits are applied, which could adversely affectingaffect the profitability of the Trading Companies.Companies or Galaxy Plus entities.

In addition, in October 2011,December 2016, the CFTC adopted rules governing positionvoted unanimously to repropose regulations implementing limits on speculative positions in 25 core physical commodity futures (andcontracts and their economically equivalent futures, options and swaps. Comments on futures) on a number of agricultural, energy and metals commodities, as well as on swaps that perform a significant price discovery function with respect to those futures and options. In September 2012, the CFTC’s rulesthese regulations were vacateddue by the United States District Court for the Districtend of Columbia and remanded to the CFTC for further consideration. The CFTC proposed revised position limits rules late in 2013. The comment period for the rules closed in February 2014, and the CFTC subsequently reopened comment periods for comments about certain issues related to futures and options contracts on agricultural commodities only. Those comment periods have also closed. The comment period for the rules has closed, and the date for the CFTC’s final rules is unknown. It is possible that these rules may take effect in some form. If so, these2017. These rules could have an adverse effect on the Trading Advisors’ trading for the Trading Companies.Companies and Galaxy Plus entities.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Different markets traded or individual positions held by a Series of Units may be highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors

cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.

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

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

Stop-loss Orders May Not Prevent Large Losses.

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

Trading Swaps Creates Distinctive Risks.

The series may trade in certain swaps. Unlike futures and options on futures contracts, most swap contracts currently are not traded on or cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and credit default swaps) to be cleared and executed on an exchange or other organized trading platform. In accordance with the Dodd-Frank Act, the CFTC will determine in the future which other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are cleared, the series will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the current market value of the contract. Swap dealers and major swap participants require the series to deposit initial margin and variation margin as collateral to support such series’ obligation under the swap agreement but may not themselves provide collateral for the benefit of any series. If the counterparty to such a swap defaults, the series would be a general unsecured creditor for any termination amounts owed by the counterparty to the series as well as for any collateral deposits in excess of the amounts owed by the series to the counterparty, which would result in losses to the series.

There are no limitations on daily price movements in swaps. Speculative position limits are not currently applicable to swaps, but in the future may be applicable for swaps on certain commodities. In addition, participants in the swap markets are not required to make continuous markets in the swaps they trade, and determining a market value for calculation of termination amounts can lead to uncertain results.

Trading of swaps has been and will continue to be subject to substantial change under the Dodd-Frank Act and related regulatory action. Under the Dodd-Frank Act, many commodity swaps will be required to be cleared through central clearing parties and executed on exchanges or other organized trading platforms. Security-based swaps will be subject to similar requirements. Additional regulatory requirements will apply to all swaps, whether subject to mandatory clearing or not. These include margin, collateral and capital requirements, reporting obligations, speculative position limits for certain swaps, and other regulatory requirements. Swaps which are not offered for clearing by a clearinghouse will continue to be traded bi-laterally. Such bi-lateral transactions will remain subject to many of the risks discussed in the preceding paragraphs.

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

The Unregulated Nature of Uncleared Trades in the OTC Markets Creates Counterparty Risks that Do Not Exist in Futures Trading on Exchanges or in Cleared Swaps.

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

Foreign Currency and Spot Contracts Historically Were Not Regulated When Traded Between Certain “Eligible Contract Participants” and Are Subject to Credit Risk.

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

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

Trading on Foreign Exchanges Presents Greater Risks to the Series than Trading on U.S. Exchanges.

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

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

Lack of Investor Protection Regulation

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

Possible Governmental Intervention

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

Relatively New Markets

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

Exchange-Rate Exposure

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

Investments in Reference Programs Through a Swap or Other Derivative Instrument May Not Always Replicate Exactly Performance of the Relevant CTA Trading Program(s).

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

There Are Certain Risks Associated with the Trust’s Investment in U.S. Government Debt Securities.

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

The Trust’s Investment in U.S. Government Debt Securities Will Be Subject to Interest Rate Risk.

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

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Operating Risks

Past performance is not necessarily indicative of future performance.

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

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

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

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

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

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

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

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

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

Investors should note that the management fee payable to the Managing Owner is based on nominal assets rather than NAV. Therefore, the management fee will be greater as a percentage of a Series’ NAV to the extent that the nominal assets of such Series exceed its NAV. The Managing Owner expects that the nominal assets of each Series will generally be maintained at a level in excess of the net asset value for such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.

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There are certain risks associated with investments in trading companies.

Certain of the trading companies may be

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

Each

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

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

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

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

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

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

The commodity pools on the Galaxy Plus Platform operate independently from each Series, the Trust and the Managing Owner.

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

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

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

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

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

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

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

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

The Series may be obligated to make payments under guarantee agreements.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

In the event of a shortfall in segregated customer funds held by the futures commission merchant, the series’Series’ assets on account with the futures commission merchant may be at risk in the event of the futures commission merchant’s bankruptcy or insolvency, and in such event, the seriesSeries may only recover a portion of the available customer funds. If no property is available for distribution, the seriesSeries would not recover any of its assets. With respect to a series’Series’ OTC uncleared swaps, prior to the implementation of the Dodd-Frank Act’s provisions, there was no requirement to segregate funds held with respect to such contracts. There is still no requirement to segregate funds held as variationOn December 16, 2015, the CFTC finalized rules regarding margin posted by a party engagingfor uncleared swaps which will impose certain requirements beginning September 1, 2016. These rules require, among other things, daily two-way margin (posting and collecting) for all trades between covered swap entities (“CSEs”) and swap dealers (“SDs”) and major swap participants (“MSPs”), and daily two-way margin for all trades between CSEs and financial end users that have over $8 billion in gross notional exposure in uncleared swaps with a swap dealer or major swap participant; however, a party engaging in uncleared swaps with a swap dealer or major swap participant can ask that the initial margin posted by such party be held with an independent third party custodian. Generally, the party requesting segregation will pay the costs of such custodial arrangement.swaps. The rules also require daily cash payments for all trades between CSEs and SD/MSPs and daily posting for all trades between SD/MSPs and financial end users. There may also be costs and delays involved in negotiating the custodial arrangement and related contractual terms.

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

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

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

You Will Not Be Aware of Changes to Trading Programs.

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

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

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

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

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

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

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

In addition, under the operating agreement of the Managing Owner, Mr. Bornhoft’s ability to serve as the Chief Investment Officer of the Managing Owner is dependent upon certain factors. If Mr. Bornhoft ceases to be the Chief Investment Officer of the Managing Owner, the Trust may be adversely affected.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Tax and ERISA Risks

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

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You May Have Tax Liability Attributable to Your Investment in a Series Even if You Have Received No Distributions and Redeemed No Units, and Even if the Series Generated an Economic Loss.

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

You may be taxed on gains that the Trust never realizes.

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

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

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

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

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

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

You will likely recognize short-term capital gain.

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

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

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

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

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

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

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

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

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

Regulatory Risks

Regulation of the Commodity Interest Markets is Extensive and Constantly Changing; Future Regulatory Developments are Impossible to Predict, but May Significantly and Adversely Affect the Trust.

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

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

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

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

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

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

Item 1B.UNRESOLVED STAFF COMMENTS.

None.

 

Item 2.PROPERTIES.

The Trust does not own or use any physical properties in the conduct of its business. Its assets currently consist of cash items such as custom time deposits, and, through each Trading Company, items such as U.S. and international futures and forward contracts and other interests in derivative instruments, including options contracts on futures, forwards and swap contracts. The Managing Owner’s main office is located at 1775 Sherman Street, Suite 2500,2010, Denver, Colorado 80203.

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Item 3.LEGAL PROCEEDINGS.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which the Managing Owner or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings to whichpending against the Trust or any Series.

On January 19, 2016, the Managing Owner consented to and became the subject of an Order Instituting Administrative and Cease and- Desist Proceedings Pursuant to Section 8A of the Securities Act of 1933, Section 21C of the Securities Exchange Act of 1934, and Section 203(e) of the Investment Advisers Act of 1940, Making Findings, and Imposing Remedial Sanctions and a Cease-and- Desist Order by the SEC to resolve allegations related to certain disclosures of certain options invested in by certain of the Series of the Trust, as well as the Managing Owner’s calculation and disclosure of management fees paid by investors in certain of the Series.

On or about March 16, 2016, the Managing Owner consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, Making Findings and Imposing Remedial Sanctions by the CFTC to resolve similar claims. Specifically, each of the SEC and CFTC found that the Trust’s disclosures regarding its affiliates ismethodology of valuing certain derivatives were misleading; that the Trust’s disclosure regarding the transfer of an option between Series was misleading; that the Trust failed to disclose a partymaterial subsequent event in the Trust’s Quarterly Report on Form 10-Q for the period ended June 30, 2011; and that the Managing Owner committed a disclosure violation related to how management fees were calculated and paid to the Managing Owner.

Without admitting or denying the underlying allegations and without adjudication of which any issue of their assets arelaw or fact, the subject.Managing Owner accepted and consented to entry of findings and the imposition of a cease and desist order, censure, payment of disgorgement and prejudgment interest, civil monetary penalties of $400,000 to the SEC and $250,000 to the CTFC, respectively, and undertakings related to public statements, cooperation and payment of the disgorgement, interest and fines.

 

Item 4.MINE SAFETY DISCLOSURES

Not applicable.

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Part II

 

Item 5.MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES.SECURITIES.

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

Further, if a Limited Owner redeems all or a portion of its Class 1 or Classand 1a Units of any Series on or before the end of twelve full months following the effective date of the purchase of the Units being redeemed, such Limited Owner is charged a redemption fee of up to 3.0%2.0% of the NAV at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.

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

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

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The following table shows the number of Limited Owners and the number of Units outstanding in each Class of each Series as of December 31, 2014:2016:

 

 Number of Limited Number of Units 
 Owners  Outstanding 
  Number of Limited Owners   Number of Units Outstanding      

Equinox Frontier Diversified Fund (Class 1)

   540     169,725    73   44,569 

Equinox Frontier Diversified Fund (Class 2)

   342     282,534    341   284,124 

Equinox Frontier Diversified Fund (Class 3)

   187     48,583    395   105,594 

Equinox Frontier Long/Short Commodity Fund (Class 1a)

   403     57,130    149   20,628 

Equinox Frontier Long/Short Commodity Fund (Class 2)

   81     9,013    51   3,924 

Equinox Frontier Long/Short Commodity Fund (Class 2a)

   91     15,291    54   6,893 

Equinox Frontier Long/Short Commodity Fund (Class 3)

   467     52,284    287   33,685 

Equinox Frontier Long/Short Commodity Fund (Class 3a)

   70     5,886    100   10,816 

Equinox Frontier Masters Fund (Class 1)

   337     101,632    116   47,530 

Equinox Frontier Masters Fund (Class 2)

   184     69,004    145   41,318 

Equinox Frontier Masters Fund (Class 3)

   153     41,897    202   51,022 

Equinox Frontier Balanced Fund (Class 1)

   2,661     548,117    2,030   422,530 

Equinox Frontier Balanced Fund (Class 1AP)

   29     5,618    20   4,671 

Equinox Frontier Balanced Fund (Class 2)

   352     131,447    290   112,166 

Equinox Frontier Balanced Fund (Class 2a)

   19     3,923    13   1,817 

Equinox Frontier Balanced Fund (Class 3a)

   88     16,577    64   10,380 

Equinox Frontier Select Fund (Class 1)

   892     142,913    664   112,059 

Equinox Frontier Select Fund (Class 1AP)

   11     494    7   296 

Equinox Frontier Select Fund (Class 2)

   62     12,127    50   10,444 

Equinox Frontier Winton Fund (Class 1)

   613     152,717    498   131,283 

Equinox Frontier Winton Fund (Class 1AP)

   1     214    1   214 

Equinox Frontier Winton Fund (Class 2)

   41     58,093    36   54,044 

Equinox Frontier Heritage Fund (Class 1)

   462     74,927    348   62,779 

Equinox Frontier Heritage Fund (Class 1AP)

   8     442  
Equinox Frontier Heritiage Fund (Class 1AP)  3   45 

Equinox Frontier Heritage Fund (Class 2)

   51     18,165    39   15,518 

No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2014,2016, no unregistered Units were sold by the Trust. In addition, the Trust did not repurchase any Units under a formal repurchase plan. All Unit redemptions during the year ended December 31, 20142016 were in the ordinary course of business. There have not been any purchases of units by the trust or any affiliated purchasers during the year ended December 31, 2014.2016.

26

ITEM 6.SELECTED FINANCIAL DATA.DATA.

The selected financial information as of and for the years ended December 31, 2016, 2015, 2014, 2013, 2012, 2011, and 20102012, is taken from the financial statements of the Trust included in section F of this filing and previous filings.

You should read this information in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and our financial statements and the related notes included therewith. Results from past periods are not necessarily indicative of results that may be expected for any future period.

27

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2016

        Equinox Frontier 
  Equinox Frontier  Equinox Frontier  Long/Short 
  Diversified Fund  Masters Fund  Commodity Fund 
Interest-net $323,854  $133,801  $21,855 
Total Expenses  3,330,405   1,386,826   506,768 
Net gain/(loss) on investments  4,169,841   1,745,161   483,619 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  1,163,290   492,136   (133,170)
Net income/ (loss) per unit- Class 1  0.91   (0.07)   
Net income/ (loss) per unit- Class 1a        (1.98)
Net income/ (loss) per unit- Class 2  3.34   2.18   (2.54)
Net income/ (loss) per unit- Class 2a        (0.52)
Net income/ (loss) per unit- Class 3  3.40   2.32   (1.34)
Net income/ (loss) per unit- Class 3a        0.64 
Total Assets $59,238,419  $17,425,839  $11,023,280 
Total owners’ capital-Class 1  5,189,420   5,361,626    
Total owners’ capital-Class 1a        1,913,595 
Total owners’ capital-Class 2  38,231,581   5,657,562   808,363 
Total owners’ capital-Class 2a        963,195 
Total owners’ capital-Class 3  13,050,390   6,150,119   4,405,863 
Total owners’ capital-Class 3a        1,174,511 
Total net asset value per unit- Class 1  116.43   112.80    
Total net asset value per unit- Class 1a        92.78 
Total net asset value per unit- Class 2  132.94   128.78   129.56 
Total net asset value per unit- Class 2a        105.67 
Total net asset value per unit- Class 3  123.27   119.89   130.80 
Total net asset value per unit- Class 3a        107.50 
             
  Equinox Frontier  Equinox Frontier  Equinox Frontier 
  Balanced Fund  Heritage Fund  Select Fund 
Interest-net $96,270  $1,430  $1,025 
Total Expenses  4,637,078   610,757   792,796 
Net gain/(loss) on investments  10,486,586   524,782   2,398,954 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  5,297,666   (301,637)  617,789 
Net income/ (loss) per unit- Class 1  6.77   (4.69)  3.71 
Net income/ (loss) per unit- Class 1AP  11.38   (1.07)  6.88 
Net income/ (loss) per unit- Class 2  15.30   (1.44)  9.14 
Net income/ (loss) per unit- Class 2a  14.17       
Net income/ (loss) per unit- Class 3a  14.12       
Total Assets $88,477,739  $15,420,967  $16,307,508 
Total owners’ capital-Class 1  56,955,371   7,507,072   10,540,702 
Total owners’ capital-Class 1AP  677,181   5,826   29,897 
Total owners’ capital-Class 2  22,401,557   2,744,375   1,411,440 
Total owners’ capital-Class 2a  516,256       
Total owners’ capital-Class 3a  1,749,006       
Total net asset value per unit- Class 1  134.80   119.58   94.06 
Total net asset value per unit- Class 1AP  144.97   128.60   101.16 
Total net asset value per unit- Class 2  194.99   172.10   134.25 
Total net asset value per unit- Class 2a  169.05       
Total net asset value per unit- Class 3a  168.49       
             
  Equinox Frontier       
  Winton Fund       
Interest-net $7,717         
Total Expenses  2,240,389         
Net gain/(loss) on investments  1,071,349         
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (1,625,498)        
Net income/ (loss) per unit- Class 1  (9.66)        
Net income/ (loss) per unit- Class 1AP  (5.14)        
Net income/ (loss) per unit- Class 2  (6.53)        
Total Assets $41,295,183         
Total owners’ capital-Class 1  20,284,935         
Total owners’ capital-Class 1AP  35,478         
Total owners’ capital-Class 2  11,446,113         
Total net asset value per unit- Class 1  154.51         
Total net asset value per unit- Class 1AP  166.17         
Total net asset value per unit- Class 2  210.98         

28

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2015

  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short
Commodity Fund
 
Interest-net $603,350  $260,900  $141,120 
Total Expenses  4,859,068   2,122,056   1,207,403 
Net gain/(loss) on investments  11,317,997   1,398,913   (391,811)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  2,585,692   (462,243)  (1,458,094)
Net income/ (loss) per unit- Class 1  2.43   (3.74)   
Net income/ (loss) per unit- Class 1a        (6.36)
Net income/ (loss) per unit- Class 2  4.93   (1.93)  (6.20)
Net income/ (loss) per unit- Class 2a        (5.16)
Net income/ (loss) per unit- Class 3  4.84   (1.49)  (6.20)
Net income/ (loss) per unit- Class 3a        (4.91)
Total Assets $56,164,247  $23,001,628  $13,195,609 
Total owners’ capital-Class 1  11,814,234   8,323,800    
Total owners’ capital-Class 1a        4,053,754 
Total owners’ capital-Class 2  34,633,100   7,893,358   993,600 
Total owners’ capital-Class 2a        1,287,665 
Total owners’ capital-Class 3  9,267,632   6,611,141   5,906,669 
Total owners’ capital-Class 3a        851,163 
Total net asset value per unit- Class 1  115.52   112.87    
Total net asset value per unit- Class 1a        94.76 
Total net asset value per unit- Class 2  129.60   126.60   132.10 
Total net asset value per unit- Class 2a        106.19 
Total net asset value per unit- Class 3  119.87   117.57   132.14 
Total net asset value per unit- Class 3a        106.86 
             
  Equinox Frontier
Balanced Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier
Select Fund
 
Interest-net $29,151  $1  $ 
Total Expenses  5,591,382   797,551   968,941 
Net gain/(loss) on investments  4,329,355   555,165   272,917 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (1,492,595)  (450,548)  (730,624)
Net income/ (loss) per unit- Class 1  (3.51)  (6.01)  (5.26)
Net income/ (loss) per unit- Class 1AP  0.39   (2.26)  (2.54)
Net income/ (loss) per unit- Class 2  0.53   (3.02)  (3.37)
Net income/ (loss) per unit- Class 2a  1.86       
Net income/ (loss) per unit- Class 3a  1.85       
Total Assets $91,069,226  $15,625,364  $19,996,286 
Total owners’ capital-Class 1  62,563,337   8,628,726   11,710,517 
Total owners’ capital-Class 1AP  714,747   58,523   47,365 
Total owners’ capital-Class 2  22,708,408   2,853,353   1,338,173 
Total owners’ capital-Class 2a  548,070       
Total owners’ capital-Class 3a  2,435,421       
Total net asset value per unit- Class 1  128.03   124.27   90.35 
Total net asset value per unit- Class 1AP  133.59   129.67   94.28 
Total net asset value per unit- Class 2  179.69   173.54   125.11 
Total net asset value per unit- Class 2a  154.88       
Total net asset value per unit- Class 3a  154.37       
             
  Equinox Frontier
Winton Fund
       
Interest-net $28         
Total Expenses  2,967,166         
Net gain/(loss) on investments  (2,967,138)        
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (2,160,638)        
Net income/ (loss) per unit- Class 1  (11.78)        
Net income/ (loss) per unit- Class 1AP  (6.87)        
Net income/ (loss) per unit- Class 2  (8.72)        
Total Assets $41,615,649         
Total owners’ capital-Class 1  23,022,800         
Total owners’ capital-Class 1AP  36,576         
Total owners’ capital-Class 2  11,882,167         
Total net asset value per unit- Class 1  164.17         
Total net asset value per unit- Class 1AP  171.31         
Total net asset value per unit- Class 2  217.51         

29

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2014

 

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox  Frontier
Long/Short
Commodity Fund
 

Interest - net

  $579,067    $298,175    $216,027  

Total Expenses

   7,289,756     2,939,200     1,487,941  

Net gain / (loss) on investments

   27,814,644     8,093,183     1,582,778  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   14,287,705     5,452,158     1,077,686  

Net income / (loss) per unit - Class 1

   25.99     24.78     —    

Net income / (loss) per unit - Class 1a

   —       —       8.39  

Net income / (loss) per unit - Class 2

   30.32     29.07     13.04  

Net income / (loss) per unit - Class 2a

   —       —       11.01  

Net income / (loss) per unit - Class 3

   30.82     27.15     13.04  

Net income / (loss) per unit - Class 3a

   —       —       11.30  

Total Assets

  $75,398,613    $26,576,520    $16,879,229  

Total owners’ capital - Class 1

   19,195,036     11,850,911     —    

Total owners’ capital - Class 1a

   —       —       5,776,906  

Total owners’ capital - Class 2

   35,224,292     8,868,743     1,246,481  

Total owners’ capital - Class 2a

   —       —       1,702,551  

Total owners’ capital - Class 3

   5,588,281     4,988,200     7,233,099  

Total owners’ capital - Class 3a

   —       —       657,882  

Total net asset value per unit - Class 1

   113.09     116.61     —    

Total net asset value per unit - Class 1a

   —       —       101.12  

Total net asset value per unit - Class 2

   124.67     128.53     138.30  

Total net asset value per unit - Class 2a

   —       —       111.35  

Total net asset value per unit - Class 3

   115.03     119.06     138.34  

Total net asset value per unit - Class 3a

   —       —       111.77  
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
   Equinox Frontier
Select Fund
 

Interest - net

  $27,454    $1    $—    

Total Expenses

   7,434,719     1,056,664     1,364,426  

Net gain / (loss) on investments

   31,862,512     4,838,618     3,799,808  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   19,364,501     2,812,848     2,435,382  

Net income / (loss) per unit - Class 1

   25.25     28.23     15.75  

Net income / (loss) per unit - Class 1AP

   30.58     33.13     21.29  

Net income / (loss) per unit - Class 2

   38.67     42.35     24.34  

Net income / (loss) per unit - Class 2a

   34.22     —       —    

Net income / (loss) per unit - Class 3a

   34.11     —       —    

Total Assets

  $110,738,530    $16,906,298    $15,556,907  

Total owners’ capital - Class 1

   72,098,275     9,761,819     13,663,563  

Total owners’ capital - Class 1AP

   748,275     58,378     47,785  

Total owners’ capital - Class 2

   23,550,697     3,207,182     1,558,130  

Total owners’ capital - Class 2a

   600,287     —       —    

Total owners’ capital - Class 3a

   2,528,303     —       —    

Total net asset value per unit - Class 1

   131.54     130.28     95.61  

Total net asset value per unit - Class 1AP

   133.20     131.93     96.82  

Total net asset value per unit - Class 2

   179.16     176.56     128.48  

Total net asset value per unit - Class 2a

   153.02     —       —    

Total net asset value per unit - Class 3a

   152.52     —       —    
  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short
Commodity Fund
 
Interest-net $579,067  $298,175  $216,027 
Total Expenses  7,289,756   2,939,200   1,487,941 
Net gain/(loss) on investments  21,323,765   8,093,183   1,582,778 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  14,287,705   5,452,158   1,077,686 
Net income/ (loss) per unit- Class 1  25.99   24.78    
Net income/ (loss) per unit- Class 1a        8.39 
Net income/ (loss) per unit- Class 2  30.32   29.07   13.04 
Net income/ (loss) per unit- Class 2a        11.01 
Net income/ (loss) per unit- Class 3  30.82   27.15   13.04 
Net income/ (loss) per unit- Class 3a        11.30 
Total Assets $62,725,802  $26,576,520  $16,879,229 
Total owners’ capital-Class 1  19,195,036   11,850,911    
Total owners’ capital-Class 1a        5,776,906 
Total owners’ capital-Class 2  35,224,292   8,868,743   1,246,481 
Total owners’ capital-Class 2a        1,702,551 
Total owners’ capital-Class 3  5,588,281   4,988,200   7,233,099 
Total owners’ capital-Class 3a        657,882 
Total net asset value per unit- Class 1  113.09   116.61    
Total net asset value per unit- Class 1a        101.12 
Total net asset value per unit- Class 2  124.67   128.53   138.30 
Total net asset value per unit- Class 2a        111.35 
Total net asset value per unit- Class 3  115.03   119.06   138.34 
Total net asset value per unit- Class 3a        111.77 
             
  Equinox Frontier
Balanced Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier
Select Fund
 
Interest-net $27,454  $1  $ 
Total Expenses  7,434,719   1,056,664   1,364,426 
Net gain/(loss) on investments  33,601,230   4,838,618   3,799,808 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  19,364,501   2,812,848   2,435,382 
Net income/ (loss) per unit- Class 1  25.25   28.23   15.75 
Net income/ (loss) per unit- Class 1AP  30.58   33.13   21.29 
Net income/ (loss) per unit- Class 2  38.67   42.35   24.34 
Net income/ (loss) per unit- Class 2a  34.22       
Net income/ (loss) per unit- Class 3a  34.11       
Total Assets $110,738,530  $16,906,298  $15,556,907 
Total owners’ capital-Class 1  72,098,275   9,761,819   13,663,563 
Total owners’ capital-Class 1AP  748,275   58,378   47,785 
Total owners’ capital-Class 2  23,550,697   3,207,182   1,558,130 
Total owners’ capital-Class 2a  600,287       
Total owners’ capital-Class 3a  2,528,303       
Total net asset value per unit- Class 1  131.54   130.28   95.61 
Total net asset value per unit- Class 1AP  133.20   131.93   96.82 
Total net asset value per unit- Class 2  179.16   176.56   128.48 
Total net asset value per unit- Class 2a  153.02       
Total net asset value per unit- Class 3a  152.52       
             
  Equinox Frontier
Winton Fund
       
Interest-net $55         
Total Expenses  3,960,912         
Net gain/(loss) on investments  12,603,511         
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  8,642,654         
Net income/ (loss) per unit- Class 1  36.36         
Net income/ (loss) per unit- Class 1AP  39.25         
Net income/ (loss) per unit- Class 2  52.06         
Total Assets $41,541,451         
Total owners’ capital-Class 1  26,870,878         
Total owners’ capital-Class 1AP  38,042         
Total owners’ capital-Class 2  13,142,313         
Total net asset value per unit- Class 1  175.95         
Total net asset value per unit- Class 1AP  178.18         
Total net asset value per unit- Class 2  226.23         

30

   Equinox Frontier
Winton Fund
 

Interest - net

  $55  

Total Expenses

   3,960,912  

Net gain / (loss) on investments

   12,603,511  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   8,642,654  

Net income / (loss) per unit - Class 1

   36.36  

Net income / (loss) per unit - Class 1AP

   39.25  

Net income / (loss) per unit - Class 2

   52.06  

Total Assets

  $41,541,451  

Total owners’ capital - Class 1

   26,870,878  

Total owners’ capital - Class 1AP

   38,042  

Total owners’ capital - Class 2

   13,142,313  

Total net asset value per unit - Class 1

   175.95  

Total net asset value per unit - Class 1AP

   178.18  

Total net asset value per unit - Class 2

   226.23  

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2013

 

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox Frontier
Long/Short  Commodity
Fund
 

Interest - net

  $1,544,382    $757,793    $945,988  

Total Expenses

   5,290,909     2,956,297     3,021,094  

Net gain / (loss) on investments

   (5,520,937   (2,052,522   7,300,417  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   (9,267,464   (4,251,026   (6,044,396

Net income / (loss) per unit - Class 1

   (7.30   (9.28   —    

Net income / (loss) per unit - Class 1a

   —       —       (15.85

Net income / (loss) per unit - Class 2

   (6.13   (8.15   (20.39

Net income / (loss) per unit - Class 2a

   —       —       (15.11

Net income / (loss) per unit - Class 3

   —       3.90     (20.39

Net income / (loss) per unit - Class 3a

   —       —       (9.13

Total Assets

  $64,685,474    $34,068,483    $28,968,346  

Total owners’ capital - Class 1

   28,744,047     23,115,495     —    

Total owners’ capital - Class 1a

   —       —       8,752,826  

Total owners’ capital - Class 2

   34,714,991     10,406,162     3,371,798  

Total owners’ capital - Class 2a

   —       —       3,103,405  

Total owners’ capital - Class 3

   —       249,127     9,619,596  

Total owners’ capital - Class 3a

   —       —       257,471  

Total net asset value per unit - Class 1

   87.10     91.83     —    

Total net asset value per unit - Class 1a

   —       —       92.73  

Total net asset value per unit - Class 2

   94.35     99.46     125.26  

Total net asset value per unit - Class 2a

   —       —       100.34  

Total net asset value per unit - Class 3

   —       91.91     125.30  

Total net asset value per unit - Class 3a

   —       —       100.47  
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
   Equinox Frontier
Select Fund
 

Interest - net

  $280,359    $109,122    $261,102  

Total Expenses

   7,350,844     938,253     1,365,128  

Net gain / (loss) on investments

   (6,490,128   2,516,149     1,521,198  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   (16,152,498   1,423,001     417,171  

Net income / (loss) per unit - Class 1

   (10.03   7.50     1.20  

Net income / (loss) per unit - Class 2

   (8.71   13.54     4.59  

Net income / (loss) per unit - Class 2a

   (5.56   —       —    

Net income / (loss) per unit - Class 3

   —       —       —    

Net income / (loss) per unit - Class 3a

   (5.55   —       —    

Total Assets

  $124,183,143    $16,696,747    $17,804,703  

Total owners’ capital - Class 1

   80,801,534     11,328,406     15,852,947  

Total owners’ capital - Class 2

   26,611,117     2,850,062     1,758,901  

Total owners’ capital - Class 2a

   491,579     —       —    

Total owners’ capital - Class 3

   —       —       —    

Total owners’ capital - Class 3a

   2,322,629     —       —    

Total net asset value per unit - Class 1

   106.29     102.05     79.86  

Total net asset value per unit - Class 2

   140.49     134.21     104.14  

Total net asset value per unit - Class 2a

   118.80     —       —    

Total net asset value per unit - Class 3

   —       —       —    

Total net asset value per unit - Class 3a

   118.41     —       —    
  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short
Commodity Fund
 
Interest-net $1,544,382  $757,793  $945,988 
Total Expenses  5,290,909   2,956,297   3,021,094 
Net gain/(loss) on investments  (5,520,937)  (2,052,522)  7,300,417 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (9,267,464)  (4,251,026)  (6,044,396)
Net income/ (loss) per unit- Class 1  (7.30)  (9.28)   
Net income/ (loss) per unit- Class 1a        (15.85)
Net income/ (loss) per unit- Class 2  (6.13)  (8.15)  (20.39)
Net income/ (loss) per unit- Class 2a        (15.11)
Net income/ (loss) per unit- Class 3     3.90   (20.39)
Net income/ (loss) per unit- Class 3a        (9.13)
Total Assets $64,685,474  $34,068,483  $28,968,346 
Total owners’ capital-Class 1  28,744,047   23,115,495    
Total owners’ capital-Class 1a        8,752,826 
Total owners’ capital-Class 2  34,714,991   10,406,162   3,371,798 
Total owners’ capital-Class 2a        3,103,405 
Total owners’ capital-Class 3     249,127   9,619,596 
Total owners’ capital-Class 3a        257,471 
Total net asset value per unit- Class 1  87.10   91.83    
Total net asset value per unit- Class 1a        92.73 
Total net asset value per unit- Class 2  94.35   99.46   125.26 
Total net asset value per unit- Class 2a        100.34 
Total net asset value per unit- Class 3     91.91   125.30 
Total net asset value per unit- Class 3a        100.47 
             
  Equinox Frontier
Balanced Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier
Select Fund
 
Interest-net $280,359  $109,122  $261,102 
Total Expenses  7,350,844   938,253   1,365,128 
Net gain/(loss) on investments  (6,490,128)  2,516,149   1,521,198 
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (16,152,498)  1,423,001   417,171 
Net income/ (loss) per unit- Class 1  (10.03)  7.50   1.20 
Net income/ (loss) per unit- Class 2  (8.71)  13.54   4.59 
Net income/ (loss) per unit- Class 2a  (5.56)      
Net income/ (loss) per unit- Class 3         
Net income/ (loss) per unit- Class 3a  (5.55)      
Total Assets $124,183,143  $16,696,747  $17,804,703 
Total owners’ capital-Class 1  80,801,534   11,328,406   15,852,947 
Total owners’ capital-Class 2  26,611,117   2,850,062   1,758,901 
Total owners’ capital-Class 2a  491,579       
Total owners’ capital-Class 3         
Total owners’ capital-Class 3a  2,322,629       
Total net asset value per unit- Class 1  106.29   102.05   79.86 
Total net asset value per unit- Class 2  140.49   134.21   104.14 
Total net asset value per unit- Class 2a  118.80       
Total net asset value per unit- Class 3         
Total net asset value per unit- Class 3a  118.41       
             
  Equinox Frontier
Winton Fund
       
Interest-net $283,863         
Total Expenses  2,340,519         
Net gain/(loss) on investments  4,790,126         
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  2,733,470         
Net income/ (loss) per unit- Class 1  8.86         
Net income/ (loss) per unit- Class 2  15.87         
Net income/ (loss) per unit- Class 3           
Total Assets $37,083,828         
Total owners’ capital-Class 1  26,164,147         
Total owners’ capital-Class 2  10,460,690         
Total owners’ capital-Class 3           
Total net asset value per unit- Class 1  139.59         
Total net asset value per unit- Class 2  174.17         
Total net asset value per unit- Class 3           

31

   Equinox Frontier
Winton Fund
 

Interest - net

  $283,863  

Total Expenses

   2,340,519  

Net gain / (loss) on investments

   4,790,126  

Net increase / (decrease) in owners’ capital resulting from operations attributable to controlling interests

   2,733,470  

Net income / (loss) per unit - Class 1

   8.86  

Net income / (loss) per unit - Class 2

   15.87  

Net income / (loss) per unit - Class 3

   —    

Total Assets

  $37,083,828  

Total owners’ capital - Class 1

   26,164,147  

Total owners’ capital - Class 2

   10,460,690  

Total owners’ capital - Class 3

   —    

Total net asset value per unit - Class 1

   139.59  

Total net asset value per unit - Class 2

   174.17  

Total net asset value per unit - Class 3

   —    

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2012

 

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox Frontier
Long/Short  Commodity
Fund
 

Interest - net

  $2,199,327    $1,038,493    $1,385,312  

Total Expenses

   9,596,941     4,016,767     6,010,679  

Net gain / (loss) on investments

   2,078,348     3,545,722     (11,084,454

Net increase / (decrease) in owners’ capital resulting from operations

   (5,319,266   618,878     (6,542,114

Net income / (loss) per unit - Class 1

   (5.00   0.86     (0.72

Net income / (loss) per unit - Class 1a

   —       —       (13.13

Net income / (loss) per unit - Class 2

   (3.48   2.78     (16.32

Net income / (loss) per unit - Class 2a

   —       —       (11.78

Net income / (loss) per unit - Class 3

   —       —       (16.27

Total Assets

  $116,445,177    $51,943,272    $63,948,673  

Total owners’ capital - Class 1

   58,999,936     34,603,499     —    

Total owners’ capital - Class 1a

   —       —       18,983,538  

Total owners’ capital - Class 2

   56,181,636     16,882,659     6,898,785  

Total owners’ capital - Class 2a

   —       —       10,882,111  

Total owners’ capital - Class 3

   —       —       19,761,047  

Total net asset value per unit - Class 1

   94.40     101.11     135.41  

Total net asset value per unit - Class 1a

   —       —       108.58  

Total net asset value per unit - Class 2

   100.48     107.61     145.65  

Total net asset value per unit - Class 2a

   —       —       115.65  

Total net asset value per unit - Class 3

   —       —       145.69  
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
   Equinox Frontier
Select Fund
 

Interest - net

  $276,272    $134,302    $263,049  

Total Expenses

   16,386,180     1,822,802     2,449,160  

Net gain / (loss) on investments

   7,382,357     (681,944   (2,138,461

Net increase / (decrease) in owners’ capital resulting from operations

   (13,154,863   (2,370,444   (4,324,572

Net income / (loss) per unit - Class 1

   (8.18   10.18     (12.36

Net income / (loss) per unit - Class 1a

   (4.13   —       —    

Net income / (loss) per unit - Class 2

   (5.82   (9.03   (12.29

Net income / (loss) per unit - Class 2a

   (3.99   —       —    

Net income / (loss) per unit - Class 3a

   (4.40   —       —    

Total Assets

  $247,702,914    $20,925,980    $25,650,403  

Total owners’ capital - Class 1

   143,906,872     16,680,498     22,266,758  

Total owners’ capital - Class 2

   51,459,568     4,073,041     3,077,883  

Total owners’ capital - Class 2a

   1,009,520     —       —    

Total owners’ capital - Class 3a

   3,776,790     —       —    

Total net asset value per unit - Class 1

   116.32     94.55     78.66  

Total net asset value per unit - Class 1a

   104.32     —       —    

Total net asset value per unit - Class 2

   149.20     120.67     99.55  

Total net asset value per unit - Class 2a

   124.36     —       —    

Total net asset value per unit - Class 3a

   123.96     —       —    
  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short Commodity
Fund
 
Interest-net $2,199,327  $1,038,493  $1,385,312 
Total Expenses  9,596,941   4,016,767   6,010,679 
Net gain/(loss) on investments  2,078,348   3,545,722   (11,084,454)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (5,319,266)  618,878   (6,542,114)
Net income/ (loss) per unit- Class 1  (5.00)  0.86   (0.72)
Net income/ (loss) per unit- Class 1a        (13.13)
Net income/ (loss) per unit- Class 2  (3.48)  2.78   (16.32)
Net income/ (loss) per unit- Class 2a        (11.78)
Net income/ (loss) per unit- Class 3        (16.27)
Total Assets $116,445,177  $51,943,272  $63,948,673 
Total owners’ capital-Class 1  58,999,936   34,603,499    
Total owners’ capital-Class 1a        18,983,538 
Total owners’ capital-Class 2  56,181,636   16,882,659   6,898,785 
Total owners’ capital-Class 2a        10,882,111 
Total owners’ capital-Class 3        19,761,047 
Total net asset value per unit- Class 1  94.40   101.11   135.41 
Total net asset value per unit- Class 1a        108.58 
Total net asset value per unit- Class 2  100.48   107.61   145.65 
Total net asset value per unit- Class 2a        115.45 
Total net asset value per unit- Class 3        145.69 
             
  Equinox Frontier
Balanced Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier Select
Fund
 
Interest-net $276,272  $134,302  $263,049 
Total Expenses  16,386,180   1,822,802   2,449,160 
Net gain/(loss) on investments  7,382,357   (681,944)  (2,138,461)
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (13,154,863)  (2,370,444)  (4,324,572)
Net income/ (loss) per unit- Class 1  (8.18)  10.18   (12.36)
Net income/ (loss) per unit- Class 1a  (4.13)      
Net income/ (loss) per unit- Class 2  (5.82)  (9.03)  (12.29)
Net income/ (loss) per unit- Class 2a  (3.99)      
Net income/ (loss) per unit- Class 3a  (4.40)      
Total Assets $247,702,914  $20,925,980  $25,650,403 
Total owners’ capital-Class 1  143,906,872   16,680,498   22,266,758 
Total owners’ capital-Class 2  51,459,568   4,073,041   3,077,883 
Total owners’ capital-Class 2a  1,009,520       
Total owners’ capital-Class 3a  3,776,790       
Total net asset value per unit- Class 1  116.32   94.55   78.66 
Total net asset value per unit- Class 1a  104.32       
Total net asset value per unit- Class 2  149.20   120.67   99.55 
Total net asset value per unit- Class 2a  124.36       
Total net asset value per unit- Class 3a  123.96       
             
  Equinox Frontier
Winton Fund
       
Interest-net $531,125         
Total Expenses  2,435,758         
Net gain/(loss) on investments  (1,356,583)        
Net increase/(decrease) in owners’ capital resulting from operations attributable to controlling interests  (3,261,216)        
Net income/ (loss) per unit- Class 1  (10.40)        
Net income/ (loss) per unit- Class 2  (7.52)        
Total Assets $41,241,712         
Total owners’ capital-Class 1  30,645,208         
Total owners’ capital-Class 2  10,314,326         
Total net asset value per unit- Class 1  130.73         
Total net asset value per unit- Class 2  158.30         
Total net asset value per unit- Class 3           

32

   Equinox Frontier
Winton Fund
 

Interest - net

  $531,125  

Total Expenses

   2,435,758  

Net gain / (loss) on investments

   (1,356,583

Net increase / (decrease) in owners’ capital resulting from operations

   (3,261,216

Net income / (loss) per unit - Class 1

   (10.40

Net income / (loss) per unit - Class 2

   (7.52

Total Assets

  $41,241,712  

Total owners’ capital - Class 1

   30,645,208  

Total owners’ capital - Class 2

   10,314,326  

Total net asset value per unit - Class 1

   130.73  

Total net asset value per unit - Class 2

   158.30  

Total net asset value per unit - Class 3

   —    

Table of Contents

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2011

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox Frontier
Long/Short Commodity
Fund
 

Interest - net

  $2,399,088    $1,026,007    $1,371,889  

Total Expenses

   12,210,432     4,466,240     8,087,479  

Net gain / (loss) on investments

   5,428,786     2,393,047     17,234,688  

Net increase / (decrease) in owners’ capital resulting from operations

   (4,382,558   (1,019,452   4,459,637  

Net income / (loss) per unit - Class 1

   (4.18   (2.71   3.40  

Net income / (loss) per unit - Class 1a

   —       —       3.75  

Net income / (loss) per unit - Class 2

   (2.50   (0.98   8.71  

Net income / (loss) per unit - Class 2a

   —       —       6.05  

Net income / (loss) per unit - Class 3

   —       —       8.70  

Total Assets

  $135,642,082    $53,200,171    $107,793,563  

Total owners’ capital - Class 1

   72,424,906     34,090,136     4,159,047  

Total owners’ capital - Class 1a

   —       —       18,891,395  

Total owners’ capital - Class 2

   61,548,698     18,734,861     9,188,762  

Total owners’ capital - Class 2a

   —       —       10,911,464  

Total owners’ capital - Class 3

   —       —       27,810,058  

Total net asset value per unit - Class 1

   99.40     100.25     136.13  

Total net asset value per unit - Class 1a

   —       —       121.71  

Total net asset value per unit - Class 2

   103.96     104.83     161.97  

Total net asset value per unit - Class 2a

   —       —       127.23  

Total net asset value per unit - Class 3

   —       —       161.96  
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Select Fund
   Equinox Frontier
Heritage Fund
 

Interest - net

  $534,877    $106,784    $217,875  

Total Expenses

   24,591,620     2,973,773     2,926,790  

Net gain / (loss) on investments

   5,648,268     (6,401,143   (2,260,583

Net increase / (decrease) in owners’ capital resulting from operations

   (12,244,073   (9,268,132   (4,498,779

Net income / (loss) per unit - Class 1

   (7.45   (19.44   (15.10

Net income / (loss) per unit - Class 1a

   (7.91   —       —    

Net income / (loss) per unit - Class 2

   (4.44   (19.89   (14.34

Net income / (loss) per unit - Class 2a

   (5.31   —       —    

Net income / (loss) per unit - Class 3

   (5.30   —       —    

Total Assets

  $301,978,826    $40,083,210    $31,026,648  

Total owners’ capital - Class 1

   183,785,318     35,180,631     24,783,519  

Total owners’ capital - Class 1a

   2,536,559      

Total owners’ capital - Class 2

   63,372,567     4,433,341     5,990,168  

Total owners’ capital - Class 2a

   2,784,830     —       —    

Total owners’ capital - Class 3a

   2,952,802     —       —    

Total net asset value per unit - Class 1

   124.50     91.02     104.73  

Total net asset value per unit - Class 1a

   108.45     —       —    

Total net asset value per unit - Class 2

   155.02     111.84     129.70  

Total net asset value per unit - Class 2a

   128.35     —       —    

Total net asset value per unit - Class 3

   128.36     —       —    

   Equinox Frontier
Winton Fund
 

Interest - net

  $457,889  

Total Expenses

   3,596,286  

Net gain / (loss) on investments

   5,865,030  

Net increase / (decrease) in owners’ capital resulting from operations

   2,726,633  

Net income / (loss) per unit - Class 1

   6.09  

Net income / (loss) per unit - Class 2

   11.83  

Net income / (loss) per unit - Class 3

   —    

Total Assets

  $50,363,648  

Total owners’ capital - Class 1

   38,345,799  

Total owners’ capital - Class 2

   11,702,325  

Total owners’ capital - Class 3

   —    

Total net asset value per unit - Class 1

   141.13  

Total net asset value per unit - Class 2

   165.82  

Total net asset value per unit - Class 3

   —    

AS OF AND FOR THE YEAR ENDED DECEMBER 31, 2010

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox Frontier
Long/Short  Commodity
Fund
 

Interest - net

  $2,225,700    $941,795    $1,120,080  

Total Expenses

   9,452,058     3,767,056     8,021,021  

Net gain / (loss) on investments

   18,519,243     8,845,121     15,903,113  

Net increase / (decrease) in owners’ capital resulting from operations

   11,135,880     6,019,860     11,915,293  

Net income / (loss) per unit - Class 1

   6.78     8.50     18.96  

Net income / (loss) per unit - Class 1a

   —       —       16.47  

Net income / (loss) per unit - Class 2

   8.69     10.44     25.77  

Net income / (loss) per unit - Class 2a

   —       —       18.70  

Net income / (loss) per unit - Class 3

   —       —       25.77  

Total Assets

  $162,451,657    $67,230,426    $79,526,348  

Total owners’ capital - Class 1

   90,022,131     41,213,675     31,185,756  

Total owners’ capital - Class 1a

   —       —       5,652,309  

Total owners’ capital - Class 2

   69,473,841     25,062,055     15,584,978  

Total owners’ capital - Class 2a

   —       —       3,761,826  

Total owners’ capital - Class 3

   —       —       20,998,571  

Total net asset value per unit - Class 1

   103.58     102.96     132.73  

Total net asset value per unit - Class 1a

   —       —       117.96  

Total net asset value per unit - Class 2

   106.46     105.81     153.26  

Total net asset value per unit - Class 2a

   —       —       121.18  

Total net asset value per unit - Class 3

   —       —       153.26  
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
   Equinox Frontier
Select Fund
 

Interest - net

  $404,451    $263,156    $8,268  

Total Expenses

   26,553,122     4,321,685     4,848,257  

Net gain / (loss) on investments

   82,334,394     11,966,369     10,645,135  

Net increase / (decrease) in owners’ capital resulting from operations

   41,691,751     5,263,217     3,912,601  

Net income / (loss) per unit - Class 1

   13.41     9.77     5.81  

Net income / (loss) per unit - Class 1a

   10.86      

Net income / (loss) per unit - Class 2

   20.45     15.65     10.63  

Net income / (loss) per unit - Class 2a

   16.06     —       —    

Net income / (loss) per unit - Class 3

   16.06     —       —    

Total Assets

  $436,618,030    $64,282,827    $71,057,049  

Total owners’ capital - Class 1

   287,807,510     45,898,246     61,842,996  

Total owners’ capital - Class 1a

   5,120,558      

Total owners’ capital - Class 2

   76,715,728     11,612,192     8,386,332  

Total owners’ capital - Class 2a

   3,562,374     —       —    

Total owners’ capital - Class 3a

   3,691,280     —       —    

Total net asset value per unit - Class 1

   131.95     119.83     110.46  

Total net asset value per unit - Class 1a

   116.36      

Total net asset value per unit - Class 2

   159.46     144.04     131.73  

Total net asset value per unit - Class 2a

   133.66     —       —    

Total net asset value per unit - Class 3

   133.66     —       —    

   Equinox Frontier
Winton Fund
 

Interest - net

  $306,338  

Total Expenses

   3,812,097  

Net gain / (loss) on investments

   12,010,660  

Net increase / (decrease) in owners’ capital resulting from operations

   8,504,901  

Net income / (loss) per unit - Class 1

   17.47  

Net income / (loss) per unit - Class 2

   23.89  

Net income / (loss) per unit - Class 3

  

Total Assets

  $61,570,878  

Total owners’ capital - Class 1

   49,350,981  

Total owners’ capital - Class 2

   11,368,456  

Total owners’ capital - Class 3

   —    

Total net asset value per unit - Class 1

   135.04  

Total net asset value per unit - Class 2

   153.99  

Total net asset value per unit - Class 3

   —    

Supplementary Quarterly Financial Information

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2016. The information in this chart has been prepared under the consolidation accounting policy discussed in Note 2 of the Series of Equinox Frontier Funds Financial Statements that accompany this filing. That policy was implemented in the current year. Previously filed quarterly data was prepared prior to the implementation of this accounting policy and has been modified accordingly.

  1st Quarter  2nd Quarter  3rd Quarter  4th Quarter 
  2016 (unaudited)  2016 (unaudited)  2016 (unaudited)  2016 (unaudited) 
Equinox Frontier Diversified Fund:                
Net gain (loss) on investments $2,972,555   (793,944)  (297,399) $2,288,629 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,533,771   (790,611)  (359,558) $779,688 
Increase (decrease) in net asset value per Class 1 units $2.91  $(0.37) $(2.27) $0.64 
Increase (decrease) in net asset value per Class 2 units $3.84  $0.17  $(1.98) $1.31 
Increase (decrease) in net asset value per Class 3 units $3.63  $0.23  $(1.75) $1.29 
Net asset value per Class 1 units $118.43  $118.06  $115.79  $116.43 
Net asset value per Class 2 units $133.44  $133.61  $131.63  $132.94 
Net asset value per Class 3 units $123.50  $123.73  $121.98  $123.27 
                 
Equinox Frontier Masters Fund:                
Net gain (loss) on investments $1,866,339  $395,214  $66,778  $(583,170)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,350,376  $136,389  $(58,348) $(936,281)
Increase (decrease) in net asset value per Class 1unit $6.14  $0.84  $(0.81) $(6.24)
Increase (decrease) in net asset value per Class 2 unit $7.47  $1.54  $(0.31) $(6.52)
Increase (decrease) in net asset value per Class 3 unit $7.02  $1.50  $(0.20) $(6.00)
Net asset value per Class 1 unit $119.01  $119.85  $119.04  $112.80 
Net asset value per Class 2 unit $134.07  $135.61  $135.30  $128.78 
Net asset value per Class 3 unit $124.59  $126.09  $125.89  $119.89 
                 
Equinox Frontier Long/Short Commodity Fund:                
Net gain (loss) on investments $80,555   435,335  $(263,816) $231,545 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(240,272)  103,878  $(329,162) $332,386 
Increase (decrease) in net asset value per Class 1a units $(2.21) $0.40  $(3.21) $3.04 
Increase (decrease) in net asset value per Class 2 units $(2.60) $1.05  $(4.99) $4.00 
Increase (decrease) in net asset value per Class 2a units $(2.03) $1.10  $(3.49) $3.90 
Increase (decrease) in net asset value per Class 3 units $(2.61) $0.92  $(3.68) $4.03 
Increase (decrease) in net asset value per Class 3a units $(1.97) $0.73  $(2.15) $4.03 
Net asset value per Class 1a units $92.55  $92.95  $89.74  $92.78 
Net asset value per Class 2 units $129.50  $130.55  $125.56  $129.56 
Net asset value per Class 2a units $104.16  $105.26  $101.77  $105.67 
Net asset value per Class 3 units $129.53  $130.45  $126.77  $130.80 
Net asset value per Class 3a units $104.89  $105.62  $103.47  $107.50 
                 
Equinox Frontier Balanced Fund:                
Net gain (loss) on investments $5,049,993   506,563   1,713,116  $3,216,914 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $3,122,472   228,316   (385,973) $2,332,851 
Increase (decrease) in net asset value per Class 1 units $4.15  $(1.68) $0.02  $4.28 
Increase (decrease) in net asset value per Class 1AP units (8) $5.38  $(0.74) $1.08  $5.66 
Increase (decrease) in net asset value per Class 2 units $7.23  $(1.00) $1.46  $7.61 
Increase (decrease) in net asset value per Class 2a units $6.61  $(0.55) $1.41  $6.70 
Increase (decrease) in net asset value per Class 3a units $6.59  $(0.55) $1.40  $6.68 
Net asset value per Class 1 units $132.18  $130.50  $130.52  $134.80 
Net asset value per Class 1AP units (8) $138.97  $138.23  $139.31  $144.97 
Net asset value per Class 2 units $186.92  $185.92  $187.38  $194.99 
Net asset value per Class 2a units $161.49  $160.94  $162.35  $169.05 
Net asset value per Class 3a units $160.96  $160.41  $161.81  $168.49 
                 
Equinox Frontier Select Fund:                
Net gain (loss) on investments $2,458,845  $83,339  $10,160  $(153,390)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,325,471  $(184,145) $(234,575) $(288,962)
Increase (decrease) in net asset value per Class 1 units $9.05  $(1.28) $(1.86) $(2.20)
Increase (decrease) in net asset value per Class 1AP units (8) $10.22  $(0.57) $(1.18) $(1.59)
Increase (decrease) in net asset value per Class 2 units $13.57  $(0.76) $(1.57) $(2.10)
Net asset value per Class 1 units $99.40  $98.12  $96.26  $94.06 
Net asset value per Class 1AP units (8) $104.50  $103.93  $102.75  $101.16 
Net asset value per Class 2 units $138.68  $137.92  $136.35  $134.25 
                 
Equinox Frontier Winton Fund:                
Net gain (loss) on investments $3,032,321  $2,031,063  $(1,783,567) $(2,208,468)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,166,285  $575,743  $(1,643,430) $(1,724,096)
Increase (decrease) in net asset value per Class 1 units $5.01  $2.35  $(8.31) $(8.71)
Increase (decrease) in net asset value per Class 1AP units (8) $6.55  $3.82  $(7.46) $(8.05)
Increase (decrease) in net asset value per Class 2 units $8.31  $4.85  $(9.47) $(10.22)
Net asset value per Class 1 units $169.18  $171.53  $163.22  $154.51 
Net asset value per Class 1AP units (8) $177.86  $181.68  $174.22  $166.17 
Net asset value per Class 2 units $225.82  $230.67  $221.20  $210.98 
                 
Equinox Frontier Heritage Fund:                
Net gain (loss) on investments $1,237,263  $(39,331) $(386,484) $(286,666)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $631,785  $(74,435) $(429,665) $(429,322)
Increase (decrease) in net asset value per Class 1 units $6.49  $(0.99) $(5.13) $(5.06)
Increase (decrease) in net asset value per Class 1AP units (8) $7.80  $(0.02) $(4.41) $(4.44)
Increase (decrease) in net asset value per Class 2 units $10.43  $(0.03) $(5.89) $(5.95)
Net asset value per Class 1 units $130.76  $129.77  $124.64  $119.58 
Net asset value per Class 1AP units (8) $137.47  $137.45  $133.04  $128.60 
Net asset value per Class 2 units $183.97  $183.94  $178.05  $172.10 

33

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2015.

  1st Quarter  2nd Quarter  3rd Quarter  4th Quarter 
  2015 (unaudited)  2015 (unaudited)  2015 (unaudited)  2015 (unaudited) 
Equinox Frontier Diversified Fund:                
Net gain (loss) on investments $15,234,471  $(7,276,498) $3,137,315  $222,709 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $13,030,463  $(7,505,363) $885,542  $(3,824,950)
Increase (decrease) in net asset value per Class 1 units $18.57  $(16.11) $1.45  $2.43 
Increase (decrease) in net asset value per Class 2 units $21.09  $(17.27) $2.19  $4.93 
Increase (decrease) in net asset value per Class 3 units $19.54  $(15.87) $2.09  $4.84 
Net asset value per Class 1 units $131.66  $115.55  $117.00  $115.52 
Net asset value per Class 2 units $145.76  $128.49  $130.68  $129.60 
Net asset value per Class 3 units $134.57  $118.70  $120.79  $119.87 
                 
Equinox Frontier Masters Fund:                
Net gain (loss) on investments $3,440,003  $(3,430,447) $1,409,605  $(20,248)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $2,578,394  $(3,793,874) $746,021  $7,216 
Increase (decrease) in net asset value per Class 1unit $11.77  $(18.37) $3.30  $(3.74)
Increase (decrease) in net asset value per Class 2 unit $13.59  $(19.80) $4.22  $(1.93)
Increase (decrease) in net asset value per Class 3 unit $12.67  $(18.28) $3.99  $(1.49)
Net asset value per Class 1 unit $128.38  $110.01  $113.31  $112.87 
Net asset value per Class 2 unit $142.12  $122.32  $126.54  $126.60 
Net asset value per Class 3 unit $131.73  $113.45  $117.44  $117.57 
                 
Equinox Frontier Long/Short Commodity Fund:                
Net gain (loss) on investments $2,732,204  $(1,822,067) $(1,047,364) $(1,915,295)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $2,316,181  $(2,045,099) $(1,251,451) $(477,725)
Increase (decrease) in net asset value per Class 1a units $19.58  $(13.53) $(8.87) $(6.36)
Increase (decrease) in net asset value per Class 2 units $27.90  $(18.04) $(11.63) $(6.20)
Increase (decrease) in net asset value per Class 2a units $22.14  $(47.46) $(9.36) $(5.16)
Increase (decrease) in net asset value per Class 3 units $27.72  $(17.86) $(11.63) $(6.20)
Increase (decrease) in net asset value per Class 3a units $22.32  $(14.45) $(9.34) $(4.91)
Net asset value per Class 1a units $120.70  $107.17  $98.30  $94.76 
Net asset value per Class 2 units $166.20  $148.16  $136.53  $132.10 
Net asset value per Class 2a units $133.49  $119.03  $109.67  $106.19 
Net asset value per Class 3 units $166.06  $148.20  $136.57  $132.14 
Net asset value per Class 3a units $134.09  $119.64  $110.30  $106.86 
                 
Equinox Frontier Balanced Fund:                
Net gain (loss) on investments $16,254,937  $(11,603,137) $(16,101) $(306,344)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $12,927,288  $(12,148,257) $(1,161,838) $(1,109,788)
Increase (decrease) in net asset value per Class 1 units $17.26  $(16.98) $(1.92) $(3.51)
Increase (decrease) in net asset value per Class 1AP units (8) $18.60  $(16.31) $(0.96) $0.39 
Increase (decrease) in net asset value per Class 2 units $25.01  $(21.93) $(1.29) $0.53 
Increase (decrease) in net asset value per Class 2a units $21.74  $(18.40) $(0.74) $1.86 
Increase (decrease) in net asset value per Class 3a units $21.67  $(18.34) $(0.74) $1.85 
Net asset value per Class 1 units $148.80  $131.82  $129.90  $128.03 
Net asset value per Class 1AP units (8) $151.80  $135.49  $134.53  $133.59 
Net asset value per Class 2 units $204.17  $182.24  $180.95  $179.69 
Net asset value per Class 2a units $174.76  $156.36  $155.62  $154.88 
Net asset value per Class 3a units $174.19  $155.85  $155.11  $154.37 
                 
Equinox Frontier Select Fund:                
Net gain (loss) on investments $2,741,233  $(4,071,120) $1,808,306  $(205,502)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,683,063  $(2,913,177) $895,851  $(396,361)
Increase (decrease) in net asset value per Class 1 units $10.55  $(18.85) $5.85  $(5.26)
Increase (decrease) in net asset value per Class 1AP units (8) $11.49  $(18.57) $6.74  $(2.54)
Increase (decrease) in net asset value per Class 2 units $15.25  $(24.64) $8.94  $(3.37)
Net asset value per Class 1 units $106.16  $87.31  $93.16  $90.35 
Net asset value per Class 1AP units (8) $108.31  $89.74  $96.48  $94.28 
Net asset value per Class 2 units $143.73  $119.09  $128.03  $125.11 
                 
Equinox Frontier Winton Fund:                
Net gain (loss) on investments $4,997,118  $(5,119,775) $1,646,828  $(143,546)
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $3,676,291  $(5,700,069) $885,063  $(1,021,923)
Increase (decrease) in net asset value per Class 1 units $15.95  $(26.05) $3.50  $(11.78)
Increase (decrease) in net asset value per Class 1AP units (8)     $(25.31) $4.93  $(6.87)
Increase (decrease) in net asset value per Class 2 units $17.59  $(32.13) $6.25  $(8.72)
Net asset value per Class 1 units $191.90  $165.85  $169.35  $164.17 
Net asset value per Class 1AP units (8)     $170.46  $175.39  $171.31 
Net asset value per Class 2 units $195.77  $216.43  $222.68  $217.51 
                 
Equinox Frontier Heritage Fund:                
Net gain (loss) on investments $3,048,084  $(2,770,445) $105,347  $172,179 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $1,767,687  $(2,101,869) $319,718  $(436,084)
Increase (decrease) in net asset value per Class 1 units $17.59  $(21.77) $3.05  $(6.01)
Increase (decrease) in net asset value per Class 1AP units (8) $18.93  $(21.25) $4.14  $(2.26)
Increase (decrease) in net asset value per Class 2 units $25.33  $(28.44) $5.54  $(3.02)
Net asset value per Class 1 units $147.87  $126.10  $129.15  $124.27 
Net asset value per Class 1AP units (8) $150.86  $129.61  $133.75  $129.67 
Net asset value per Class 2 units $201.89  $173.45  $178.99  $173.54 

34

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2014.

 

 1st Quarter 2nd Quarter 3rd Quarter 4th Quarter 
  1st Quarter
2014 (unaudited)
   2nd Quarter
2014 (unaudited)
   3rd Quarter
2014 (unaudited)
   4th Quarter
2014 (unaudited)
  2014 (unaudited) 2014 (unaudited) 2014 (unaudited) 2014 (unaudited) 

Equinox Frontier Diversified Fund:

        
Equinox Frontier Diversified Fund (1):                

Net gain (loss) on investments

  ($1,584,528  $4,070,105    $6,490,602     $12,347,588   $(1,584,528) $4,070,105  $6,490,602  $12,347,588 

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($2,619,266  $2,547,276    $5,261,494     $9,423,574  
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(2,619,266) $2,547,276  $5,261,494  $9,423,574 

Increase (decrease) in net asset value per Class 1 units

  ($4.33  $4.00    $9.12     $17.20   $(4.33) $4.00  $9.12  $17.20 

Increase (decrease) in net asset value per Class 2 units

  ($4.30  $4.76    $10.43     $19.43   $(4.30) $4.76  $10.43  $19.43 

Increase (decrease) in net asset value per Class 3 units

  ($1.29  $4.45    $9.67     $17.99   $(1.29) $4.45  $9.67  $17.99 

Net asset value per Class 1 units

   $82.77    $86.77    $95.89     $113.09   $82.77  $86.77  $95.89  $113.09 

Net asset value per Class 2 units

   $90.05    $94.81    $105.24     $124.67   $90.05  $94.81  $105.24  $124.67 

Net asset value per Class 3 units

   $82.92    $87.37    $97.04     $115.03   $82.92  $87.37  $97.04  $115.03 

Equinox Frontier Masters Fund:

        
                
Equinox Frontier Masters Fund (2):                

Net gain (loss) on investments

  ($1,139,641  $2,119,822    $2,557,909     $4,555,093   $(1,139,641) $2,119,822  $2,557,909  $4,555,093 

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($1,615,359  $1,569,419    $1,965,207     $3,532,891  
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(1,615,359) $1,569,419  $1,965,207  $3,532,891 

Increase (decrease) in net asset value per Class 1 unit

  ($4.53  $5.67    $8.12     $15.52   $(4.53) $5.67  $8.12  $15.52 

Increase (decrease) in net asset value per Class 2 unit

  ($4.50  $6.61    $9.36     $17.60   $(4.50) $6.61  $9.36  $17.60 

Increase (decrease) in net asset value per Class 3 unit

  ($4.11  $6.17    $8.73     $16.36   $(4.11) $6.17  $8.73  $16.36 

Net asset value per Class 1 unit

   $87.30    $92.97    $101.09     $116.61   $87.30  $92.97  $101.09  $116.61 

Net asset value per Class 2 unit

   $94.96    $101.57    $110.93     $128.53   $94.96  $101.57  $110.93  $128.53 

Net asset value per Class 3 unit

   $87.80    $93.97    $102.70     $119.06   $87.80  $93.97  $102.70  $119.06 

Equinox Frontier Long/Short Commodity Fund:

        
                
Equinox Frontier Long/Short Commodity Fund (3):                

Net gain (loss) on investments

  ($4,086,877  $1,521,079    $4,217,572    ($68,995 $(4,086,877) $1,521,079  $4,217,572  $(68,995)

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($4,424,801  $111,679    $3,901,860    ($417,500
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(4,424,801) $111,679  $3,901,860  $(417,500)

Increase (decrease) in net asset value per Class 1a units

  ($10.31  $0.34    $21.24    ($2.88 $(10.31) $0.34  $21.24  $(2.88)

Increase (decrease) in net asset value per Class 2 units

  ($13.78  $0.69    $29.33    ($3.20 $(13.78) $0.69  $29.33  $(3.20)

Increase (decrease) in net asset value per Class 2a units

  ($10.78  $0.76    $23.70    ($2.67 $(10.78) $0.76  $23.70  $(2.67)

Increase (decrease) in net asset value per Class 3 units

  ($13.79  $0.69    $29.34    ($3.20 $(13.79) $0.69  $29.34  $(3.20)

Increase (decrease) in net asset value per Class 3a units

  ($10.73  $0.82    $23.82    ($2.61 $(10.73) $0.82  $23.82  $(2.61)

Net asset value per Class 1a units

   $82.42    $82.76    $104.00     $101.12   $82.42  $82.76  $104.00  $101.12 

Net asset value per Class 2 units

   $111.48    $112.17    $141.50     $138.30   $111.48  $112.17  $141.50  $138.30 

Net asset value per Class 2a units

   $89.56    $90.32    $114.02     $111.35   $89.56  $90.32  $114.02  $111.35 

Net asset value per Class 3 units

   $111.51    $112.20    $141.54     $138.34   $111.51  $112.20  $141.54  $138.34 

Net asset value per Class 3a units

   $89.74    $90.56    $114.38     $111.77   $89.74  $90.56  $114.38  $111.77 

Equinox Frontier Balanced Fund:

        
                
Equinox Frontier Balanced Fund (4):                

Net gain (loss) on investments

  ($2,141,831  $6,379,507    $10,465,597     $18,898,072   $(2,141,831) $6,379,507  $10,465,597  $18,898,072 

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($4,165,357  $1,705,510    $8,478,094     $13,346,369  
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(4,165,357) $1,705,510  $8,478,094  $13,346,369 

Increase (decrease) in net asset value per Class 1 units

  ($4.30  $1.87    $10.39     $17.29   $(4.30) $1.87  $10.39  $17.29 

Increase (decrease) in net asset value per Class 1AP units (1)

      $12.20     $18.37  
Increase (decrease) in net asset value per Class 1AP units (8)         $12.20  $18.37 

Increase (decrease) in net asset value per Class 2 units

  ($4.68  $3.54    $15.10     $24.71   $(4.68) $3.54  $15.10  $24.71 

Increase (decrease) in net asset value per Class 2a units

  ($3.63  $3.30    $13.16     $21.38   $(3.63) $3.30  $13.16  $21.38 

Increase (decrease) in net asset value per Class 3a units

  ($3.61  $3.29    $13.12     $21.31   $(3.61) $3.29  $13.12  $21.31 

Net asset value per Class 1 units

   $101.99    $103.86    $114.25     $131.54   $101.99  $103.86  $114.25  $131.54 

Net asset value per Class 1AP units (8)

      $114.83     $133.20           $114.83  $133.20 

Net asset value per Class 2 units

   $135.81    $139.35    $154.45     $179.16   $135.81  $139.35  $154.45  $179.16 

Net asset value per Class 2a units

   $115.17    $118.48    $131.64     $153.02   $115.17  $118.48  $131.64  $153.02 

Net asset value per Class 3a units

   $114.80    $118.09    $131.21     $152.52   $114.80  $118.09  $131.21  $152.52 
                

Equinox Frontier Select Fund (5):

                        

Net gain (loss) on investments

  ($770,338  $902,903    $1,619,376     $2,047,868   $(770,338) $902,903  $1,619,376  $2,047,868 

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($1,043,766  $610,991    $1,204,743     $1,663,415  
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(1,043,766) $610,991  $1,204,743  $1,663,415 

Increase (decrease) in net asset value per Class 1 units

  ($4.85  $3.22    $7.09     $10.29   $(4.85) $3.22  $7.09  $10.29 

Increase (decrease) in net asset value per Class 1AP units (1)

      $10.22     $11.07  
Increase (decrease) in net asset value per Class 1AP units (8)         $10.22  $11.07 

Increase (decrease) in net asset value per Class 2 units

  ($5.59  $5.01    $12.23     $14.69   $(5.59) $5.01  $12.23  $14.69 

Net asset value per Class 1 units

   $75.01    $78.23    $85.32     $95.61   $75.01  $78.23  $85.32  $95.61 

Net asset value per Class 1AP units (8)

      $85.75     $96.82           $85.75  $96.82 

Net asset value per Class 2 units

   $98.55    $103.56    $113.79     $128.48   $98.55  $103.56  $113.79  $128.48 

Equinox Frontier Winton Fund:

        
                
Equinox Frontier Winton Fund (6):                

Net gain (loss) on investments

  ($103,198  $2,996,455    $1,751,401     $7,958,850   $(103,198) $2,996,455  $1,751,401  $7,958,850 

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($631,089  $2,051,148    $1,012,414     $6,210,178  
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(631,089) $2,051,148  $1,012,414  $6,210,178 

Increase (decrease) in net asset value per Class 1 units

  ($2.66  $8.14    $4.10     $26.78   $(2.66) $8.14  $4.10  $26.78 

Increase (decrease) in net asset value per Class 1AP units (1)

      $10.99     $28.26  

Increase (decrease) in net asset value per Class 2 units

  ($2.05  $11.59    $6.62     $35.89  

Net asset value per Class 1 units

   $136.93    $145.07    $149.17     $175.95  

Net asset value per Class 1AP units (1)

      $149.92     $178.18  

Net asset value per Class 2 units

   $172.12    $183.72    $190.34     $226.23  

Equinox Frontier Heritage Fund:

        

Net gain (loss) on investments

  ($1,236,579  $1,418,344    $1,275,742     $3,381,113  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($874,418  $832,265    $677,551     $2,177,452  

Increase (decrease) in net asset value per Class 1 units

  ($6.64  $7.02    $6.37     $21.33  

Increase (decrease) in net asset value per Class 1AP units (1)

      $10.70     $22.43  
Increase (decrease) in net asset value per Class 1AP units (8)         $10.99  $28.26 

Increase (decrease) in net asset value per Class 2 units

  ($7.80  $10.31    $9.60     $30.03   $(2.05) $11.59  $6.62  $35.89 

Net asset value per Class 1 units

   $95.41    $102.58    $108.95     $130.28   $136.93  $145.07  $149.17  $175.95 

Net asset value per Class 1AP units (8)

      $109.50     $131.93           $149.92  $178.18 

Net asset value per Class 2 units

   $126.41    $136.93    $146.53     $176.56   $172.12  $183.72  $190.34  $226.23 
                
Equinox Frontier Heritage Fund (7):                
Net gain (loss) on investments $(1,236,579) $1,418,344  $370,678  $3,381,113 
Net increase/(decrease) in capital resulting from operations attributable to controlling interests $(1,412,412) $832,265  $677,551  $2,177,452 
Increase (decrease) in net asset value per Class 1 units $(6.64) $7.02  $6.37  $21.33 
Increase (decrease) in net asset value per Class 1AP units (8)         $10.70  $22.43 
Increase (decrease) in net asset value per Class 2 units $(7.80) $10.31  $9.60  $30.03 
Net asset value per Class 1 units $95.41  $102.58  $108.95  $130.28 
Net asset value per Class 1AP units (8)         $109.50  $131.93 
Net asset value per Class 2 units $126.41  $136.93  $146.53  $176.56 

35

(1)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2013.

   1st Quarter
2013 (unaudited)
   2nd Quarter
2013 (unaudited)
   3rd Quarter
2013 (unaudited)
   4th Quarter
2013 (unaudited)
 

Equinox Frontier Diversified Fund:

        

Net gain (loss) on investments

  ($113,017  ($7,089,299  ($6,696,322   $8,378,001  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($1,173,341  ($7,920,142  ($7,331,811   $7,158,130  

Increase (decrease) in net asset value per Class 1 units

  ($1.19  ($7.66  ($7.42   $8.97  

Increase (decrease) in net asset value per Class 2 units

  ($0.84  ($7.79  ($7.59   $10.09  

Net asset value per Class 1 units

   $93.21     $85.55     $78.13     $87.10  

Net asset value per Class 2 units

   $99.64     $91.85     $84.26     $94.35  

Equinox Frontier Masters Fund:

        

Net gain (loss) on investments

   $883,034    ($2,575,152  ($2,509,310   $2,151,906  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

   $321,529    ($3,146,403  ($3,041,836   $1,618,684  

Increase (decrease) in net asset value per Class 1 unit

   $0.53    ($6.90  ($6.87   $3.96  

Increase (decrease) in net asset value per Class 2 unit

   $0.99    ($6.89  ($6.96   $4.71  

Increase (decrease) in net asset value per Class 3 unit

         $3.90  

Net asset value per Class 1 unit

   $101.64     $94.74     $87.87     $91.83  

Net asset value per Class 2 unit

   $108.60     $101.71     $94.75     $99.46  

Net asset value per Class 3 unit

         $91.91  

Equinox Frontier Long/Short Commodity Fund:

        

Net gain (loss) on investments

  ($1,371,456  ($3,603,745  ($3,403,485   $1,078,269  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($194,728  ($4,184,929  ($2,283,631   $(236,835

Increase (decrease) in net asset value per Class 1a units

  ($0.61  ($8.07  ($6.30  ($0.87

Increase (decrease) in net asset value per Class 2 units

  ($0.54  ($10.65  ($8.37  ($0.83

Increase (decrease) in net asset value per Class 2a units

  ($0.16  ($8.15  ($6.30  ($0.50

Increase (decrease) in net asset value per Class 3 units

  ($0.55  ($10.65  ($8.37  ($0.82

Increase (decrease) in net asset value per Class 3a units

   N/A    ($2.45  ($6.24  ($0.44

Net asset value per Class 1a units

   $107.97     $99.90     $93.60     $92.73  

Net asset value per Class 2 units

   $145.11     $134.46     $126.09     $125.26  

Net asset value per Class 2a units

   $115.29     $107.14     $100.84     $100.34  

Net asset value per Class 3 units

   $145.14     $134.49     $126.12     $125.30  

Net asset value per Class 3a units

     $107.15     $100.91     $100.47  

Equinox Frontier Balanced Fund:

        

Net gain (loss) on investments

  ($3,972,194  ($8,942,702  ($10,036,310   16,461,078  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($3,212,419  ($13,129,934  ($9,721,779   9,911,634  

Increase (decrease) in net asset value per Class 1 units

  ($2.12  ($9.31  ($7.17   $8.57  

Increase (decrease) in net asset value per Class 2 units

  ($1.65  ($11.01  ($8.34   $12.29  

Increase (decrease) in net asset value per Class 2a units

  ($0.90  ($8.77  ($6.58   $10.69  

Increase (decrease) in net asset value per Class 3a units

  ($0.91  ($8.74  ($6.56  ($5.76

Net asset value per Class 1 units

   $114.20     $104.89     $97.72     $106.29  

Net asset value per Class 2 units

   $147.55     $136.54     $128.20     $140.49  

Net asset value per Class 2a units

   $123.46     $114.69     $108.11     $118.80  

Net asset value per Class 3a units

   $123.05     $114.31     $107.75     $118.41  

Equinox Frontier Select Fund:

        

Net gain (loss) on investments

   $1,322,891    ($31,845  ($1,021,631   $1,188,093  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

   $1,001,644    ($215,120  ($1,275,734   906,381  

Increase (decrease) in net asset value per Class 1 units

   $3.20    ($0.85  ($4.99   $3.84  

Increase (decrease) in net asset value per Class 2 units

   $4.80    ($0.31  ($5.65   $5.75  

Net asset value per Class 1 units

   $81.86     $81.01     $76.02     $79.86  

Net asset value per Class 2 units

  $104.35     $104.04     $98.39     $104.14  

Equinox Frontier Winton Fund:

        

Net gain (loss) on investments

   $2,311,200    ($529,952  ($380,598   $3,389,476  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

   $1,871,424    ($1,007,300  ($862,383   $2,731,729  

Increase (decrease) in net asset value per Class 1 units

   $5.80    ($3.72  ($3.19   $9.97  

Increase (decrease) in net asset value per Class 2 units

   $8.22    ($3.33  ($2.68   $13.66  

Net asset value per Class 1 units

   $136.53     $132.81     $129.62     $139.59  

Net asset value per Class 2 units

   $166.52     $163.19     $160.51     $174.17  

Equinox Frontier Heritage Fund:

        

Net gain (loss) on investments

   $1,759,853    ($414,134  ($249,447   $1,419,877  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

   $1,501,008    ($605,972  ($427,171   $955,136  

Increase (decrease) in net asset value per Class 1 units

   $7.08    ($3.55  ($2.53   $6.50  

Increase (decrease) in net asset value per Class 2 units

   $9.98    ($3.61  ($2.32   $9.49  

Net asset value per Class 1 units

  $101.63     $98.08     $95.55     $102.05  

Net asset value per Class 2 units

   $130.65     $127.04     $124.72     $134.21  

The following summarized quarterly financial information presents the Trust’s results of operations for the three-month periods ended March 31, June 30, September 30, and December 31, 2012.

   1st Quarter
2012 (unaudited)
   2nd Quarter
2012 (unaudited)
   3rd Quarter
2012 (unaudited)
   4th Quarter
2012 (unaudited)
 

Equinox Frontier Diversified Fund:

        

Net gain (loss) on investments

  ($4,245,182   $6,100,289     $3,088,069     $(2,864,828

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($5,335,328   $3,422,181     $610,072     $(4,016,191

Increase (decrease) in net asset value per Class 1 units

  ($4.17   $2.37     $0.22    ($3.42

Increase (decrease) in net asset value per Class 2 units

  ($3.92   $2.95     $0.67    ($3.18

Net asset value per Class 1 units

   $95.23     $97.60     $97.82     $94.40  

Net asset value per Class 2 units

   $100.04     $102.99     $103.66     $100.48  

Equinox Frontier Masters Fund:

        

Net gain (loss) on investments

   $1,005,015     $1,870,660     $2,798,459     $(2,128,412

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

   $444,846     $629,198     $1,582,386     $(2,037,552

Increase (decrease) in net asset value per Class 1 unit

   $0.70     $1.09     $2.88    ($3.81

Increase (decrease) in net asset value per Class 2 unit

   $1.19     $1.63     $3.52    ($3.56

Net asset value per Class 1 unit

   $100.95     $102.04     $104.92     $101.11  

Net asset value per Class 2 unit

   $106.02     $107.65     $111.17     $107.61  

Equinox Frontier Long/Short Commodity Fund:

        

Net gain (loss) on investments

  ($5,732,135  ($938,042   $985,593     $(5,399,870

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($532,943  ($2,927,896   $4,804,594     $(7,885,869

Increase (decrease) in net asset value per Class 1 units

  ($1.92  ($6.14   $7.34     $0.00  

Increase (decrease) in net asset value per Class 1a units

  ($1.16  ($5.29   $8.16    ($14.84

Increase (decrease) in net asset value per Class 2 units

  ($1.09  ($6.68   $11.08    ($19.63

Increase (decrease) in net asset value per Class 2a units

  ($0.66  ($5.03   $9.10    ($15.19

Increase (decrease) in net asset value per Class 3 units

  ($1.09  ($6.69   $11.15    ($19.64

Net asset value per Class 1 units

   $134.21     $128.07     $135.41     $135.41  

Net asset value per Class 1a units

   $120.55     $115.26     $123.42     $108.58  

Net asset value per Class 2 units

   $160.88     $154.20     $165.28     $145.65  

Net asset value per Class 2a units

   $126.57     $121.54     $130.64     $115.45  

Net asset value per Class 3 units

   $160.87     $154.18     $165.33     $145.69  

Equinox Frontier Balanced Fund:

        

Net gain (loss) on investments

  ($10,737,709   $20,087,572     $12,592,196     (14,559,702

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($10,229,269   $7,375,812     $893,203     (11,194,609

Increase (decrease) in net asset value per Class 1 units

  ($5.38   $3.53     $0.14    ($6.47

Increase (decrease) in net asset value per Class 1a units

  ($4.58   $4.26     $4.45    ($8.26

Increase (decrease) in net asset value per Class 2 units

  ($5.58   $5.57     $1.29    ($7.10

Increase (decrease) in net asset value per Class 2a units

  ($4.51   $5.15     $1.16    ($5.79

Increase (decrease) in net asset value per Class 3a units

  ($4.51   $4.69     $1.18    ($5.76

Net asset value per Class 1 units

   $119.12     $122.65     $122.79     $116.32  

Net asset value per Class 1a units

   $103.87     $108.13     $112.58     $104.32  

Net asset value per Class 2 units

   $149.44     $155.01     $156.30     $149.20  

Net asset value per Class 2a units

   $123.84     $128.99     $130.15     $124.36  

Net asset value per Class 3a units

   $123.85     $128.54     $129.72     $123.96  

Equinox Frontier Select Fund:

        

Net gain (loss) on investments

   $29,652    ($648,067   $310,424     (1,830,470

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($550,093  ($1,279,509  ($222,471   (2,272,499

Increase (decrease) in net asset value per Class 1 units

  ($1.39  ($3.34  ($0.99  ($6.64

Increase (decrease) in net asset value per Class 2 units

  ($0.92  ($3.88   $0.08    ($7.57

Net asset value per Class 1 units

   $89.63     $86.29     $85.30     $78.66  

Net asset value per Class 2 units

   $110.92     $107.04     $107.12     $99.55  

Equinox Frontier Winton Fund:

        

Net gain (loss) on investments

  ($497,618  ($1,599,658   $583,943     156,750  

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($1,012,942  ($2,080,295   $109,410     (277,389

Increase (decrease) in net asset value per Class 1 units

  ($3.13  ($6.28   $0.01    ($1.00

Increase (decrease) in net asset value per Class 2 units

  ($2.47  ($6.23   $1.16     $0.02  

Net asset value per Class 1 units

   $138.00     $131.72     $131.73     $130.73  

Net asset value per Class 2 units

   $163.35     $157.12     $158.28     $158.30  

Equinox Frontier Heritage Fund:

        

Net gain (loss) on investments

   $484,523    ($1,646,353   $1,177,718     (697,832

Net increase / (decrease) in capital resulting from operations attributable to controlling interests

  ($25,951  ($2,112,407   $784,100     (1,016,186

Increase (decrease) in net asset value per Class 1 units

  ($0.36  ($8.32   $2.75    ($4.25

Increase (decrease) in net asset value per Class 2 units

   $0.53    ($9.45   $4.35    ($4.46

Net asset value per Class 1 units

   $104.37     $96.05     $98.80     $94.55  

Net asset value per Class 2 units

   $130.23     $120.78     $125.13     $120.67  

Item 7.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

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, forwardsforward (including interbank foreign currencies), and options contracts and other derivative instruments (including Swaps)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 vested in such Trading Company. In November 2010, the Equinox Frontier Select Fund invested a portion of its assets in an unaffiliated Trading Company Berkeley Quantitative Colorado Fund LLC which was liquidated on March 16, 2012.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.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 1.1 “BUSINESS.”

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.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.

36

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 December 31, 2014,2016, cash deposited at the clearing brokers was $65,911,348$31,611,050 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. Currently, 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 assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier BalancedDiversified Fund, (Class 1a and Class 2a only), and the Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only), 20% of the total interest allocated to eachthe Series iswas paid to the Managing Owner.Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series. The amountsamount reflected in the financial statements for the Trust and Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.

Approximately 10% to 30% of the Trust’s assets are expected to be committed as required margin for futures contracts and forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, 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 December 31, 2014,2016, total cash and cash equivalents held at banking institutions were $4,210,638$674,227 for the Equinox Frontier Diversified Fund, $1,110,779$0 for the Equinox Frontier Long/Short Commodity Fund, $2,199,066$546,509 for the Equinox Frontier Masters Fund, $5,644,510$1,083,579 for the Equinox Frontier Balanced Fund, $878,280$432,021 for the Equinox Frontier Select Fund, $4,012,974$1,628,208 for the Equinox Frontier Winton Fund, and $921,598$382,499 for the Equinox Frontier Heritage Fund.

As a commodity pool, the Registrant 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 Registrant has not been forced to liquidate positions to fund redemptions. During the fiscal year ended December 31, 2014,2016, the Registrant 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.

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In addition to market risk, trading futures, forward and swap contracts entails credit risk which is the risk that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the U.S. and on most foreign

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

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

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. 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 Twelve Months Ended December 31, 2016

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2016, 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 fiscal 2016. The performance of each Series was impacted over the course of the year 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 each 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 fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Equinox Frontier Diversified Fund

2016

The Equinox Frontier Diversified Fund – Class 1 NAV gained 0.79% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Diversified Fund – Class 2 NAV gained 2.58% for the twelve months ended December 31, 2016 net of fees and expenses; the Equinox Frontier Diversified Fund – Class 3 NAV gained 2.84% for the twelve months ended December 31, 2016 net of fees and expenses. For the twelve months ended December 31, 2016 the Equinox Frontier Diversified Fund recorded a net gain on investments of $4,169,841, net investment income of $323,854, and total expenses of $3,330,405, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $1,163,290. The NAV per Unit, Class 1, increased from $115.52 at December 31, 2015, to $116.43 as of December 31, 2016. The NAV per Unit, Class 2, increased from $129.60 at December 31, 2015, to $132.94 as of December 31, 2016. The NAV per Unit, Class 3, increased from $119.87 at December 31, 2015, to $123.27 as of December 31, 2016. Total Class 1 subscriptions and redemptions for the period were $560,094 and $7,446,278, respectively. Total Class 2 subscriptions and redemptions for the period were $8,879,067 and $6,038,305, respectively. Total Class 3 subscriptions and redemptions for the period were $6,329,267 and $2,690,710, respectively. Ending capital at December 31, 2016, is $5,189,420 for Class 1 and $38,231,581 for Class 2 and $13,050,390 for Class 3.

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

Sector Attribution for the Equinox Frontier Diversified Fund

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Two of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q4 2016. Stock Indices and Currencies were profitable while Interest Rates, Energies, Agriculturals, and Metals finished negative for the quarter.

The Stock Indices and Interest Rates sectors were positive year-to-date (“YTD”) while Metals, Currencies, Agriculturals and Energies were negative YTD.

In terms of major CTA performance, four of the ten major CTAs in the Equinox Frontier Diversified Fund were profitable in Q4 2016. Emil Van Essen, H2O, QIM and Quantmetrics finished positive for the quarter. Aspect, Chesapeake, Crabel, Fort, Quest, and Winton finished negative for the quarter. In terms of YTD performance Crabel, Emil Van Essen, and QIM are positive YTD while Aspect, Chesapeake, Fort, H2O, Quantmetrics, Quest, and Winton are negative YTD.

Equinox Frontier Long/Short Commodity Fund

2016

The Equinox Frontier Long/Short Commodity Fund – Class 2 NAV lost 2.09% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3 NAV lost 1.01% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 1a NAV lost 2.09% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2a NAV lost 0.49% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3a NAV gained 0.60% for the twelve months ended December 31, 2016, net of fees and expenses.

For the twelve months ended December 31, 2016, the Equinox Frontier Long/Short Commodity Fund recorded net gain on investments of $483,619, net investment income of $21,855, and total expenses of $506,768, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $133,170 after operations attributable to non-controlling interests of $131,876. The NAV per Unit, Class 2, decreased from $132.10 at December 31, 2015, to $129.56 as of December 31, 2016. The NAV per Unit, Class 3, decreased from $132.14 at December 31, 2015, to $130.80 as of December 31, 2016. The NAV per Unit, Class 1a, decreased from $94.76 at December 31, 2015, to $92.78 as of December 31, 2016. The NAV per Unit, Class 2a, decreased from $106.19 at December 31, 2015, to $105.67 as of December 31, 2016. The NAV per Unit, Class 3a, decreased from $106.86 at December 31, 2015, to $107.50 as of December 31, 2016. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $167,296, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $1,457,594, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $0 and $2,078,012, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $0 and $314,992, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $534,064 and $210,324, respectively. Ending capital at December 31, 2016, is $808,137 for Class 2, $4,404,630 for Class 3, 1,913,059 for Class 1a, $962,925 for Class 2a and $1,174,183 for Class 3a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

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Sector Attribution for the Equinox Frontier Long/Short Commodity Fund

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Three of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q4 2016. Energies, Softs, and Financials finished positive for the quarter while Base Metals, Meats, Grains, and Precious Metals finished negative for the quarter.

Energies, Precious Metals, and Softs are positive YTD while Base Metals, Grains, Meats, and Financials are negative YTD.

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

In terms of YTD performance, Emil Van Essen and Red Oak are positive YTD while Chesapeake, JE Moody, and Rosetta are negative YTD.

Equinox Frontier Masters Fund

2016

The Equinox Frontier Masters Fund – Class 1 NAV lost 0.06% for the twelve months ended December 31, 2016, net of fees and expenses, the Equinox Frontier Masters Fund – Class 2 NAV gained 1.72% for the twelve months ended December 31, 2016, net of fees and expenses, the Equinox Frontier Masters Fund – Class 3 NAV gained 1.97% for the twelve months ended December 31, 2016, net of fees and expenses.

For the twelve months ended December 31, 2016 the Equinox Frontier Masters Fund recorded a net gain on investments of $1,745,161, net investment income of $133,801, and total expenses of $1,386,826, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $492,136. The NAV per Unit, Class 1, decreased from $112.87 at December 31, 2015, to $112.80 as of December 31, 2016. The NAV per Unit, Class 2, increased from $126.60 at December 31, 2015, to $128.78 as of December 31, 2016. The NAV per Unit, Class 3 increased from $117.57 at December 31, 2015 to $119.89 as of December 31, 2016. Total Class 1 subscriptions and redemptions for the twelve months were $125,188 and $3,203,465, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $157,500 and $2,592,906, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $1,835,158 and $2,472,603, respectively. Ending capital at December 31, 2016, is $5,361,626 for Class 1, $5,657,562 for Class 2 and $6,150,119 for Class 3.

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

Sector Attribution for the Equinox Frontier Masters Fund

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Two of the seven sectors traded in the Equinox Frontier Masters Fund were profitable in Q4 2016. Stock Indices and Hybrids were positive while, Metals, Currencies, Energies, Agriculturals, and Interest Rates were negative for the quarter.

Currencies, Energies, Interest Rates, Stock Indices, and Hybrids were positive for the year.

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

Equinox Frontier Balanced Fund

2016

The Equinox Frontier Balanced Fund – Class 1 NAV gained 5.29% for the twelve months ended December 31, 2016, net of fees and expenses; The Equinox Frontier Balanced Fund – Class 1AP NAV gained 8.52% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2 NAV gained 8.51% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2a NAV gained 9.15% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 3a NAV gained 9.15% for the twelve months ended December 31, 2016, net of fees and expenses.

For the twelve months ended December 31, 2016, the Equinox Frontier Balanced Fund recorded net gain on investments of $10,486,586, net investment income of $96,270, and total expenses of $4,637,078, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $5,297,666 after operations attributable to non- controlling interests of $648,112. The NAV per Unit, Class 1, increased from $128.03 at December 31, 2015, to $134.80 at December 31, 2016 The NAV per Unit, Class 1AP, increased from $133.59 at December 31, 2015, to $144.97 at December 31, 2016 The NAV per Unit, Class 2, increased from $179.69 at December 31, 2015, to $194.99 at December 31, 2016. For Class 2a, the NAV per Unit increased from $154.88 at December 31, 2015, to $169.05 at December 31, 2016. For Class 3a, the NAV per Unit increased from $154.37 at December 31, 2015, to $168.49 at December 31, 2016. Total Class 1 subscriptions and redemptions for the twelve months were $214,073 and $8,950,159, respectively. Total Class 1AP subscriptions and redemptions for the twelve months were $0 and $95,000, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $19,471 and $2,180,977, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $0 and $78,366, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $0 and $897,320, respectively. Ending capital at December 31, 2016, was $56,955,371 for Class 1, $677,181 for Class 1 AP, $22,401,557 for Class 2, $516,256 for Class 2a and $1,749,006 for Class 3a.

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

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Sector Attribution for the Frontier Equinox Frontier Balanced Fund

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Four of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2016. Currencies, Stock Indices Agricultures and Metals were profitable while Interest Rates and Energies finished negative for the quarter.

The Stock Indices, Interest Rates, Agriculturals, and Energies sectors were positive YTD while Metals and Currencies were negative YTD.

In terms of major CTA performance, Beach Horizon, Emil Van Essen, H2O, QIM, and Quantmetrics finished positive for the quarter. Aspect, Crabel, Fort, and Winton finished negative for the quarter. Brandywine, Cantab, Crabel, Emil Van Essen, Fort, H2O, and QIM were positive YTD. Aspect, Beach Horizon, Quantmetrics, and Winton were negative YTD. The series deallocated to Brandywine and Cantab during the year.

Equinox Frontier Select Fund

2016

The Equinox Frontier Select Fund – Class 1 NAV gained 4.11% for the twelve months ended December 31, 2016, net of fees and expenses; The Equinox Frontier Select Fund – Class 1AP NAV gained 7.30% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Select Fund – Class 2 NAV gained 7.31% for the twelve months ended December 31, 2016, net of fees and expenses.

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For the twelve months ended December 31, 2016, the Equinox Frontier Select Fund recorded net gain on investments of $2,398,954, net investment income of $1,025, and total expenses of $792,796, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $617,789 after operations attributable to non-controlling interests of $989,394. The NAV per Unit, Class 1, increased from $90.35 at December 31, 2015, to $94.06 as of December 31, 2016. The NAV per Unit, Class 1AP, increased from $94.28 at December 31, 2015, to $101.16 as of December 31, 2016. The NAV per Unit, Class 2, increased from $125.11 at December 31, 2015, to $134.25 as of December 31, 2016. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2016, were $16,022 and $1,700,518, respectively. Total Class 1AP subscriptions and redemptions for the twelve months ended December 31, 2016, were $0 and $21,949, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2016, were $0 and $25,360, respectively. Ending capital, at December 31, 2016, was $10,540,702 for Class 1, $ 29,897 for Class 1AP, and $1,411,440 for Class 2.

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

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Sector Attribution for the Equinox Frontier Select Fund

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Three of the seven sectors traded in the Equinox Frontier Select Fund were profitable in Q4 2016. Currencies, Metals, and Stock Indices were positive while, Energies, Agriculturals, Interest Rates, and Hybrids were negative for the quarter.

Currencies, Interest Rates, Stock Indices, and Hybrids were positive YTD while Metals, Energies, and Agriculturals were negative YTD.

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

Equinox Frontier Winton Fund

2016

The Equinox Frontier Winton Fund – Class 1 NAV lost 5.88% for the twelve months ended December 31, 2016, net of fees and expenses; The Equinox Frontier Winton Fund – Class 1AP NAV lost 3.00% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Winton Fund – Class 2 NAV lost 3.00% for the twelve months ended December 31, 2016, net of fees and expenses.

For the twelve months ended December 31, 2016, the Equinox Frontier Winton Fund recorded net gain on investments of $1,071,349, net investment income of $7,717, and total expenses of $2,240,389, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $1,625,498 after operations attributable to non-controlling interests of $464,175. The NAV per Unit, Class 1, decreased from $164.17 at December 31, 2015 to $154.51 as of December 31, 2016. The NAV per Unit, Class 1AP, decreased from $171.31 at December 31, 2015 to $166.17 as of December 31, 2016. The NAV per Unit, Class 2, decreased from $217.51 at December 31, 2015, to $210.98 as of December 31, 2016. Total Class 1 subscriptions for the year were $159,082 and redemptions were $1,620,516. Total Class 1AP subscriptions for the year were $0 and redemptions were $0. Total Class 2 subscriptions for the year were $0 and redemptions were $88,086. Ending capital, at December 31, 2016, was $20,228,679 for Class 1, $35,380 for Class 1AP, and $11,446,113 for Class 2.

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

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Sector Attribution for the Equinox Frontier Winton Fund

Two of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q4 2016. Currencies and Stock Indices were positive while Metals, Energies, Agriculturals, and Interest Rates were negative for the quarter.

Currencies and Interest Rates were positive YTD while Metals, Energies, Agriculturals, and Stock Indices were negative YTD.

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Equinox Frontier Heritage Fund

2016

The Equinox Frontier Heritage Fund – Class 1 NAV lost 3.77% for the twelve months ended December 31, 2016, net of fees and expenses; The Equinox Frontier Heritage Fund – Class 1AP NAV lost 0.83% for the twelve months ended December 31, 2016, net of fees and expenses; the Equinox Frontier Heritage Fund – Class 2 NAV lost 0.83% for the twelve months ended December 31, 2016, net of fees and expenses. For the twelve months ended December 31, 2016, the Equinox Frontier Heritage Fund recorded net gain on investments of $524,782, net investment income of $1,430, and total expenses of $610,757, resulting in a net decrease in Owners’ capital from operations of $301,637, after non-controlling interest of $217,092. The NAV per Unit, Class 1, decreased from $124.27 at December 31, 2015, to $119.58 as of December 31, 2016. The NAV per Unit, Class 1AP, decreased from $129.67 at December 31, 2015, to $128.60 as of December 31, 2016. The NAV per Unit, Class 2, decreased from $173.54 at December 31, 2015, to $172.10 as of December 31, 2016. Total Class 1 subscriptions and redemptions for the twelve months were $35,716 and $871,326, respectively. Total Class 1AP subscriptions and redemptions for the twelve months were $0 and $56,051, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $90,031, respectively. Ending capital, at December 31, 2016, was $7,507,072 for Class 1, $5,826 for Class 1AP and $2,744,375 for Class 2.

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

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Sector Attribution for the Equinox Frontier Heritage Fund

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Two of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2016. Currencies and Stock Indices were positive while Metals, Energies, Agriculturals, and Interest Rates were negative for the quarter.

Interest Rates and Stock Indices were positive YTD while Metals, Currencies, Energies, and Agriculturals were negative YTD.

In terms of major CTA performance, Brevan Howard and Winton finished down for the quarter, while Brevan Howard finished positive YTD.

Results of Operations for the Twelve Months Ended December 31, 2015

The returns for each Series and Class of Units for the twelve months ended December 31, 2015, 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 fiscal 2015. The performance of each Series was impacted over the course of the year 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 each 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 fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Equinox Frontier Diversified Fund

2015

The Equinox Frontier Diversified Fund– Class 1 NAV gained 2.15% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Diversified Fund– Class 2 NAV gained 3.95% for the twelve months ended December 31, 2015 net of fees and expenses; the Equinox Frontier Diversified Fund-Class 3 NAV gained 4.21% for the twelve months ended December 31, 2015 net of fees and expenses. For the twelve months ended December 31, 2015 the Equinox Frontier Diversified Fund recorded a net gain on investments of $7,062,279, net investment income of $603,350, and total expenses of $4,859,068, resulting in a net increase in Owners’ capital from operations of $2,585,692. The NAV per Unit, Class 1, increased from $113.09 at December 31, 2014, to $115.52 as of December 31, 2015. The NAV per Unit, Class 2, increased from $124.67 at December 31, 2014, to $129.60 as of December 31, 2015. The NAV per Unit, Class 3, increased from $115.03 at December 31, 2014 to $119.87 at December 31, 2015. Total Class 1 subscriptions and redemptions for the period were $1,849,550 and $10,085,317, respectively. Total Class 2 subscriptions and redemptions for the period were $4,193,326 and $6,595,532, respectively. Total Class 3 subscriptions and redemptions for the period were $6,490,334 and $2,875,045, respectively. Ending capital at December 31, 2015, was $11,814,234 for Class 1, $34,633,100 for Class 2 and $9,267,632 for Class 3.

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

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Sector Attribution for the Equinox Frontier Diversified Fund

Two of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q4 2015. Metals and Energies were profitable while Currencies, Energies, Interest Rates and Stock Indices finished negative for the quarter.

The Currencies sector was positive year-to-date (“YTD”) while Metals, Agriculturals, Interest Rates, Stock Indices and Energies were negative YTD.

In terms of major CTA performance, seven of the eleven major CTAs in the Equinox Frontier Diversified Fund were profitable in Q4 2015. Chesapeake, Crabel, Doherty, Emil Van Essen, H20, QIM and Winton finished positive for the quarter. Brevan Howard, Fort, Quantmetrics and Quest finished negative for the quarter. In terms of YTD performance Chesapeake, Doherty, Emil Van Essen, H20, QIM and Winton are positive YTD while Brevan Howard, Fort, Quatmetrics, Quest and Crabel are negative YTD.

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Equinox Frontier Long/Short Commodity Fund

2015

The Equinox Frontier Long/Short Commodity Fund – Class 2 NAV lost 4.48% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3 NAV lost 4.48% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 1a NAV lost 6.29% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2a NAV lost 4.63% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3a NAV lost 4.39% for the twelve months ended December 31, 2015, net of fees and expenses.

For the twelve months ended December 31, 2015, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $391,811, net investment income of $141,120, and total expenses of $1,207,403, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $1,458,094. The NAV per Unit, Class 2, decreased from $138.30 at December 31, 2014, to $132.10 as of December 31, 2015. The NAV per Unit, Class 3, decreased from $138.34 at December 31, 2014, to $132.14 as of December 31, 2015. The NAV per Unit, Class 1a, decreased from $101.12 at December 31, 2014, to $94.76 as of December 31, 2015. The NAV per Unit, Class 2a, decreased from $111.35 at December 31, 2014, to $106.19 as of December 31, 2015. The NAV per Unit, Class 3a, decreased from $111.77 at December 31, 2014, to $106.86 as of December 31, 2015. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $226,318, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $1,101,195, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $67,800 and $1,587,283, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $29,300 and $402,748, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $415,099 and $167,791, respectively. Ending capital at December 31, 2015, was $993,600 for Class 2, $5,906,669 for Class 3, $4,053,754 for Class 1a, $1,287,665 for Class 2a and $851,163 for Class 3a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

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Sector Attribution for the Equinox Frontier Long/Short Commodity Fund

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Two of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q4 2015. Base Metals and Energies finished positive for the quarter while Meats, Grains, Precious Metals, Precious Metals, Financials and Softs finished negative for the quarter.

Energies and Softs are positive YTD while Base Metals, Grains, Meats, Precious Metals and Financials are negative YTD.

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

In terms of YTD performance, Chesapeake, Emil Van Essen and JE Moody are positive YTD while Abraham, Red Oak and Rosetta are negative YTD.

Equinox Frontier Masters Fund

2015

The Equinox Frontier Masters Fund – Class 1 NAV lost 3.21% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Masters Fund – Class 2 NAV lost 1.50% for the twelve months ended December 31, 2015, net of fees and expenses, the Equinox Frontier Masters Fund – Class 3 NAV lost 1.25% for the twelve months ended December 31, 2015, net of fees and expenses.

For the twelve months ended December 31, 2015 the Equinox Frontier Masters Fund recorded a net gain on investments of $1,398,913, net investment income of $260,900, and total expenses of $2,122,056, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $462,243. The NAV per Unit, Class 1, decreased from $116.61 at December 31, 2014, to $112.87 as of December 31, 2015. The NAV per Unit, Class 2, decreased from $128.53 at December 31, 2014, to $126.60 as of December 31, 2015. The NAV per Unit, Class 3 decreased from $119.06 at December 31, 2014 to $117.57 as of December 31, 2015. Total Class 1 subscriptions and redemptions for the period were $2,092,649 and $5,299,823, respectively. Total Class 2 subscriptions and redemptions for the period were $174,300 and $1,041,711, respectively. Total Class 3 subscriptions and redemptions for the period were $3,820,000 and $2,162,727, respectively. Ending capital at December 31, 2015, was $8,323,800 for Class 1, $7,893,358 for Class 2 and $6,611,141 for Class 3.

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

57

Sector Attribution for the Equinox Frontier Masters Fund

Two of the seven sectors traded in the Equinox Frontier Masters Fund were profitable in Q4 2015. Metals and Energies were positive while Currencies, Agriculturals, Interest Rates, Stock Indices and Hybrids were negative for the quarter.

Metals, Energies and Hybrids were positive for the year, while Currencies, Agriculturals, Interest Rates and Stock Indices were negative for the year.

In terms of major CTA performance, Chesapeake, Emil Van Essen, Transtrend and Winton were positive during the quarter. Chesapeake and Emil Van Essen were positive YTD while Transtrend and Winton were negative YTD.

58

Equinox Frontier Balanced Fund

2015

The Equinox Frontier Balanced Fund – Class 1 NAV lost 2.67% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 1AP NAV gained 0.29% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2 NAV gained 0.30% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2a NAV gained 1.22% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 3a NAV gained 1.21% for the twelve months ended December 31, 2015, net of fees and expenses.

For the twelve months ended December 31, 2015, the Equinox Frontier Balanced Fund recorded net gain on investments of $4,329,355, net investment income of $29,151, and total expenses of $5,591,382, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $1,492,595 after operations attributable to non- controlling interests of $259,719. The NAV per Unit, Class 1, decreased from $131.54 at December 31, 2014, to $128.03 at December 31, 2015. The NAV per Unit, Class 1AP, increased from $133.20 at December 31, 2014, to $133.59 at December 31, 2015. The NAV per Unit, Class 2, increased from $179.16 at December 31, 2014, to $179.69 at December 31, 2015. For Class 2a, the NAV per Unit increased from $153.02 at December 31, 2014, to $154.88 at December 31, 2015. For Class 3a, the NAV per Unit increased from $152.52 at December 31, 2014, to $154.37 at December 31, 2015. Total Class 1 subscriptions and redemptions for the twelve months were $215,189 and $8,249,954, respectively. Total Class 1AP subscriptions and redemptions for the twelve months were $1,457 and $39,001, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $19,235 and $982,356, respectively. Total Class 2a redemptions for the twelve month period were $60,850. There were no Class 2a subscriptions. Total Class 3a redemptions for the period were $127,078. There were no Class 3 subscriptions. Ending capital at December 31, 2015, was $62,563,337 for Class 1, $714,747 for Class 1AP, $22,708,408 for Class 2, $548,070 for Class 2a and $2,435,421 for Class 3a.

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

59

Sector Attribution for the Frontier Equinox Frontier Balanced Fund

60

Two of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2015. Currencies and Energies were profitable while Metals, Agriculturals, Interest Rates and Stock Indices finished negative for the quarter.

The Currencies, Interest Rates and Energies sectors were positive YTD while Metals, Agriculturals and Stock Indices were negative YTD.

In terms of major CTA performance, Cantab, Crabel, Doherty, Emil Van Essen, Fort (GD), H20, QIM, and Winton finished positive for the quarter. Beach Horizon, Doherty, Emil Van Essen, Fort (GD), H20 AM, QIM and Winton were positive YTD. Beach Horizon, Brandywine, Fort (GC), Quantmetrics, and Quest finished negative for the quarter. Brandywine, Cantab, Crabel, Campbell, Fort (GC), Quantica, Quantmetrics, Quest and Systematic Alpha were negative YTD.

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Equinox Frontier Select Fund

2015

The Equinox Frontier Select Fund – Class 1 NAV lost 5.50% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Select Fund – Class 1AP NAV lost 2.62% for the twelve months ended December 31, 2015, net of fees and expenses. The Equinox Frontier Select Fund – Class 2 NAV lost 2.62% for the twelve months ended December 31, 2015, net of fees and expenses.

For the twelve months ended December 31, 2015, the Equinox Frontier Select Fund recorded net gain on investments of $272,917, net investment income of $0, and total expenses of $968,941, resulting in a net decrease in Owners’ capital from operations of $730,624. The NAV per Unit, Class 1, decreased from $95.61 at December 31, 2014, to $90.35 as of December 31, 2015. The NAV per Unit, Class 1AP, decreased from $96.82 at December 31, 2014, to $94.28 as of December 31, 2015. The NAV per Unit, Class 2, decreased from $128.48 at December 31, 2014, to $125.11 as of December 31, 2014. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2015, were $18,418 and $1,275,096, respectively. Total Class 1AP subscriptions and redemptions for the twelve months ended December 31, 2015, were $930 and $0, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2015, were $187,051. There were no Class 2 subscriptions. Ending capital at December 31, 2015, was $11,710,517 for Class 1, $47,365 for Class 1AP and $1,338,173 for Class 2.

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

62

Sector Attribution for the Equinox Frontier Select Fund

Two of the seven sectors traded in the Equinox Frontier Select Fund were profitable in Q4 2015. Metals and Energies were positive while Agriculturals, Currencies, Interest Rates, Hybrids and Stock Indices were negative for the quarter.

Currencies, Energies and Metals were positive YTD while Agriculturals, Interest Rates, Hybrids and Stock Indices were negative YTD.

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

63

Equinox Frontier Winton Fund

2015

The Equinox Frontier Winton Fund – Class 1 NAV lost 6.70% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Winton Fund – Class 1AP NAV lost 3.86% for the twelve months ended December 31, 2015, net of fees and expenses the Equinox Frontier Winton Fund – Class 2 NAV lost 3.85% for the twelve months ended December 31, 2015, net of fees and expenses.

For the twelve months ended December 31, 2015, the Equinox Frontier Winton Fund recorded net gain on investments of $1,380,625, net investment income of $28, and total expenses of $2,967,166, resulting in a net decrease in Owners’ capital from operations of $2,160,638. The NAV per Unit, Class 1, decreased from $175.95 at December 31, 2014 to $164.17 as of December 31, 2015. The NAV per Unit, Class 1AP, decreased from $178.18 at December 31, 2014 to $171.31 as of December 31, 2015. The NAV per Unit, Class 2, decreased from $226.23 at December 31, 2014, to $217.51 as of December 31, 2015. Total Class 1 subscriptions for the year were $175,616 and redemptions were $2,337,287. There were no Class 1AP subscriptions or redemptions for 2015. Total Class 2 redemptions for the year were $787,381. There were no Class 2 subscriptions. Ending capital at December 31, 2015, was $23,022,800 for Class 1, $36,576 for Class 1AP and $11,882,167 for Class 2.

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

Sector Attribution for the Equinox Frontier Winton Fund

Two of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q4 2015. Currencies and Energies were positive while Metals, Agriculturals, Interest Rates and Stock Indices were negative for the quarter.

Metals, Energies and Interest Rates were positive YTD while Currencies, Agriculturals and Stock Indices were negative YTD.

64

Equinox Frontier Heritage Fund

2015

The Equinox Frontier Heritage Fund – Class 1 NAV lost 4.61% for the twelve months ended December 31, 2015, net of fees and expenses; the Equinox Frontier Heritage Fund – Class 1AP NAV lost 1.71% for the twelve months ended December 31, 2015, net of fees and expenses. the Equinox Frontier Heritage Fund – Class 2 NAV lost 1.71% for the twelve months ended December 31, 2015, net of fees and expenses. For the twelve months ended December 31, 2015, the Equinox Frontier Heritage Fund recorded net gain on investments of $555,165, net investment income of $1, and total expenses of $797,550, resulting in a net decrease in Owners’ capital from operations of $450,548, after non-controlling interest of $208,163. The NAV per Unit, Class 1, decreased from $130.28 at December 31, 2014, to $124.27 as of December 31, 2015. The NAV per Unit, Class 1AP, decreased from $131.93 at December 31, 2014, to $129.67 as of December 31, 2015. The NAV per Unit, Class 2, decreased from $176.56 at December 31, 2014, to $173.54 as of December 31, 2015. Total Class 1 subscriptions and redemptions for the twelve months were $41,712 and $766,234, respectively. Total Class 1AP subscriptions for the twelve months were $1,288. There were no redemptions for Class 1AP. Total Class 2 redemptions for the twelve months were $312,995. There were no subscriptions for Class 2. Ending capital at December 31, 2015, was $8,628,726 for Class 1, $58,523 for Class 1AP and $2,853,353 for Class 2.

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

65

Sector Attribution for the Equinox Frontier Heritage Fund

Two of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2015. Metals and Energies were positive while Currencies, Agriculturals, Interest Rates and Stock Indices were negative for the quarter.

Currencies, Metals and Energies were positive YTD while Agriculturals, Interest Rates and Stock Indices were negative YTD.

In terms of major CTA performance, Brevan Howard finished down for both the quarter and the year, while Winton finished down YTD as well.

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Results of Operations for the Twelve Months Ended December 31, 2014

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2014, 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 fiscal 2014. The performance of each Series was impacted over the course of the year 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 each 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 fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Equinox Frontier Diversified Fund

2014

The Equinox Frontier Diversified Fund– Class 1 NAV gained 29.84% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Diversified Fund– Class 2 NAV gained 32.14% for the twelve months ended December 31, 2014 net of fees and expenses; the Equinox Frontier Diversified Fund-Class 3 NAV gained 36.60% for the twelve months ended December 31, 2014 net of fees and expenses. For the twelve months ended December 31, 2014 the Equinox Frontier Diversified Fund recorded a net gain on investments of $27,814,644,$21,323,765, net investment income of $579,067, and total expenses of $7,289,756, resulting in a net increase in Owners’ capital from operations attributable to controlling interest of $14,287,705.$14,613,076. The NAV per Unit, Class 1, increased from $87.10 at December 31, 2013, to $113.09 as of December 31, 2014. The NAV per Unit, Class 2, increased from $94.35 at December 31, 2013, to $124.67 as of December 31, 2014. The NAV per Unit, Class 3, increased from $84.21 at February 25, 2014December 31, 2013 to $115.03 at December 31, 2014. Total Class 1 subscriptions and redemptions for the period were $954,684 and $14,939,576, respectively. Total Class 2 subscriptions

and redemptions for the period were $695,759 and $8,646,009, respectively. Total Class 3 subscriptions and redemptions for the period were $5,633,483 and $1,437,475, respectively. Ending capital at December 31, 2014, was $19,195,036 for Class 1, $35,224,292 for Class 2 and $5,588,281 for Class 3.

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

67

Sector Attribution for the Equinox Frontier Diversified Fund

 

Four of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q4 2014. Currencies, Energies, Interest Rates and Stock Indices were profitable while Metals and Agriculturals finished negative for the quarter.

The Currencies, Agriculturals, Interest Rates and Stock Indices sectors were positive year-to-date (“YTD”) while Metals and Energies were negative YTD.

In terms of major CTA performance, eight of the ten major CTAs in the Equinox Frontier Diversified Fund were profitable in Q4 2014. Brevan Howard, Chesapeake, Crabel, Emil Van Essen, Fort, Quantmetrics, Quest Partners and Winton finished positive for the quarter. H20 and QIM finished negative for the quarter. In terms of YTD performance Breven Howard, Chesapeake, Crabel, Doherty, Fort, H20, Quantmetrics, Quest and Winton are positive YTD while Emil Van Essen and QIM are negative YTD.

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Equinox Frontier Long/Short Commodity Fund

2014

The Equinox Frontier Long/Short Commodity Fund – Class 2 NAV gained 10.41% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3 NAV gained 10.41% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 1a NAV gained 9.05% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2a NAV gained 10.97% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3a NAV gained 11.25% for the twelve months ended December 31, 2014, net of fees and expenses.

For the twelve months ended December 31, 2014, the Equinox Frontier Long/Short Commodity Fund recorded net gain on investments of $1,582,778, net investment income of $216,027, and total expenses of $1,487,941, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $1,077,686. The NAV per Unit, Class 2, increased from $125.26 at December 31, 2013, to $138.30 as of December 31, 2014. The NAV per Unit, Class 3, increased from $125.30 at December 31, 2013, to $138.34 as of December 31, 2014. The NAV per Unit, Class 1a, increased from $92.73 at December 31, 2013, to $101.12 as of December 31, 2014. The NAV per Unit, Class 2a, increased from $100.34 at December 31, 2013, to $111.35 as of December 31, 2014. The NAV per Unit, Class 3a, increased from $100.47 at December 31, 2013, to $111.77 as of December 31, 2014 Total Class 2 subscriptions and redemptions for the twelve months were $0 and $2,130,879, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $2,978,679, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $107,716 and $3,407,382, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $0 and $1,485,154, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $514,745 and $186,230, respectively. Ending capital at December 31, 2014, was $1,246,481 for Class 2, $7,233,099 for Class 3, $5,776,906 for Class 1a, $1,702,551 for Class 2a and $657,882 for Class 3a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

Sector Attribution for the Equinox Frontier Long/Short Commodity Fund

 

69

One of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q4 2014. Financials finished positive for the quarter while Base Metals, Energies, Meats, Grains, Precious Metals and Softs finished negative for the quarter.

Financials, Grains, Meats and Softs are positive YTD while Energies, Base Metals, and Precious Metals are negative YTD.

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

In terms of YTD performance, Abraham, Red Oak and Rosetta are positive YTD while Emil Van Essen and JE Moody are negative YTD.

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Equinox Frontier Masters Fund

2014

The Equinox Frontier Masters Fund – Class 1 NAV gained 26.98% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Masters Fund – Class 2 NAV gained 29.23% for the twelve months ended December 31, 2014, net of fees and expenses, the Equinox Frontier Masters Fund – Class 3 NAV gained 29.54% for the twelve months ended December 31, 2014, net of fees and expenses.

For the twelve months ended December 31, 2014 the Equinox Frontier Masters Fund recorded a net gain on investments of $8,093,183, net investment income of $298,175, and total expenses of $2,939,200, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $5,452,158. The NAV per Unit, Class 1, increased from $91.83 at December 31, 2013, to $116.61 as of December 31, 2014. The NAV per Unit, Class 2, increased from $99.46 at December 31, 2013, to $128.53 as of December 31, 2014. The NAV per Unit, Class 3 increased from $91.91 at December 31, 2013 to $119.06 as of December 31, 2014. Total Class 1 subscriptions and redemptions for the period were $574,921 and $14,142,871, respectively. Total Class 2 subscriptions and redemptions for the period were $35,000 and $3,624,212, respectively. Total Class 3 subscriptions and redemptions for the period

were $5,049,885 and $1,407,811, respectively. Ending capital at December 31, 2014, was $11,850,911 for Class 1, $8,868,743 for Class 2 and $4,988,200 for Class 3.

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

Sector Attribution for the Equinox Frontier Masters Fund

 

71

 

Five of the six sectors traded in the Equinox Frontier Masters Fund were profitable in Q4 2014. Metals, Currencies, Stock Indices, Interest Rates, and Energies were positive while, Agriculturals were negative for the quarter.

Currencies, Energies, Agricultures, Interest Rates and Stock Indices were positive for the year.

In terms of major CTA performance, Chesapeake, Emil Van Essen, Transtrend and Winton were positive during the quarter. All were positive YTD.

Equinox Frontier Balanced Fund

2014

The Equinox Frontier Balanced Fund – Class 1 NAV gained 23.76% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 1AP NAV gained 29.80% for the five months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2 NAV gained 27.53% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2a NAV gained 28.80% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 3a NAV gained 28.81% for the twelve months ended December 31, 2014, net of fees and expenses.

For the twelve months ended December 31, 2014, the Equinox Frontier Balanced Fund recorded net gain on investments of $31,862,512,$33,601,230, net investment income of $27,454, and total expenses of $7,434,719, resulting in a net increase in Owners’ capital from operations attributable to controlling interests of $19,364,501 after operations attributable to non- controlling interests of $5,090,748.$6,829,464. The NAV per Unit, Class 1, increased from $106.29 at December 31, 2013, to $131.54 at December 31, 2014. The NAV per Unit, Class 1AP, increased from $102.62 at July 31, 2014, to $133.20 at December 31, 2014. The NAV per Unit, Class 2, increased from $140.49 at December 31, 2013, to $179.16 at December 31, 2014. For Class 2a, the NAV per Unit increased from $118.80 at December 31, 2013, to $153.02 at December 31, 2014. For Class 3a, the NAV per Unit increased from $118.41 at December 31, 2013, to $152.52 at December 31, 2014. Total Class 1 subscriptions and redemptions for the twelve months were $154,471 and $22,310,597, respectively. Total Class 1AP subscriptions and redemptions for the fivetwelve months ended December 31, 2014 were $1,011,652 and $453,561, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $14,424 and $8,090,417, respectively. Total Class 2a redemptions for the twelve month period were $30,794. There were no Class 2a subscriptions. Total Class 3a redemptions for the period were $360,701. There were no Class 3 subscriptions. Ending capital at December 31, 2014, was $72,098,275 for Class 1, $748,275 for Class 1AP, $23,550,697 for Class 2, $600,287 for Class 2a and $2,528,303 for Class 3a.

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

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Sector Attribution for the Frontier Equinox Frontier Balanced Fund

 

73

Three of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2014. Currencies, Energies and Interest Rates were profitable while Metals, Agriculturals and Stock Indices finished negative for the quarter.

The Currencies, Agricultures, Energies, and Interest Rate sectors were positive YTD while Metals and Stock Indices were negative YTD.

In terms of major CTA performance, Beach Horizon, Campbell, Cantab, Crabel, Doherty, Fort (GC), Fort (GD), Emil Van Essen, Quantica, Quantmetrics, Tiverton and Winton finished positive for the quarter. Beach Horizon, Cantab, Campbell, Crabel, Doherty, Emil Van Essen, Fort (GC), Fort (GD), H20 AM, Quantica, Quantmetrics, Tiverton and Winton were positive YTD. Brandywine, H20 AM, QIM and Systematic Alpha finished negative for the quarter. Brandywine, QIM, and Systematic Alpha were negative YTD.

Equinox Frontier Select Fund

2014

The Equinox Frontier Select Fund – Class 1 NAV gained 19.72% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Select Fund – Class 1AP NAV gained 28.19% for the five months ended December 31, 2014, net of fees and expenses. The Equinox Frontier Select Fund – Class 2 NAV gained 23.37% for the twelve months ended December 31, 2014, net of fees and expenses.

For the twelve months ended December 31, 2014, the Equinox Frontier Select Fund recorded net gain on investments of $3,799,808, net investment income of $0, and total expenses of $1,364,426, resulting in a net increase in Owners’ capital from operations of $2,435,382. The NAV per Unit, Class 1, increased from $79.86 at December 31, 2013, to $95.61 as of December 31, 2014. The NAV per Unit, Class 1AP, increased from $75.53 at July 31, 2014, to $96.82 as of December 31, 2014. The NAV per Unit, Class 2, increased from $104.14 at December 31, 2013, to $128.48 as of December 31, 2014. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2014, were $10,580 and $4,337,542, respectively. Total Class 1AP subscriptions and redemptions for the fivetwelve months ended December 31, 2014, were $194,475 and $156,681, respectively. Total Class 2 redemptions

for the twelve months ended December 31, 2014, were $488,584. There were no Class 2 subscriptions. Ending capital at December 31, 2014, was $13,663,563 for Class 1, $47,785 for Class 1AP and $1,558,130 for Class 2.

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

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Sector Attribution for the Equinox Frontier Select Fund

 

Four of the six sectors traded in the Equinox Frontier Select Fund were profitable in Q4 2014. Metals, Currencies, Energies and Interest Rates were positive while Agriculturals and Stock Indices were negative for the quarter.

Currencies, Energies, Agriculturals,Agricultures, and Interest Rates were positive YTD while Metals and Stock Indices were negative YTD.

In terms of major CTA performance Brevan Howard and Transtrend finished positive for the quarter and YTD.

75

Equinox Frontier Winton Fund

2014

The Equinox Frontier Winton Fund – Class 1 NAV gained 26.05% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Winton Fund – Class 1AP NAV gained 28.25% for the five months ended December 31, 2014, net of fees and expenses the Equinox Frontier Winton Fund – Class 2 NAV gained 29.89% for the twelve months ended December 31, 2014, net of fees and expenses.

For the twelve months ended December 31, 2014, the Equinox Frontier Winton Fund recorded net gain on investments of $12,603,511, net investment income of $55, and total expenses of $3,960,912, resulting in a net increase in Owners’ capital from operations of $8,642,654. The NAV per Unit, Class 1, increased from $139.59 at December 31, 2013 to $175.95 as of December 31, 2014. The NAV per Unit, Class 1AP, increased from 138.93 at July 31, 2014 to 178.18 as of December 31, 2014. The NAV per Unit, Class 2, increased from $174.17 at December 31, 2013, to $226.23 as of December 31, 2014. Total Class 1 subscriptions for the year were $169,066 and redemptions were $5,054,720. Total Class 1AP subscriptions for the five months ended December 31, 2014year were $288,379 and redemptions were $266,356. Total Class 2 redemptions for the year were $352,627. There were no Class 2 subscriptions. Ending capital at December 31, 2014, was $26,870,878 for Class 1, $38,042 for Class 1AP and $13,142,313 for Class 2.

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

Sector Attribution for the Equinox Frontier Winton Fund

 

Five of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q4 2014. Metals, Currencies, Energies, Interest Rates and Agricultures were positive while Stock Indices were negative for the quarter.

Metals, Currencies, Energies Interest Rates and Stock Indices were positive YTD while Agriculturals were negative YTD.

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Equinox Frontier Heritage Fund

2014

The Equinox Frontier Heritage Fund – Class 1 NAV gained 27.66% for the twelve months ended December 31, 2014, net of fees and expenses; the Equinox Frontier Heritage Fund – Class 1AP NAV gained 33.53% for the five months ended December 31, 2014, net of fees and expenses. the Equinox Frontier Heritage Fund – Class 2 NAV gained 31.56% for the twelve months ended December 31, 2014, net of fees and expenses. For the twelve months ended December 31, 2014, the Equinox Frontier Heritage Fund recorded net gain on investments of $4,838,618, net investment income of $1, and total expenses of $1,056,664, resulting in a net increase in Owners’ capital from operations of $2,812,848, after non-controlling interest of $969,107. The NAV per Unit, Class 1, increased from $102.05 at December 31, 2013, to $130.28 as of December 31, 2014. The NAV per Unit, Class 1AP, increased from $98.80 at July 31, 2014, to $131.93 as of December 31, 2014. The NAV per Unit, Class 2, increased from $134.21 at December 31, 2013, to $176.56 as of December 31, 2014. Total Class 1 subscriptions and redemptions for the twelve months were $26,517 and $3,615,044, respectively. Total Class 1AP subscriptions and redemptions for the fivetwelve months ended December 31, 2014 were $244,674 and $202,374, respectively. Total Class 2 redemptions for the twelve months were $417,710. There were no subscriptions for Class 2. Ending capital at December 31, 2014, was $9,761,819 for Class 1, $58,378 for Class 1AP and $3,207,182 for Class 2.

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

Sector Attribution for the Equinox Frontier Heritage Fund

 

77

Four of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2014. Metals, Currencies, Energies, and Interest Rates were positive while Agriculturals and Stock Indices were negative for the quarter.

Currencies, Metals, Energies and Interest Rates were positive YTD while Agriculturals and Stock Indices were negative YTD.

In terms of major CTA performance, Brevan Howard and Winton finished up for both the quarter and the year.

78

Series Returns and Other Information

The returns for each Series and ClassTable of Units for the twelve months ended December 31, 2013, 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.Contents

Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2013. The performance of each Series was impacted over the course of the year 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 each 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 fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Equinox Frontier Diversified Fund

2013

The Equinox Frontier Diversified Fund– Class 1 NAV lost 7.73% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Diversified Fund– Class 2 NAV lost 6.10% for the twelve months ended December 31, 2013 net of fees and expenses. For the twelve months ended December 31, 2013 the Equinox Frontier Diversified Fund recorded a net loss on investments of $5,520,937, net investment income of $1,544,382, and total expenses of $5,290,909, resulting in a net decrease in Owners’ capital from operations of $9,267,464. The NAV per Unit, Class 1, decreased from $94.40 at December 31, 2012, to $87.10 as of December 31, 2013. The NAV per Unit, Class 2, decreased from $100.48 at December 31, 2012, to $94.35 as of December 31, 2013. Total Class 1 subscriptions and redemptions for the period were $1,513,497 and $26,569,016, respectively. Total Class 2 subscriptions and redemptions for the period were $5,658,402 and $23,057,953, respectively. Ending capital at December 31, 2013, was $28,744,047 for Class 1 and $34,714,991 for Class 2.

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

Sector Attribution for the Equinox Frontier Diversified Fund

Five of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q4 2013. Stock Indices, Agriculturals, Energies, Currencies and Metals were profitable while Interest Rates finished negative for the quarter.

The Stock Indices and Metals sectors were positive year-to-date (“YTD”) while Interest Rates, Currencies, Agriculturals and Energies were negative YTD.

In terms of major CTA performance, eleven of the thirteen major CTAs in the Equinox Frontier Diversified Fund were profitable in Q4 2013. QIM, Tiverton, Brevan Howard, Winton, Crabel, Fort (GC), Emil Van Essen, Quest Partners, Doherty, Quantmetrics and Chesapeake finished positive for the quarter. Cantab and Mesirow finished negative for the quarter. In terms of YTD performance Mesirow, Quantmetrics, Tiverton, Winton, Crabel, Fort (GC), Doherty and Chesapeake are positive YTD while Cantab, QIM, Brevan Howard, Emil Van Essen and Quest Partners are negative YTD.

Equinox Frontier Long/Short Commodity Fund

2013

The Equinox Frontier Long/Short Commodity Fund – Class 2 NAV lost 14.00% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3 NAV lost 14.00% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 1a NAV lost 14.60% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2a NAV lost 13.09% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3a NAV lost 8.33% for the twelve months ended December 31, 2013, net of fees and expenses.

For the twelve months ended December 31, 2013, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $7,300,417, net investment income of $945,988, and total expenses of $3,021,094, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $6,044,396 after operations attributable to non-controlling interests of ($3,331,127). The NAV per Unit, Class 2, decreased from $145.65 at December 31, 2012, to $125.26 as of December 31, 2013. The NAV per Unit, Class 3, decreased from $145.69 at December 31, 2012, to $125.30 as of December 31, 2013. The NAV per Unit, Class 1a, decreased from $108.58 at December 31, 2012, to $92.73 as of December 31, 2013. The NAV per Unit, Class 2a, decreased from $115.65 at December 31, 2012, to $100.34 as of December 31, 2013. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $2,799,533, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $8,155,026, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $732,853 and $8,681,027, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $251,400 and $6,987,180, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $310,702 and $48,178, respectively. Ending capital at December 31, 2013, was $3,371,798 for Class 2, $9,619,596 for Class 3, $8,752,826 for Class 1a, $3,103,405 for Class 2a and $257,471 for Class 3a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

Sector Attribution for the Equinox Frontier Long/Short Commodity Fund

Two of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q4 2013. Energies and Financials finished positive for the quarter while Base Metals, Meats, Grains, Precious Metals and Softs finished negative for the quarter.

Financials are positive YTD while Energies, Base Metals, Grains, Meats, Precious Metals and Softs are negative YTD.

In terms of major CTA performance, Red Oak, Rosetta, Strategic Ag, Emil Van Essen and JE Moody finished positive for the quarter while Mesirow, Abraham, Commodity Strategies and Krom River were negative for the quarter.

In terms of YTD performance, Red Oak, Abraham and JE Moody are positive YTD while Mesirow, Rosetta, Strategic Ag, Commodity Strategies, Emil Van Essen and Krom River are negative YTD.

Equinox Frontier Masters Fund

2013

The Equinox Frontier Masters Fund – Class 1 NAV lost 9.18% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Masters Fund – Class 2 NAV lost 7.57% for the twelve months ended December 31, 2013, net of fees and expenses, the Equinox Frontier Masters Fund – Class 3 NAV gained 4.43% for the twelve months ended December 31, 2013, net of fees and expenses

For the twelve months ended December 31, 2013 the Equinox Frontier Masters Fund recorded a net loss on investments of $2,052,522, net investment income of $757,793, and total expenses of $2,956,297, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $4,251,026. The NAV per Unit, Class 1, decreased from $101.11 at December 31, 2012, to $91.83 as of December 31, 2013. The NAV per Unit, Class 2, decreased from $107.61 at December 31, 2012, to $99.46 as of December 31, 2013. The NAV per Unit, Class 3 increased from $88.01 at December 16, 2013 (the inception date) to $91.91 as of December 31, 2013. Total Class 1 subscriptions and redemptions for the period were $2,886,992 and $11,256,921, respectively. Total Class 2 subscriptions and redemptions for the period were $599,084 and $5,932,078, respectively. Total Class 3 subscriptions for the period were $238,575. There were no Class 3 redemptions. Ending capital at December 31, 2013, was $23,115,495 for Class 1, $10,406,162 for Class 2 and $249,127 for Class 3.

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

Sector Attribution for the Equinox Frontier Masters Fund

Four of the six sectors traded in the Equinox Frontier Masters Fund were profitable in Q4 2013. Stock Indices, Agricuturals, Currencies and Metals were positive while, Interest Rates and Energies were negative for the quarter.

Metals, Agriculturals and Stock Indices were positive for the year

In terms of major CTA performance, Cantab finished negative for the quarter while Tiverton, Transtrend and Winton were positive during the quarter. In terms of YTD performance, Winton and Transtrend were positive while Tiverton and Cantab were negative YTD.

Equinox Frontier Balanced Fund

2013

The Equinox Frontier Balanced Fund – Class 1 NAV lost 8.62% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2 NAV lost 5.84% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2a NAV lost 4.47% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 3a NAV lost 4.48% for the twelve months ended December 31, 2013, net of fees and expenses.

For the twelve months ended December 31, 2013, the Equinox Frontier Balanced Fund recorded net loss on investments of $6,490,128, net investment income of $280,359, and total expenses of $7,350,844, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $16,152,498 after operations attributable to non- controlling interests of $2,591,885. The NAV per Unit, Class 1, decreased from $116.32 at December 31, 2012, to $106.29 at December 31, 2013 The NAV per Unit, Class 2, decreased from $149.02 at December 31, 2012, to $140.49 at December 31, 2013. For Class 2a, the NAV per Unit decreased from $124.36 at December 31, 2012, to $118.80 at December 31, 2013. For Class 3a, the NAV per Unit decreased from $123.96 at December 31, 2012, to $118.41 at December 31, 2013. Total Class 1 subscriptions and redemptions for the twelve months were $268,363 and $51,009,054, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $14,888 and $21,286,387, respectively. Total Class 2a redemptions for the twelve month period were $458,658. There were no Class 2a

subscriptions. Total Class 3a redemptions for the period were $1,302,545. There were Class 3 no subscriptions. Ending capital at December 31, 2013, was $80,801,534 for Class 1 $26,611,117 for Class 2, $491,579 for Class 2a and $2,322,629 for Class 3a.

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

Sector Attribution for the Frontier Equinox Frontier Balanced Fund

Four of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2013. Currencies, Stock Indices Agricultures and Metals were profitable while Interest Rates and Energies finished negative for the quarter.

The Stock Indices and Metals sectors were positive YTD while Interest Rates, Agricultures, Currencies and Energies were negative YTD.

In terms of major CTA performance, QIM, Tiverton, Beach Horizon, Winton, Campbell, Fort (GC), Fort (GD), Quantica, Quantmentrics, Crabel, H20 AM, Emil Van Essen and Doherty finished positive for the quarter. Cantab finished negative for the quarter. Tiverton, Winton, Campbell, Fort (GC), Quantica, Quantmetrics, Crabel, H20 AM and Doherty were positive YTD. QIM, Cantab, Beach Horizon, Emil Van Essen and Fort (GD) were negative YTD.

Equinox Frontier Select Fund

2013

The Equinox Frontier Select Fund – Class 1 NAV gained 1.53% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Select Fund – Class 2 NAV gained 4.61% for the twelve months ended December 31, 2013, net of fees and expenses.

For the twelve months ended December 31, 2013, the Equinox Frontier Select Fund recorded net gain on investments of $1,521,198, net investment income of $261,102, and total expenses of $1,365,129, resulting in a net increase in Owners’ capital from operations of $417,171. The NAV per Unit, Class 1, increased from $78.66 at December 31, 2012, to $79.86 as of December 31, 2013. The NAV per Unit, Class 2, increased from $99.55 at December 31, 2012, to $104.14 as of December 31, 2013. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2013, were $14,901 and $6,736,727, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2013, were $1,428,138. There were no Class 2 subscriptions. Ending capital at December 31, 2013, was $15,852,947 for Class 1 and $1,758,901 for Class 2.

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

Sector Attribution for the Equinox Frontier Select Fund

Four of the six sectors traded in the Equinox Frontier Select Fund were profitable in Q4 2013. Metals, Agriculturals, Currencies and Stock Indices were positive while, Interest Rates, and Energies were negative for the quarter.

Metals, Agriculturals, Currencies and Stock Indices were positive YTD while Interest Rates and Energies were negative YTD.

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

Equinox Frontier Winton Fund

2013

The Equinox Frontier Winton Fund – Class 1 NAV gained 6.78% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Winton Fund – Class 2 NAV gained 10.03% for the twelve months ended December 31, 2013, net of fees and expenses.

For the twelve months ended December 31, 2013, the Equinox Frontier Winton Fund recorded net gain on investments of $4,790,126, net investment income of $283,863, and total expenses of $2,340,519, resulting in a net increase in Owners’ capital from operations of $2,733,470. The NAV per Unit, Class 1, increased from $130.73 at December 31, 2012 to $139.59 as of December 31, 2013. The NAV per Unit, Class 2, increased from $158.30 at December 31, 2012, to $174.17 as of December 31, 2013. Total Class 1 subscriptions for the year were $171,785 and redemptions were $6,407,920. Total Class 2 redemptions for the year were $832,032. There were no Class 2 subscriptions. Ending capital at December 31, 2013, was $26,164,147 for Class 1 and $10,460,690 for Class 2.

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

Sector Attribution for the Equinox Frontier Winton Fund

Four of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q4 2013. Metals, Currencies, Agricultures and Stock Indices were positive while Energies and Interest Rates were negative for the quarter.

Metals, Currencies, Agriculturals and Stock Indices were positive YTD while Energies and Interest Rates were negative YTD.

Equinox Frontier Heritage Fund

2013

The Equinox Frontier Heritage Fund – Class 1 NAV gained 7.93% for the twelve months ended December 31, 2013, net of fees and expenses; the Equinox Frontier Heritage Fund – Class 2 NAV gained 11.22% for the twelve months ended December 31, 2013, net of fees and expenses. For the twelve months ended December 31, 2013, the Equinox Frontier Heritage Fund recorded net gain on investments of $2,516,149, net investment income of $109,122, and total expenses of $938,253, resulting in a net increase in Owners’ capital from operations of $1,423,001, after non-controlling interest of $264,017. The NAV per Unit, Class 1, increased from $94.55

at December 31, 2012, to $102.05 as of December 31, 2013. The NAV per Unit, Class 2, increased from $120.67 at December 31, 2012, to $134.21 as of December 31, 2013. Total Class 1 subscriptions and redemptions for the twelve months were $40,552 and $6,463,086, respectively. Total Class 2 redemptions for the twelve months were $1,575,538. There were no subscriptions for Class 2. Ending capital at December 31, 2013, was $11,328,406 for Class 1 and $2,850,062 for Class 2.

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

Sector Attribution for the Equinox Frontier Heritage Fund

Four of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2013. Currencies, Agriculturals, Metals and Stock Indices were positive while Interest Rates and Energies were negative for the quarter.

Currencies, Metals, Agriculturals and Stock Indices were positive YTD while Interest Rates and Energies were negative YTD.

In terms of major CTA performance, Brevan Howard and Winton finished up for both the quarter and the year.

Results of Operations for the Twelve Months Ended December 31, 2012

Series Returns and Other Information

The returns for each Series and Class of Units for the twelve months ended December 31, 2012, 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 fiscal 2012. The performance of each Series was impacted over the course of the year 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 each 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 fourth quarter (except as otherwise noted) and for the full calendar year. Charts depicting the performance of the various Series’ positions within each of the relevant sectors during the prior three quarters were included in the Trust’s quarterly reports on Form 10-Q previously filed.

Equinox Frontier Diversified Fund

2012

The Equinox Frontier Diversified Fund – Class 1 NAV lost 5.00% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Diversified Fund– Class 2 NAV lost 3.35% for the twelve months ended December 31, 2012 net of fees and expenses. For the twelve months ended December 31, 2012 the Equinox Frontier Diversified Fund recorded a net gain on investments of $2,078,348, net investment income of $2,199,327, and total expenses of $9,596,941, resulting in a net decrease in Owners’ capital from operations of $5,319,266. The NAV per Unit, Class 1, decreased from $99.40 at December 31, 2011, to $94.40 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $103.96 at December 31, 2011, to $100.48 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the period were $6,210,689 and $16,218,845, respectively. Total Class 2 subscriptions and redemptions for the period were $10,594,121 and $14,058,731, respectively. Ending capital at December 31, 2012, was $58,999,936 for Class 1 and $56,181,636 for Class 2.

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

Sector Attribution for the Equinox Frontier Diversified Fund

Three of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q4 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative for the year.

In terms of major CTA performance, two of the seven major CTAs in the Equinox Frontier Diversified Fund were profitable in Q4 2012. Quantmetrics and Cantab were profitable while Graham, Winton, Tiverton, Beach Horizon and QIM finished negative for the quarter.

Equinox Frontier Long/Short Commodity Fund

2012

The Equinox Frontier Long/Short Commodity Fund – Class 1 NAV lost 0.53% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2 NAV lost 10.08% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 3 NAV lost 10.05% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 1a NAV lost 10.79% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Class 2a NAV lost 9.26% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $11,084,454, net investment income of $1,385,312, and total expenses of $6,010,679, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $6,542,114 after operations attributable to non-controlling interests of ($9,167,707). The NAV per Unit, Class 1, decreased from $136.13 at December 31, 2011, to $135.41 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $161.97 at December 31, 2011, to $145.65 as of December 31, 2012. The NAV per Unit,

Class 3, decreased from $161.96 at December 31, 2011, to $145.69 as of December 31, 2012. The NAV per Unit, Class 1a, decreased from $121.71 at December 31, 2011, to $108.58 as of December 31, 2012. The NAV per Unit, Class 2a, decreased from $127.23 at December 31, 2011, to $115.65 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $118,649 and $4,212,685, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $107,678 and $1,543,319, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $4,317,110 and $10,067,907, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $5,065,346 and $2,711,726, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $4,806,872 and $3,773,149, respectively. Ending capital at December 31, 2012, was $0 for Class 1, $6,898,785 for Class 2, $19,761,047 for Class 3, $18,983,538 for Class 1a and $10,882,111 for Class 2a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, and Commodities sectors, although the majority of the exposure will typically be in the Energies, Metals, and Commodities sectors.

Sector Attribution for the Equinox Frontier Long/Short Commodity Fund

None of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q4 2012.

Two of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in 2012. The Grains and Softs sectors were profitable while the Base Metals, Energies, Meats, Precious Metals and Financial sectors finished negative for the year.

In terms of major CTA performance, one of the six major CTAs in the Equinox Frontier Long/Short Commodity Fund was profitable in Q4 2012. Strategic Ag finished positive while Global Advisors, Red Oak, Rosetta, Beach Horizon and Mesirow were negative for the quarter.

Two of the six major CTAs in the Equinox Frontier Long/Short Commodity Fund were profitable in 2012. Red Oak and Rosetta were profitable while Beach Horizon, Global Advisors, Mesirow and Strategic Ag finished negative for the year.

Equinox Frontier Masters Fund

2012

The Equinox Frontier Masters Fund – Class 1 NAV gained 0.86% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Masters Fund – Class 2 NAV gained 2.65% for the twelve months ended December 31, 2012, net of fees and expenses.

For the period ended December 31, 2012 the Equinox Frontier Masters Fund recorded a net gain on investments of $3,545,722, net investment income of $1,038,493, and total expenses of $4,016,767, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $618,878 after operations attributable to non-controlling interests of ($51,430). The NAV per Unit, Class 1, increased from $100.25 at December 31, 2011, to $101.11 as of December 31, 2012. The NAV per Unit, Class 2, increased from $104.83 at December 31, 2011, to $107.61 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the period were $8,000,654 and $7,608,340, respectively. Total Class 2 subscriptions and redemptions for the period were $2,540,289 and $4,890,320, respectively. Ending capital at December 31, 2012, was $34,603,499 for Class 1 and $16,882,659 for Class 2.

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

Sector Attribution for the Equinox Frontier Masters Fund

Two of the six sectors traded in the Equinox Frontier Masters Fund were profitable in Q4 2012. Currencies and Stock Indices were positive while Agriculturals, Interest Rates, Energies and Metals were negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Masters Fund were profitable in 2012. Interest Rates and Stock Indices were profitable while Energies, Currencies, Metals and Agriculturals finished negative for the year.

In terms of major CTA performance, none of the four major CTAs in the Equinox Frontier Masters Fund were profitable during the quarter. Cantab, Transtrend, Winton and Tiverton finished negative for the quarter.

Two of the four major CTAs in the Equinox Frontier Masters Fund were profitable in 2012. Cantab and Transtrend were profitable while Tiverton and Winton finished negative for the year.

Equinox Frontier Balanced Fund

2012

The Equinox Frontier Balanced Fund – Class 1 NAV lost 6.57% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 1a NAV lost 3.81% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2 NAV lost 3.75% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 2a NAV lost 3.11% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Balanced Fund – Class 3a NAV lost 3.43% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Equinox Frontier Balanced Fund recorded net gain on investments of $7,382,357, net investment income of $276,272, and total expenses of $16,386,180, resulting in a net decrease in Owners’ capital from operations attributable to controlling interests of $13,154,863 after operations attributable to non- controlling interests of $4,427,312. The NAV per Unit, Class 1, decreased from $124.50 at December 31, 2011, to $116.32 at December 31, 2012. For Class 1a, the NAV per Unit decreased from $108.45 at December 31, 2011, to $104.32 at December 31, 2012. The NAV per Unit, Class 2, decreased from $155.02 at December 31, 2011, to $149.02 at December 31, 2012. For Class 2a, the NAV per Unit decreased from $128.35 at December 31, 2011, to $124.36 at December 31, 2012. For Class 3a, the NAV per Unit decreased from $128.36 at December 31, 2011, to $123.96 at December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $3,015,637 and $32,045,338, respectively. Total Class 1a subscriptions and redemptions for the twelve month period were $482 and $2,524,092, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $1,119,177 and $10,926,553, respectively. Total Class 2a redemptions for the twelve month period were $1,734,065. There were no Class 2a subscriptions. Total Class 3a subscriptions and redemptions for the period were $2,324,206 and $1,353,917, respectively. Ending capital at December 31, 2012, was $143,906,872 for Class 1, $0 for Class 1a, $51,459,568 for Class 2, $1,009,520 for Class 2a and $3,776,790 for Class 3a.

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

Sector Attribution for the Frontier Equinox Frontier Balanced Fund

Three of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2012. Currencies, Stock Indices and Interest Rates were profitable while Metals, Agriculturals and Energies finished negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative in 2012.

In terms of major CTA performance, none of the five major CTAs in the Equinox Frontier Balanced Fund were profitable in Q4 2012. Winton, Cantab, QIM, Tiverton and Beach Horizon finished negative for the quarter.

Two of the five major CTAs in the Equinox Frontier Balanced Fund were profitable in 2012. QIM and Cantab were profitable while Tiverton, Beach Horizon and Winton finished negative in 2012.

Equinox Frontier Select Fund

2012

The Equinox Frontier Select Fund – Class 1 NAV lost 13.58% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Select Fund – Class 2 NAV lost 10.99% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Equinox Frontier Select Fund recorded net loss on investments of $2,138,461, net investment income of $263,049, and total expenses of $2,449,160, resulting in a net decrease in Owners’ capital from operations of $4,324,572. The NAV per Unit, Class 1, decreased from $91.02 at December 31, 2011, to $78.66 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $111.84 at December 31, 2011, to $99.55 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2012, were $555,613 and $9,566,450, respectively. Total Class 2 redemptions for the twelve months ended December 31, 2012, were $933,922. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $22,266,758 for Class 1 and $3,077,883 for Class 2.

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

Sector Attribution for the Equinox Frontier Select Fund

Two of the six sectors traded in the Equinox Frontier Select Fund were profitable in Q4 2012. Currencies, and Stock Indices were positive while Agriculturals, Interest Rates, Metals and Energies were negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Select Fund were profitable in 2012. The Interest Rates and Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies were negative in 2012.

In terms of major CTA performance Graham, Transtrend and Tiverton finished negative for both the quarter and the year.

Equinox Frontier Winton Fund

2012

The Equinox Frontier Winton Fund – Class 1 NAV lost 7.37% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Winton Fund – Class 2 NAV lost 4.54% for the twelve months ended December 31, 2012, net of fees and expenses.

For the twelve months ended December 31, 2012, the Equinox Frontier Winton Fund recorded net loss on investments of $1,356,583, net investment income of $531,125, and total expenses of $2,435,758, resulting in a net decrease in Owners’ capital from operations of $3,261,216. The NAV per Unit, Class 1, decreased from $141.13 at December 31, 2011, to $130.73 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $165.82 at December 31, 2011, to $158.30 as of December 31, 2012. Total Class 1 subscriptions for the year were $565,351 and redemptions were $5,529,808. Total Class 2 redemptions for the year were $862,917. There were no Class 2 subscriptions. Ending capital at December 31, 2012, was $30,645,208 for Class 1 and $10,314,326 for Class 2.

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

Sector Attribution for the Equinox Frontier Winton Fund

Three of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q4 2012. Currencies, Stock Indices and Interest Rates were positive while Metals, Agriculturals and Energies were negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Winton Fund were profitable in 2012. The Stock Indices and Interest Rates sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative for the year.

Equinox Frontier Heritage Fund

2012

The Equinox Frontier Heritage Fund – Class 1 NAV lost 9.72% for the twelve months ended December 31, 2012, net of fees and expenses; the Equinox Frontier Heritage Fund – Class 2 NAV lost 6.96% for the twelve months ended December 31, 2012, net of fees and expenses. For the twelve months ended December 31, 2012, the Equinox Frontier Heritage Fund recorded net loss on investments of $681,944, net investment income of $134,302, and total expenses of $1,822,802, resulting in a net decrease in Owners’ capital from operations of $2,370,444. The NAV per Unit, Class 1, decreased from $104.73 at December 31, 2011, to $94.55 as of December 31, 2012. The NAV per Unit, Class 2, decreased from $129.70 at December 31, 2011, to $120.67 as of December 31, 2012. Total Class 1 subscriptions and redemptions for the twelve months were $444,193 and $6,503,244, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $12,593 and $1,603,246, respectively. Ending capital at December 31, 2012, was $16,680,498 for Class 1 and $4,073,041 for Class 2.

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

Sector Attribution for the Equinox Frontier Heritage Fund

Two of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2012. Currencies and Stock Indices were positive while Interest Rates, Agriculturals, Metals and Energies were negative for the quarter.

Two of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in 2012. The Interest Rates and the Stock Indices sectors were profitable while Currencies, Metals, Agriculturals and Energies finished negative in 2012.

In terms of major CTA performance, both Graham and Winton finished negative for the quarter and the year.

Item 7A.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

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

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

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

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

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

Quantitative Market Risk

Trading Risk

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

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

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

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

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

79

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 December 31, 20142016 and 2013.2015. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Equinox Frontier Diversified Fund:

 

 December 31, 2016  December 31, 2015 

MARKET SECTOR

  December 31, 2014 December 31, 2013 
 VALUE % OF TOTAL VALUE % OF TOTAL 
 AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 

MARKET SECTOR

VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 
  $1,276,055     2.13 $2,684,511     4.23 $54,560   0.10% $1,482,594   2.66%

Currencies

   1,670,041     2.78  2,625,909     4.14  6,695,287   11.86%  1,825,578   3.28%

Stock Indices

   3,152,926     5.25  4,211,080     6.64  136,448   0.24%  2,256,114   4.05%

Metals

   124,812     0.21  178,413     0.28  76,463   0.14%  290,196   0.52%

Agriculturals/Softs

   854,409     1.42  1,217,457     1.92  56,026   0.10%  1,230,266   2.21%

Energy

   1,677,590     2.80  1,062,838     1.67  34,416   0.06%  1,558,897   2.80%
  

 

   

 

  

 

   

 

 

Total:

  $  8,755,833     14.59 $  11,980,208     18.88%�� $7,053,200   12.50% $8,643,645   15.52%
  

 

   

 

  

 

   

 

 

Equinox Frontier Long/Short Commodity Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $86,055     0.52 $2,575,510     9.10 $(3,667)  -0.04% $308,877   2.36%

Currencies

   206,375     1.24  1,705,311     6.02  4,103,478   44.30%  593,315   4.53%

Stock Indices

   185,321     1.12  822,430     2.90  (4,847)  -0.05%  176,530   1.35%

Metals

   32,767     0.20  193,564     0.68  (1,394)  -0.02%  27,511   0.21%

Agriculturals/Softs

   474,912     2.86  1,643,667     5.80  (82)  0.00%  343,977   2.63%

Energy

   2,278,884     13.71  1,717,759     6.06  (2,483)  -0.03%  1,795,669   13.71%
  

 

   

 

  

 

   

 

 

Total:

  $  3,264,314     30.56 $  8,658,241     30.56 $4,091,005   44.16% $3,245,879   24.79%
  

 

   

 

  

 

   

 

 

Equinox Frontier Masters Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $596,543     2.32 $573,362     1.70 $147,424   0.86% $745,322   3.26%

Currencies

   1,004,876     3.91  963,844     2.85  846,815   4.93%  1,116,000   4.89%

Stock Indices

   659,851     2.57  1,111,165     3.30  162,087   0.94%  1,155,610   5.06%

Metals

   48,364     0.19  81,177     0.24  132,588   0.77%  120,696   0.53%

Agriculturals/Softs

   394,545     1.53  386,098     1.14  80,299   0.47%  581,297   2.55%

Energy

   776,846     3.02  132,211     0.39  102,721   0.60%  828,577   3.63%
  

 

   

 

  

 

   

 

 

Total:

  $  3,481,025     9.62 $  3,247,857     9.62 $1,471,934   8.57% $4,547,502   19.92%
  

 

   

 

  

 

   

 

 

Equinox Frontier Balanced Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $3,301,495     3.04 $3,727,565     3.06 $111,080   0.13% $2,770,118   3.07%

Currencies

   4,131,348     3.81  5,007,811     4.11  16,050,306   19.50%  2,793,664   3.10%

Stock Indices

   4,350,810     4.01  5,699,614     4.68  251,376   0.31%  3,101,604   3.44%

Metals

   460,411     0.42  219,954     0.18  203,879   0.25%  452,392   0.50%

Agriculturals/Softs

   2,507,574     2.31  1,327,718     1.09  310,953   0.38%  2,343,248   2.60%

Energy

   2,862,415     2.64  843,206     0.69  59,842   0.07%  2,470,484   2.74%
  

 

   

 

  

 

   

 

 

Total:

  $  17,614,053     16.24 $  16,825,868     13.81 $16,987,436   20.64% $13,931,510   15.45%
  

 

   

 

  

 

   

 

 

Equinox Frontier Select Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $338,847     2.22 $123,314     0.70 $142,902   0.89% $501,177   2.52%

Currencies

   684,037     4.48  323,054     1.83  3,767,631   23.44%  667,887   3.35%

Stock Indices

   124,866     0.82  484,794     2.76  108,220   0.67%  949,390   4.77%

Metals

   12,156     0.08  29,599     0.17  106,501   0.66%  60,331   0.30%

Agriculturals/Softs

   140,093     0.92  142,065     0.81  56,513   0.35%  326,993   1.64%

Energy

   18,880     0.12  60,734     0.34  101,803   0.63%  115,282   0.58%
  

 

   

 

  

 

   

 

 

Total:

  $  1,318,879     8.64 $  1,163,560     6.61 $4,283,570   26.64% $2,621,060   13.16%
  

 

   

 

  

 

   

 

 

Equinox Frontier Winton Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $1,081,081     2.70 $877,871     2.40 $181,898   0.45% $783,573   1.90%

Currencies

   1,845,125     4.61  1,560,714     4.26  2,203,203   5.42%  1,718,649   4.16%

Stock Indices

   847,093     2.12  1,135,804     3.10  496,922   1.22%  706,493   1.71%

Metals

   112,363     0.28  76,415     0.21  291,318   0.72%  273,910   0.66%

Agriculturals/Softs

   478,222     1.19  405,696     1.11  222,576   0.55%  691,213   1.67%

Energy

   141,408     0.35  81,046     0.22  113,092   0.28%  347,931   0.84%
  

 

   

 

  

 

   

 

 

Total:

  $  4,505,292     11.25 $  4,137,546     11.30 $3,509,009   8.64% $4,521,769   10.94%
  

 

   

 

  

 

   

 

 

Equinox Frontier Heritage Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $228,140     1.38 $196,699     1.19 $35,111   0.34% $181,696   1.17%

Currencies

   381,353     2.30  349,699     2.11  3,730,499   36.37%  343,190   2.22%

Stock Indices

   194,764     1.18  254,492     1.53  91,176   0.89%  133,965   0.87%

Metals

   23,407     0.14  17,122     0.10  52,124   0.51%  52,162   0.34%

Agriculturals/Softs

   101,074     0.61  90,901     0.55  38,923   0.38%  132,697   0.86%

Energy

   28,157     0.17  18,159     0.11  22,016   0.21%  63,333   0.41%
  

 

   

 

  

 

   

 

 

Total:

  $  956,895     5.78 $  927,072     5.59 $3,969,849   38.70% $907,043   5.87%
  

 

   

 

  

 

   

 

 

80

As of December 31, 2014,2016, a portion of the assets of the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Select Fund and Equinox Frontier Heritage Fund are invested in Swapswap contracts (Please refer to Note 4 in the Series Financial Statements). Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.

Value at Risk: Foreign Markets

The following table presents the portion of trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of December 31, 20142016 and 2013,2015, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Equinox Frontier Diversified Fund

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $739,393     1.23 $2,160,496     3.40 $35,331   0.06% $648,857   1.08%

Currencies

   1,089,599     1.82  1,555,845     2.45  6,213,135   11.00%  448,492   0.75%

Stock Indices

   422,834     0.70  3,587,840     5.66  107,207   0.19%  626,690   1.04%

Metals

   37,368     0.06  37,662     0.06     0.00%  63,844   0.11%

Agriculturals/Softs

   226,567     0.38  39,825     0.06  6,155   0.01%  105,154   0.18%

Energy

   116,696     0.19  480,338     0.76
  

 

   

 

  

 

   

 

 

Total:

  $  2,632,457     4.38 $  7,862,006     12.39 $6,361,828   11.26% $1,893,037   3.16%
  

 

   

 

  

 

   

 

 

Equinox Frontier Long/Short Commodity Fund

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $69,948     0.42 $1,425,477     5.03 $(3,398)  -0.04% $92,077   0.55%

Currencies

   100,715     0.61  —       0.00  4,105,061   44.32%  25,503   0.15%

Stock Indices

   114,524     0.69  579,601     2.05  (4,548)  -0.05%  65,299   0.39%

Metals

   9,061     0.05  11,203     0.04     0.00%  2,581   0.02%

Agriculturals/Softs

   —       0.00  —       0.00     0.00%  4,969   0.03%

Energy

   100,715     0.61  468,564     1.65
  

 

   

 

  

 

   

 

 

Total:

  $  394,963     2.38 $  2,484,845     8.77 $4,097,115   44.23% $190,429   1.14%
  

 

   

 

  

 

   

 

 

Equinox Frontier Masters Fund

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $727,211     2.83 $421,214     1.25 $107,034   0.62% $350,746   1.36%

Currencies

   801,726     3.12  312,522     0.93  116,702   0.68%  411,728   1.60%

Stock Indices

   356,544     1.39  919,681     2.72  109,865   0.64%  241,648   0.94%

Metals

   22,638     0.09  22,935     0.07  35,070   0.20%  26,150   0.10%

Agriculturals/Softs

   165,918     0.65  19,958     0.06  12,297   0.07%  48,090   0.19%

Energy

   53,971     0.21  42,061     0.12  5,981   0.03%     0.00%
  

 

   

 

  

 

   

 

 

Total:

  $  2,128,008     8.29 $  1,738,371     5.15 $386,949   2.24% $1,078,362   4.19%
  

 

   

 

  

 

   

 

 

Equinox Frontier Balanced Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $2,041,346     1.88 $3,003,664     2.47 $84,522   0.10% $1,285,354   1.18%

Currencies

   3,142,298     2.90  3,343,522     2.74  14,167,369   17.21%  653,928   0.60%

Stock Indices

   970,061     0.89  4,791,062     3.93  181,960   0.22%  1,049,217   0.97%

Metals

   89,382     0.08  53,355     0.04  93,238   0.11%  103,957   0.10%

Agriculturals/Softs

   626,322     0.58  56,485     0.05  62,286   0.08%  220,476   0.20%

Energy

   311,075     0.29  354,495     0.29  10,780   0.01%  9,593   0.01%
  

 

   

 

  

 

   

 

 

Total:

  $  7,180,484     6.62 $  11,602,583     9.52 $14,600,155   17.73% $3,322,525   3.06%
  

 

   

 

  

 

   

 

 

Equinox Frontier Select Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $281,662     1.84 $70,732     0.40 $108,091   0.67% $277,612   1.82%

Currencies

   660,559     4.33  232,321     1.32  3,234,059   20.12%  441,529   2.89%

Stock Indices

   95,208     0.62  460,281     2.61  66,205   0.41%  160,956   1.05%

Metals

   2,917     0.02  8,009     0.05  40,789   0.25%  16,211   0.11%

Agriculturals/Softs

   42,581     0.28  9,392     0.05  10,232   0.06%  41,291   0.27%

Energy

   17,012     0.11  17,903     0.10  6,957   0.04%     0.00%
  

 

   

 

  

 

   

 

 

Total:

  $  1,099,939     7.20 $  798,638     4.53 $3,466,333   21.55% $937,599   6.14%
  

 

   

 

  

 

   

 

 

Equinox Frontier Winton Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $727,211     1.82 $760,933     2.08 $107,843   0.27% $241,773   0.60%

Currencies

   801,726     2.00  —       0.00  296,219   0.73%  19,055   0.05%

Stock Indices

   356,544     0.89  811,929     2.21  383,250   0.94%  234,669   0.59%

Metals

   22,638     0.06  17,367     0.05     0.00%  44,840   0.11%

Agriculturals/Softs

   156,918     0.39  17,254     0.05  24,539   0.06%  15,623   0.04%

Energy

   53,971     0.13  8,105     0.02
  

 

   

 

  

 

   

 

 

Total:

  $  2,119,008     5.29 $  1,615,588     4.41 $811,851   2.00% $555,960   1.39%
  

 

   

 

  

 

   

 

 

Equinox Frontier Heritage Fund:

 

 December 31, 2016  December 31, 2015 
 VALUE % OF TOTAL VALUE % OF TOTAL 
  December 31, 2014 December 31, 2013  AT RISK  CAPITALIZATION  AT RISK  CAPITALIZATION 
MARKET SECTOR  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
                 

Interest Rates

  $158,368     0.96 $170,497     1.03 $21,939   0.21% $57,621   0.35%

Currencies

   175,144     1.06  —       0.00  3,396,210   33.11%  7,690   0.05%

Stock Indices

   85,264     0.51  181,923     1.10  71,061   0.69%  47,088   0.28%

Metals

   4,307     0.03  3,891     0.02     0.00%  8,028   0.05%

Agriculturals/Softs

   31,566     0.19  3,866     0.02  4,283   0.04%  2,797   0.02%

Energy

   10,806     0.07  1,816     0.01
  

 

   

 

  

 

   

 

 

Total:

  $  465,455     2.82 $  361,993     2.18 $3,493,493   34.05% $123,224   0.75%
  

 

   

 

  

 

   

 

 

81

As of December 31, 2014,2016, a portion of the assets of the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Select Fund and Equinox Frontier Heritage Fund are invested in Swapswap 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.

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 nine months) and time deposits. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of December 31, 2014,2016, 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 Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1a1AP, Class 2a and Class 2a3a only), 20% of the total interest allocated to each Series iswas paid to the Managing Owner.Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series. In addition, if interest rates fall below 0.75%, the Managing Owner is paid the difference between the Trust’s annualized interest income that is allocated to each of such Series and 0.75%. Interest income above what is paid to the Managing Owner is retained by the Series. The amounts 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.

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.

82

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

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

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

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

83

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.

Cyber Risks and Security

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

The Trust requires user names 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.

Item 8.FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA.

Financial statements meeting the requirements of Regulation S-X appear beginning on page F-1 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in this report under the heading “Selected Financial Data” above.

 

Item 9.CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE.

None.

 

Item 9A.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 Chief Executive Officer and Principal 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 December 31, 20142016 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Principal Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

84

Report on Management’s Assessment of Internal Control over Financial Reporting

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

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

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. 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 December 31, 2014,2016, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its 2013 report entitledInternal Control-Integrated Framework. Based on that assessment, management concluded that, as of December 31, 2014,2016, the internal control over financial reporting for the Trust and each Series is effective based on the criteria established in the 2013 Internal Control-Integrated Framework.

This annual 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 annual report.

Changes in Internal Control Over Financial Reporting.

There were no changes in the Trust’s internal control over financial reporting for the quarteryear ended December 31, 20142016 that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.reporting as a result of the transition to accessing investment via Galaxy Plus and financial reporting transition to Gemini Hedge Fund Administration.

Scope of Exhibit 31 Certifications

The certifications of the Chief Executive Officer and the Principal Financial Officer of the Managing Owner and the New Managing Owner as of December 31, 2016 and as of March 31, 2017 (the date of this filing) are included as Exhibits 31.1 and 31.2, respectively, to this Form 10-K apply not only to the Trust as a whole but also to each Series individually.

 

Item 9B.OTHER INFORMATION.

None.

85

Part III

 

Item 10.DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE.

The Trust has no directors or executive officers and also does not have any employees. The Trust is managed solely by Equinox Fund Management, LLC, a Delaware limited liability company formed in June 2003, in the capacity as managing owner. The Managing Owner became registered with the CFTC as CPO as of August 6, 2003, and has been a member in the National Futures Association (the “NFA”), in such capacity since that date. On March 6, 2017, a transaction was consummated that gave operational control of the Trust to Frontier Fund Management, LLC and from that date Frontier Fund Management, LLC became the New Managing Owner.

Principals of the Managing Owner

The current officers and directors of the Managing Owner are as follows:

Robert J. Enck,is the President and Chief Executive Officer of the managing owner,(“CEO”), and serves as chairman of the management committee of the managing owner,Management Committee of the Managing Owner and the Executive Committee of Equinox Frontier Funds. Mr. Enck has been listed as a principal of the managing ownerManaging Owner since July 2007.2007 and as an associated person and swap associated person of the Managing Owner since July 2014. Mr. Enck joined the managing ownerManaging Owner on March 1, 2007, with more than 20 years of extensive management experience with large, highly regulated health care organizations such as Bristol-Myers Squibb and Quintiles as well as with more entrepreneurial venture capital funded organizations. Most recently, from March 2003 to March 2007, Mr. Enck was the Senior Managing Director of The Hermes Group LLC, an advisory firm that specialized in management advisory services, as well as merger and acquisition-related services. At the Hermes Group, Mr. Enck was a member of the ownership team that acquired Ascendia Brands (formerly Lander Company), a $200 million health and beauty care company. As part of this team, Mr. Enck focused on acquisitions, marketing, outsourcing initiatives and the reverse merger of Lander into a public company. Prior to joining Hermes, from March 2001 to March 2003, Mr. Enck served as a General Manager and Vice President within Quintiles Transnational, a multinationalmulti-national pharmaceutical services firm with nearly two billion dollars in annual revenues. Mr. Enck joined Quintiles as a result of Quintiles’ acquisition of Beansprout Networks, an internet company designed to foster effective communication between parents and the pediatricians and child-care providers who care for their children where Mr. Enck served as CEO. As CEO of Beansprout from March 2001 to March 2003, Mr. Enck conceived of and executed a dramatic refocus of the company and engineered the successful transaction with Quintiles. Prior to joining Beansprout, from September 1998 to March 2001, Mr. Enck was President of Rx Remedy Information Services, a company focused on providing pharmaceutical firms with longitudinal patient reportedpatient-reported health care information. Before that, Mr. Enck was with Summit Medical Systems, a healthcare software and support services corporation, from January 1994 to September 1998, where he held a number of senior-level positions, including President and General Manager of its subsidiary, Medical Information Systems (MIS), as well as Vice President of Sales and Marketing of parent company, Summit. Mr. Enck joined Summit when it was a private firm and was a member of the management team that grew the business and conducted a successful IPO. Additionally, Mr. Enck served as President of MIS, where he executed its sale to United Healthcare. Earlier, he spent nine years, from March 1985 to January 1994, with Bristol-Myers Squibb, a global pharmaceutical company, and held management positions in the areas of managed care, government programs and sales management. Mr. Enck holds a B.S. degree in Natural Sciences from St. John’s University, Collegeville, MN and an MBA in Management from the University of St. Thomas, St. Paul, MN. Mr. Enck currently holds SEC/FINRA Series 7, 24 and 2463 registrations.

Richard E. BornhoftStacy Gillespie, is a founderthe Chief Compliance Officer (“CCO”) of the Managing Owner itsand has served in this role since August 2016. Ms. Gillespie is currently employed by Cipperman Compliance Services, LLC (“CCS”), a Wayne, Pennsylvania-based third party provider of compliance services with which the Managing Owner has entered into a relationship. Ms. Gillespie has been associated with CCS since September 2015 and has served as Chief InvestmentCompliance Officer for a number of registered investment advisers in the scope of her responsibilities with CCS. Prior to her affiliation with CCS, from December 2012 to August 2015, Ms. Gillespie was employed by the Private Client Group at Boenning & Scattergood (“Boenning”), an independent securities, asset management and investment banking firm, serving as the chief compliance officer. In addition to her role at Boenning, Ms. Gillespie served as the CCO of 1914 Advisors, Boenning’s retail asset management division from August 2007 until August 2015. Prior to Boenning, Ms. Gillespie served as an associate vice president of compliance at Lockwood Advisors, a registered investment advisor from August 2005 to July 2007. Ms. Gillespie holds a bachelor’s degree in political science from Adelphi University and an MBA from Pennsylvania State University. She holds Series 7, 63, 65, 24, 53 and 79 licenses.

Principals of the New Managing Owner

The current officers and directors of the Managing Owner are as follows:

Patrick J. Kaneis the Chairman of the New Managing Owner since January 2012. Previously, Mr. Kane was the head ofalternative investments at Oppenheimer Asset Management until June 2011, overseeing approximately $3 billion in hedge funds and private equity investments. Mr. Kane joined Oppenheimer in 2001 as a senior member of its management committee,the fund of hedge funds team. Mr. Kane has worked in the alternative investments industry since 1989. Prior to joining Oppenheimer in 2001, Mr. Kane worked for Dunbar Capital Management, a boutique fund of funds manager. Mr. Kane previously worked for Brandywine Asset Management, an alternative investment firm in Thornton, PA. At Brandywine, he was the Director of Trading, responsible for all trading on the managed futures and serves asstatistical arbitrage market-neutral equity hedge funds. Before that, he worked for Tricon Investments, an energy focused hedge fund, based in Somerset, NJ. Mr. Kane is also a member of the Executive Committee andinvestment subcommittee that serves the University of Scranton endowment. Mr. Kane holds a Bachelor of Science in Accounting from the University of Scranton.

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Patrick F. Hart III, is the Chief InvestmentExecutive Officer of Equinox Frontier Funds.the New Managing Owner since January 2012. Mr. Bornhoft is also President and Chief Investment Officer of The Bornhoft Group Corporation, an investment management firm providing alternative investments (i.e., investments other than long-only investments in publicly-traded stocks, bonds and cash-equivalent securities) to institutions and high net worth investors. Mr. BornhoftHart has extensive experience in advising both private and institutional clientelebeen involved in the alternative investment industry. Asindustry for over thirty years, having specialized in the design, implementation and management of structured hedge fund and managed futures products for private and institutional clients worldwide. Mr. Hart is also the Chief Executive Officer and President of Three Palms, LLC (est. June 2003). Further, he is founder, Chief Executive Officer and CIOManaging Partner of The BornhoftHart Financial Group, Mr. BornhoftLLC, a registered commodity pool operator, where he has been responsible for the planningregistered as an associated person and execution of The Bornhoft Group’s business strategy. This responsibility has included such taskslisted as the designa principal since August 1998. Lastly, Mr. Hart founded Pyxis GFS in October 2008. Pyxis provides comprehensive administration, accounting and implementation of the asset allocation, valuation and risk management systems, and the management of client assets intoreporting services to alternative investment productsmanagers and services. His company has designed and operated multiple-CTA managed futures portfolios for approximately 20 pension plans, corporations and banking institutions throughout the world.funds.

Previous affiliations of Mr. Bornhoft has served on numerous arbitration boards and various committees of certain regulatory and industry organizations and is a frequent speaker at international conferences and symposiums on alternative investments. He has written numerous articles in leading financial publications and is a contributing author to The Handbook of Managed Futures—Performance, Evaluation and Analysis (McGraw-Hill, 1997) and Searching for Alpha—The Quest for Exceptional Investment Performance (Wiley, 2000). He currently holds SEC/FINRA Series 63 registration, in addition to a CFTC/NFA Series 3 registration.

During the last five years, Mr. Bornhoft has beenHart include Northfield Trading, LP where he was listed as a principal and registered as an associated person of the Managing Owner (since August 2003), and has beenTrading Advisor from March 2007 to December 2014. From June 2009 through October 2013 Mr. Hart was listed as a principal, and from July 2009 through October 2013 he was registered as an associated person, with the trading advisory firm Strategic Capital Management, LLC. At the same firm’s affiliated commodity pool operator, Strategic Fund Management, he was listed as a principal from July 2009 through May 2013 and registered as an associated person of The Bornhoft Group (since September 1985 and November 1985, respectively).from August 2009 through May 2013. Mr. Bornhoft has beenHart was also listed as a swapsprincipal of the commodity Trading Advisor, Seven Trust Global Advisors, LLC, from January 2007 to March 2011 and registered as an associated person from April 2007 through March 2011. At the same firm’s affiliated commodity pool operator, CTP Fund Management, LLC, he was listed as a principal from January 2008 to June 2011 and registered as an associated person from April 2008 through June 2011.

Mr. Hart served nine years on the Introducing Broker Advisory Committee of the National Futures Association, or NFA. Additionally, he has served periodically on the NFA Arbitration and Nominating Committees since 1988. Mr. Hart has been a frequent guest speaker at international conferences and symposiums on the topic of alternative investment strategies. Moreover, Mr. Hart has contributed to numerous articles in leading investment publications and is a contributing author to the “Handbook of Managed Futures—Performance, Evaluation and Analysis” (McGraw-Hill 1997). Mr. Hart received a B.S. in Economics from Colorado State University in 1983. He holds FINRA Series 7, 63, and the CFTC/NFA Series 3 registrations. Mr. Hart also is a registered representative of ALPS Distributors, Inc.

Michael B. Egan II,is the Secretary of the New Managing Owner since January 2012. Mr. Egan brings more than 25 years of alternative investment experience with a focus on commodity Trading Advisor research and multi-advisor portfolio construction. As a member of Frontier Fund Management LLC’s portfolio management team, Mr. Egan is involved in day-to-day portfolio and risk management for all of Frontier Fund Management LLC’s funds’ offerings as well as the development and structuring of new products. In addition, Mr. Egan has also served as Research Director of Three Palms, LLC since its founding in June 2003. He also serves as President of Hart Financial Group, LLC, a registered Commodity Pool Operator, where he has been registered as a principal since April 2015 and associated person since May 2006. Mr. Egan was also registered as an associated person of the Managing Owner since March 27, 2013. Mr. Bornhoft was a principal of SectorQuant Capital Management,Commodity Trading Advisor Seven Trust Global Advisors, LLC an investment adviser registered under the Investment Advisers Act, from July 2002 until2008 through March 2011. From January 1991 through April 2009, where heMr. Egan was the Director of Research for Hart Asset Management Group, Inc. (formerly Hart-Bornhoft Group, Inc.), a registered Commodity Pool Operator and The Bornhoft Group were responsible for providing infrastructureCommodity Trading Advisor and business advice.

Vance Jeffrey Sanders, 48 is the Chief Financial Officer of the Managing Owner. He has assumed the duties of Chief Accounting Officer of the Managing Owner in his role as of June 1, 2013. From July 2007 to present, Mr. Sanders has also served as the Chief Technology Officer of the Managing Owner, directing external reporting and technology functions. From July 2007 to December 2012, he served as the Managing Owner’s Corporate Controller, establishing corporate internal control structures over both finance and technology. Mr. Sanders received his BS in Accounting in 1993 from Missouri Southern State University and earned and has been a licensed Certified Public Accountant in the State of Colorado since October 2008.

Juanita D. Hanley, 39 is the Chief Compliance Officer of the managing owner. Ms. Hanley joined the managing owner in January 2014 and has beenwas listed as a principal from December 1998 through April 2009. Mr. Egan received a Bachelor of Science Degree in Finance from Colorado State University in 1990 and he is licensed with the NFA and CFTC and holds a Series 3 certification.

Garrett W. Phillips,is the Chief Operations Officer and Treasurer of the New Managing Owner since October 2016. He has also worked as the Chief Executive Officer for the managing ownerinvestment fund servicing business, Pyxis Global Financial Services, since January 2014. Ms. Hanley is responsibleits founding in 2010. At Pyxis he manages a team that provides administrative and accounting services for all complianceclients that are investment advisors, mutual funds and regulatory oversighthedge funds. Prior to Frontier Fund Management LLC and PyxisGFS, Mr. Phillips was an Operations Manager for the investment management group of Legent Bank & Trust (formerly known as Legent Clearing Corp.), a correspondent broker/dealer providing clearing and settlement services to small and medium-size independent broker/dealers. Mr. Phillips studied accounting and economics at the managing owner. Her duties include implementingUniversity of Colorado, holds Series 7 and revising24 securities licenses and has worked in the necessary systems, policies,accounting field since 1996. His most recent experience is in alternative investments, investment fund operations and proceduresfund administration.

Effective December 2015, Equinox has engaged Cipperman Compliance Services, LLC to provide outsourced compliance services for compliance with all applicable securities laws and regulations. Due to the affiliation between the managing owner and Equinox Institutional Asset Management, LP, an investment firm,Equinox Group Distributors, LLC, Equinox Fund Management, LLC, and Solon Capital LLC, an investment firm, Ms. Hanley assists Equinox Institutional Asset Management, LP and Solon Capital, LLC with all required filings due to the NFA and has been listed as a principalFinancial Services.

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Executive Committee of the Managing Owner

The Executive Committee is responsible for the general oversight of the Managing Owner’s business and Equinox Frontier Funds and functions like the board of directors of a corporation. The members of the Executive Committee are Richard E. Bornhoft, David DeMuthP. Demuth and Robert J. Enck.

Robert J. Enck—Mr. Enck’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

Richard E. Bornhoft—Mr. Bornhoft’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

David P. DeMuth, 6970is a member of the Executive Committee of the Managing Owner. In May 2006, he co-founded CFO Consulting Partners LLC, an entity which provides interim CFO services to public and private companies. Prior to co-founding CFO Consulting Partners LLC, he was an independent consultant providing accounting and risk management services from March 2002 to April 2006, Interim Co-Chief Financial Officer and Treasurer at Kodak Polychrome Graphics (a $2 billion global manufacturer of graphic arts materials) from September 1999 to March 2002, CFO of Troy Corporation (a $150 million global specialty chemical manufacturer) from June 1996 to September 1999, Division Vice President of Continental Grain Company (a multi-billion provider of commodities and financial services) from August 1990 to June 1996, Treasurer of National Starch and Chemical Company (a $3 billion global specialty chemical manufacturer) from March 1986 to August 1990, and Director of Tax Services at PepsiCo Inc. (a multi-billion global consumer products (beverage and food) company) from May 1980 to March 1986. His industry experience includes technology, real estate development, financial services, specialty chemicals, global manufacturing/distribution, graphic arts and consumer products. His global focus is Risk Management, Internal Controls, Structured Capital Market Transactions and Regulatory Compliance. He has developed complex global strategies to manage financial reporting, financial and operations risks and compliance with regulatory authorities (SEC, tax, etc.). He was an accountant with KPMG, an accounting firm, from September 1974 to May 1980. Mr. DeMuth holds a BS in Accounting from Loyola University, and an MBA in Finance from LaSalle University. He is a Certified Public Accountant (CPA).

The sole member of the Managing Owner with a larger than 10% ownership interest is Plimpton Capital, LLC which has been listed as a principal of the Managing Owner since August 2003. The Bornhoft Group Corporation was listed as a principal of the Managing Owner from August 2003 until June 2012.

There is not currently any material administrative, civil, or criminal action-whether pending, on appeal or concluded-against the Trust, its principals or the Managing Owner.

Executive Committee of the New Managing Owner

Patrick Kane—Mr. Kane’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

Patrick Hart—Mr. Hart’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

Garrett Phillips—Mr. Phillips’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

Michael Egan—Mr. Egan’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”

Section 16(a) Beneficial Ownership Reporting Compliance

Section 16 of the Exchange Act requires an issuer’s directors and certain executive officers and certain other beneficial owners of the issuer’s equity securities to periodically file notices of changes in their beneficial ownership with the SEC. The Trust does not have any directors or officers. However, the officers of the Managing Owner, as well as the Managing Owner itself, file such notices regarding their beneficial ownership in the Trust, if any.

Audit Committee Financial Expert

The Trust does not have a board of directors but instead is operated and managed by the Managing Owner. The Executive Committee of the Managing Owner has created an audit committee of the Trust consisting of all of the Executive Committee’s members. The Executive Committee of the Managing Owner, in its capacity as the audit committee for the Trust, has determined that Robert J. Enck, the Chief Executive Officer of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. Enck is not independent of management.

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Code of Ethics

The Trust has not adopted a code of ethics because it does not have any officers or employees. The Managing Owner has adopted a code of ethics for employees and principals of the Managing Owner.

In general, the Managing Owner, its principals, and all other persons associated with the Managing Owner shall observe high standards of commercial honor and just and equitable principles of trade in the conduct of their commodity futures business. All employees including anyone not on the regular payroll but filling in on a temporary basis shall be held to the highest standards of honesty and integrity. This conduct will be valid for all duties involved with the daily management and responsibilities as Managing Owner of the Trust.

Employees will conduct their daily duties in a responsible manner to ensure that all customers are treated fairly and equally. The reputation of the Managing Owner is crucial to its business, and understanding that the Managing Owner will make every effort to ensure the reputation of the Managing Owner is not tarnished in any way. Employees are urged to seek the advice of their supervisor for any questions applicable to this code relative to their individual circumstances.

 

Item 11.EXECUTIVE COMPENSATION.

The Trust has no directors or officers. Its affairs are managed solely by the Managing Owner, which receives compensation for its services from the Trust, as follows:

Management Fees

Each Series of Units pays to the Managing Owner a monthly management fee equal to a certain percentage of the assets in Trading Companies attributable to such Series’ (including nominal assets of such Series,assets), calculated on a daily basis. The total amount of assets ofIn addition, the Managing Owner receives a series allocatedmonthly management equal 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 “nominal assets”certain percentage of the series. Theassets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. For both assets in Trading Companies and in Galaxy Plus entities, the annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund Class 1, Class 2 and Class 3, 1.0%Fund; 0.75% for the Equinox Frontier Balanced Fund Class 1a and Class 2a,Diversified Fund; 2.0% for the Equinox Frontier WintonMasters Fund Equinox Frontier Long/Short Commodity Fund Class 1a and Class 2a and Equinox Frontier Masters Fund, 0.75% for Equinox Frontier Diversified Fund,Winton Fund; 2.5% for the Equinox Frontier Heritage Fund and Equinox Frontier Select Fund,Fund; and 3.5% for the Equinox Frontier Long/Short Commodity Fund Class 1 and Class 2.Fund. 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 Form 10-K, the trading advisor for a series that has invested in a swap has not received 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.each Series.

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

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. Because the Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox 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 these 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 Equinox Frontier Diversified Fund and Equinox Frontier Balanced Fund and 20% for the Equinox Frontier Masters Fund, Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund and Equinox Frontier Long/Short Commodity Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Interest Income

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 is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only)2), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity

Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1a1AP, Class 2a and Class 2a3a only), 20% of the total interest allocated to each Series iswas paid to the Managing Owner.Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series.

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Other Fees

The Equinox Frontier Long/Short Commodity Fund (Classes

From January 1, 2 and 3),2016 through October 23, 2016, the Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund (collectively, the “Closed Series”) paid to the Managing Owner a trading fee, or FCM Fee, of up to 0.75% per annum of such Series’ NAV, calculated daily; thereafter each of the Closed Series pays to the Managing Owner a monthly trading fee, or FCM Fee of up to 1/12th2.25% per annum of 0.75%nominal assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of such Series’ NAV, calculated daily. Thethe applicable Series. From January 1, 2016 through April 28, 2016, the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Classes 1a and 2a) and Equinox Frontier Masters Fund (collectively, the “Open Series”) paid to the Managing Owner a FCM Fee of up to 2.25% per annum and a custodial/due diligence fee of 0.12% per annum of such Series’ NAV, calculated daily; thereafter each of such Open Series pays to the Managing Owner a monthly trading fee, or FCM Fee of up to 1/12th2.25% per annum of 2.25%nominal 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 1/12th of 0.12% per annum of such Series’ NAV, calculated daily. Also, a monthly service fee equalfees of up to 3.0% and 2.0% of the NAV, calculated daily, isare paid to the Managing Owner.Owner for the Closed Series and the Open Series, respectively. The Managing Owner pays the service feefees to Selling Agents to assist in the making of offers and sales of Units and provide customary ongoing services including advising Limited Owners. To the extent that an affiliate of the Managing Owner provides such services, it may receive service fees in proportion to the valuation of its clients’ accounts.

 

Item 12.SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS.

The Trust has no officers or directors. Its affairs are managed solely by the Managing Owner. Set forth in the table below is information regarding the beneficial ownership of Units of the principals of the Managing Owner as of December 31, 2014:2016:

Equinox Fund Management, LLC*:

 

   Percentage Ownership

Series/Class of Units

  Units Owned   Percentage Ownership
of Each Class
    Units Owned   of Each Class
    

Equinox Frontier Diversified Fund– Class 2

   14,576     7.15 3,462 1.20%
Equinox Frontier Diversified Fund– Class 3 275 0.26%

Equinox Frontier Long/Short Commodity Fund – Class 2

   3,083     34.21 2,316 37.12%

Equinox Frontier Long/Short Commodity Fund – Class 2a

   2,222     14.53 2,222 24.38%

Equinox Frontier Long/Short Commodity Fund – Class 3a

   109     1.86 109 1.00%

Equinox Frontier Masters Fund – Class 2

   5,627     8.15 2,615 5.95%

Equinox Frontier Masters Fund – Class 3

   275     0.66 275 0.54%

Equinox Frontier Balanced Fund – Class 2

   7,956     6.05 2,720 2.37%

Equinox Frontier Balanced Fund – Class 2a

   1,237     31.54 1,237 40.50%

Equinox Frontier Select Fund – Class 2

   70     0.58 70 0.67%

Equinox Frontier Winton Fund – Class 2

   207     0.36 207 0.38%

Equinox Frontier Heritage Fund – Class 2

   428     2.36 428 2.68%

  

*The Managing Owner is required to maintain at least a 1% interest in the aggregate capital of the Trust as well as in certain series.series, profits and losses of the Trust. The Managing Owner’s interest of $5,672,261$2,276,211 in the aggregate capital of the Trust of $270,206,309$219,211,435 at December 31, 20142016 is 2.10%1.04%. There are no individual Limited Partners that own more than 5% of any class of the Trust.

 

Item 13.CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.

The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates. However, there have been no direct financial transactions between the Trust and the directors or officers of the Managing Owner. See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management.”

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Item 14.PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The following table sets forth the fees billed to Equinox Fund Management, LLC, the Managing Owner of the Trust, for professional services provided by McGladreyRSM US LLP, the Trust’s independent registered public accounting firm, for the years ended December 31, 20142016 and 2013.2015. In accordance with the prospectus of the Trust, the Managing Owner has agreed to pay all costs of the Trust, and the Trust therefore bears no direct obligation to its independent registered public accounting firm.

FEE CATEGORY

  2014   2013 

Audit Fees(1)

  $280,500    $295,500  

Audit-Related Fees(2)

  $0    $0  

Tax Fees(3)

  $0    $0  

All Other Fees(4)

  $0    $0  

TOTAL FEES

  $280,500    $295,500  

 

FEE CATEGORY 2016  2015 
Audit Fees(1) $299,500  $292,500 
Audit-Related Fees(2) $0  $0 
Tax Fees(3) $0  $0 
All Other Fees(4) $0  $0 
TOTAL FEES $299,500  $292,500 

(1)Audit Fees consist of fees for professional services rendered for the audit of the Trust’s financial statements and review of financial statements included in the Trust’s quarterly reports, as well as services normally provided by the independent accountant in connection with statutory and regulatory filings or engagements.
(2)Audit-Related Fees consist of fees for assurance and related services by McGladreyRSM US LLP that are reasonably related to the performance of the audit or review of the Trust’s financial statements and are not reported under “Audit Fees,” above.
(3)Tax Fees consist of fees for professional services rendered for tax compliance, tax advice and tax planning.
(4)All Other Fees consist of any fees not otherwise reported in this table

The Managing Owner approved all the services provided by McGladreyRSM US LLP to the Trust described above. The Managing Owner has determined that the payments made to McGladreyRSM US LLP for these services during 20142016 and 20132015 are compatible with maintaining that firm’s independence. The Managing Owner pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms.

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Part IV

 

Item 15.EXHIBITS AND FINANCIAL STATEMENT SCHEDULES.

 

(a)(1) and (2)The response to these portions of Item 15 is submitted as a separate section of this report commencing on page F-1.
(a)(3)Exhibits (numbered in accordance with Item 601 of Regulation S-K).
1.1Form of Selling Agent Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.2Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents**
1.3Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.4Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents***
1.5Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
1.6Form of Amendment Agreement among the Registrant, Equinox Fund Management, LLC and the Selling Agents****
4.1Restated Declaration of Trust and Second Amended and Restated Trust and Trust Agreement of the Registrant +++
4.11First Amendment to Second Amended and Restated Trust and Trust Agreement of the Registrant++++
 4.2 
4.2Form of Subscription Agreement (annexed to the Prospectus as Exhibit B)****
4.3Form of Exchange Request (annexed to the Prospectus as Exhibit C)****
4.4Form of Request for Redemption (annexed to the Prospectus as Exhibit D)****
4.5Form of Request for Additional Subscription (annexed to the Prospectus as Exhibit E)****
4.6Form of Application for Transfer of Ownership / Re-registration Form (annexed to the Prospectus as Exhibit F)****
4.7Form of Privacy Notice (annexed to the Prospectus as Exhibit G)****
10.1 Form of Amended and Restated Escrow Agreement among the Registrant, Equinox Fund Management, LLC, Bornhoft Group Securities Corporation and the U.S. Bank National Association, Denver Colorado***
10.2Form of Brokerage Agreement between each Trading Company and UBS Securities, LLC*
10.21Form of Brokerage Agreement between each Trading Company and Banc of America Futures Incorporated*
10.22Form of Brokerage Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London**
10.23Form of Brokerage Agreement between each Trading Company and Man Financial Inc. ***
10.24Form of Amendment Agreement between the Managing Owner, acting as agent on behalf of certain Trading Companies, and Deutsche Bank AG London***
10.25Form of Brokerage Agreement between each Trading Company and Fimat USA, LLC****
10.3Form of Advisory Agreement among the Registrant, the Trading Company, Equinox Fund Management, LLC, and each Trading Advisor****
10.32Form of License Agreement among Jefferies Financial Products, LLC, Reuters America LLC, the Registrant and Equinox Fund Management, LLC***
10.33Form of License Agreement among Jefferies Financial Products, the Registrant and Equinox Fund Management, LLC***
10.34Form of Guaranty made by Jefferies Group, Inc. in favor of Frontier Trading Company VIII, LLC***
10.35Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Currency Series of the Registrant***
10.37Form of International Swaps and Derivatives Association Master Agreement, including all Schedules thereto and the Credit Support Annex thereto entered into for the Equinox Frontier Balanced Fund of the Registrant+

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10.4Form of Cash Management Agreement between Equinox Fund Management, LLC and Merrill Lynch**
10.41Form of Cash Management Agreement between Equinox Fund Management, LLC and STW Fixed Income Management Ltd.***
 10.5 
10.5

Form of single-member limited liability company operating agreement governing each Trading Company***

 21.1 
10.6

Form of Platform Agreement among Galaxy Plus Fund LLC, Gemini Alternative Funds, LLC and the Trust#

10.7

Form of Fund Services Agreement between the Trust and Gemini Fund Services, LLC##

10.8Form of Administrative Services Agreement between Gemini Hedge Fund Services, LLC and the Managing Owner###
21.1 Subsidiaries of Registrant. (filed(filed herewith)
 23.1 
23.1 Consent of Independent Registered Public Accounting Firm
 (filed herewith)
 31.1 
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(filed herewith)
 31.2 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)
32.1 
  32.1Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.2 
32.2 Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.3 
32.3 Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.4 
32.4 Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.5 
32.5 Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.6 
32.6 Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.7 
32.7Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 32.8 
32.8Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. (furnished(furnished herewith)
 99.1 
99.1Prospectus of Equinox Frontier Funds ++

101.INS^XBRL Instance Document

101.SCH^XBRL Taxonomy Extension Schema

101.CAL^XBRL Taxonomy Extension Calculation Linkbase

101.DEF^XBRL Taxonomy Extension Definition Linkbase

101.LAB^XBRL Taxonomy Extension Label Linkbase

101.PRE^XBRL Taxonomy Extension Presentation Linkbase

93

*Previously filed as like-numbered exhibit to the initial filing or the first, second, third or fourth pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-108397 and incorporated by reference herein.

**Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first or second post-effective amendment to Registration Statement No. 333-119596 and incorporated by reference herein.
***Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first post-effective amendment to Registration Statement No. 333-129701 and incorporated by reference herein.
****Previously filed as like-numbered exhibit to the initial filing or the first pre-effective amendment or the first post-effective amendment to Registration Statement No. 333-140240 and incorporated by reference herein.
+Previously filed as like-numbered exhibit on Form 10-Q for the period ended June 30, 2008.
++Previously filed on May 7, 20142, 2016 pursuant to Rule 424(b)(3) of the Securities Act (File No. 333-185695)333-210313).
+++Previously filed as Exhibit 3.2 on Form 8-K, filed on December 11, 2013.
++++Previously filed as Exhibit 4.1 on Form 8-K, filed on March 10, 2017.
#Previously filed as Exhibit 10.1 on Form 8-K, filed on October 19, 2016.
##Previously filed as Exhibit 10.2 on Form 8-K, filed on October 19, 2016.
###Previously filed as Exhibit 10.3 on Form 8-K, filed on October 19, 2016.
^Submitted electronically herewith.

^ Submitted electronically herewith.94

INDEX TO THE SERIES FINANCIAL STATEMENTS

 

Report of Independent Registered Public Accounting Firm

F-3
 F-2 

Statements of Financial Condition as of December 31, 20142016 and 20132015

F-4
 F-3 

Condensed Schedules of Investments as of December 31, 20142016

F-7
 F-6 

Condensed Schedules of Investments as of December 31, 20132015

F-10
 F-12 

Statements of Operations for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-13

 F-17 

Statements of Changes in Owners’ Capital for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-16
 F-20 

Statements of Cash Flows for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-20
 F-29 

Notes to Financial Statements

F-33F-23

INDEX TO THE TRUST FINANCIAL STATEMENTS (1)

INDEX TO THE TRUST FINANCIAL STATEMENTS (1)

Report of Independent Registered Public Accounting Firm

F-55
 F-65 

Consolidated Statements of Financial Condition as of December 31, 20142016 and 20132015

F-56
 F-66 

Consolidated Condensed Schedules of Investments as of December 31, 20142016

F-57
 F-67 

Consolidated Condensed Schedules of Investments as of December 31, 20132015

F-58
 F-69 

Consolidated Statements of Operations for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-59

 F-71 

Consolidated Statements of Changes in Owners’ Capital for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-60
 F-72 

Consolidated Statements of Cash Flows for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-61
 F-73 

Notes to Consolidated Financial Statements

F-62

INDEX TO TRADING COMPANY FINANCIAL STATEMENTS (2)

 F-74 
INDEX TO TRADING COMPANY FINANCIAL STATEMENTS (2)

Report of Independent Registered Public Accounting Firm

F-80
 F-91 

Statements of Financial Condition as of December 31, 20142016 and 20132015

F-81
 F-92 

Condensed Schedules of Investments as of December 31, 20142016

F-82
 F-95 

Condensed Schedules of Investments as of December 31, 20132015

F-83
 F-103 

Statements of Operations for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-85

 F-110 

Statements of Changes in Members’ Equity for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-86
 F-112 

Statements of Cash Flows for the years ended December 31, 2014, 20132016, 2015 and 20122014

F-87
 F-114 

Notes to Financial Statements

F-88

F-1

INDEX TO GALAXY PLUS FUND 2016 FINANCIAL STATEMENTS

Financial Report for Galaxy Plus Fund LLCF-105
  
F-120Financial Report for Galaxy Plus Fund – Aspect Master Fund (532) LLCF-127
 
Financial Report for Galaxy Plus Fund – Chesapeake Master Fund (518) LLCF-145
Financial Report for Galaxy Plus Fund – Doherty Master Fund (528) LLCF-163
Financial Report for Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLCF-181
Financial Report for Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC

F-200

Financial Report for Galaxy Plus Fund – LRR Master Fund (522) LLC

F-218

Financial Report for Galaxy Plus Fund – QIM Master Fund (526) LLC

F-237

Financial Report for Galaxy Plus Fund – Quantmetrics Master Fund (527) LLCF-255
Financial Report for Galaxy Plus Fund – Quest Master Fund (517) LLCF-270
Financial Report for Galaxy Plus Fund – Quest FIT Fund (535) LLCF-288

 

(1)These financial statements represent the consolidated financial statements of the Series of the Trust.
(2)The Trust holds a majority of the equity interests in the various Trading Companies, which are the trading vehicles established for the various Series of Units of the Trust. In the financial statements of the Trust, Trading Companies in which a Series has a majority equity interest are consolidated by such Series, and investments in Trading Companies in which a Series does not have a controlling or majority interest are accounted for under the equity method of accounting, which approximates fair value and are carried in the statement of financial condition of such Series at fair value. In addition, financial statements of each of the unconsolidated Trading Companies are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Although not required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of each consolidated Trading Company of the Trust are also included in the interest of providing a more complete presentation.
(3)Financial statements of each of the Galaxy Plus entities are included in accordance with Rule 3-09 of Regulation S-X under the Securities Act of 1933, as amended. Although not required pursuant to Rule 3-09 of Regulation S-X under the Securities Act of 1933, financial statements of the Galaxy Plus entities are also included in the interest of providing a more complete presentation.

F-2

Report of Independent Registered Public Accounting Firm

To the Executive Committee and Unitholders

Equinox Frontier Funds

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund, and Equinox Frontier Heritage Fund of Equinox Frontier Funds (collectively, the Series) as of December 31, 20142016 and 2013,2015, and the related statements of operations, changes in owners’ capital, and cash flows for each of the three years in the period ended December 31, 2014.2016. These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the auditaudits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Series are not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Series’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund, and Equinox Frontier Heritage Fund of Equinox Frontier Funds as of December 31, 20142016 and 2013,2015, and the results of their operations and their cash flows for each of the three years in the period then ended, December 31, 2014, in conformity with U.S. generally accepted accounting principles.

As discussed in Note 11 to the financial statements, on March 6, 2017 a unit purchase agreement between Frontier Fund Management LLC (New Managing Owner) and Equinox Fund Management (Equinox) was consummated whereby Equinox’s general units were transferred to the New Managing Owner. Upon consummation, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox.

/s/ McGladreyRSM US LLP

Denver, Colorado

March 31, 20152017

F-3

The SeriesTable of Equinox Frontier FundsContents

Statements of Financial Condition

December 31, 2014 and 2013

The Series of Equinox Frontier Funds
Statements of Financial Condition
December 31, 2016 and December 31, 2015

 

 Equinox Frontier Equinox Frontier Equinox Frontier  Equinox Frontier Equinox Frontier Equinox Frontier 
 Diversified Fund Masters Fund Long/Short Commodity Fund  Diversified Fund  Masters Fund  Long/Short Commodity Fund 
 12/31/2014 12/31/2013 12/31/2014 12/31/2013 12/31/2014 12/31/2013  12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 
                        

ASSETS

                              
                        

Cash and cash equivalents

 $4,210,638   $1,827,897   $2,199,066   $1,125,954   $1,110,779   $810,418   $674,227  $3,283,973  $546,509  $1,421,994  $  $570,169 

U.S. Treasury securities, at fair value

  31,051,659    38,055,417    16,217,173    23,441,497    8,191,519    16,872,290    6,525,280   27,604,916   4,313,843   11,953,206      4,792,817 

Open trade equity, at fair value

  3,215,206    —      —      —      —      —    

Options purchased, at fair value

  288,413    —      —      —      —      98,740  

Receivable from futures commission merchants

  22,731,129    —      —      —      —      7,836,808  

Swap contracts, at fair value

  6,570,408    3,437,632    —      —      3,633,060    2,456,546    8,637,847   8,685,849         4,220,468   4,332,428 
Investments in private investment companies, at fair value  38,845,974      5,653,708      6,715,142    

Investments in unconsolidated trading companies, at fair value

  6,594,379    20,837,272    7,901,978    9,166,710    3,814,854    655,769    4,201,628   16,094,207   6,678,106   9,409,930      3,414,663 

Prepaid service fees—Class 1

  9,534    4,946    6,003    11,165    505    3,707  
Prepaid service fees - Class 1     16,160      7,355      736 

Interest receivable

  477,250    521,275    249,250    321,097    125,900    231,114    121,792   479,142   80,516   207,473      83,190 

Receivable from related parties

  —      1,035    3,050    2,060    2,612    2,954    231,671      153,157   1,670   87,670   1,606 

Other assets

  249,997    —      —      —      —      —                      
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Assets

 $75,398,613   $64,685,474   $26,576,520   $34,068,483   $16,879,229   $28,968,346   $59,238,419  $56,164,247  $17,425,839  $23,001,628  $11,023,280  $13,195,609 
 

 

  

 

  

 

  

 

  

 

  

 

                         
LIABILITIES & CAPITAL                        
                        

LIABILITIES & CAPITAL

      

LIABILITIES

                              

Open trade deficit, at fair value

 $—     $—     $—     $—     $—     $191,069  

Options written, at fair value

  253,018    —      —      —      —      172,650  

Pending owner additions

  1,527    2,292    2,056    1,352    —      —     $  $1,524  $  $1,290  $  $ 

Owner redemptions payable

  57,953    348,441    —      71,188    19,578    107,888    61,482   9,030   131,841   9,558   5,738   796 

Incentive fees payable to Managing Owner

  2,387,825    575,550    722,043    —      158,660    —         204,914      42,251      28,408 

Management fees payable to Managing Owner

  86,486    101,504    64,497    107,027    45,361    104,883    23,496   81,940   50,174   54,674      48,210 

Interest payable to Managing Owner

  16,168    16,220    6,898    9,587    3,713    7,965       11,661      4,957      1,368 

Service fees payable to Managing Owner

  34,905    46,263    17,260    35,858    10,562    14,965    15,193   17,020   9,037   12,098   3,542   6,841 

Trading fees payable to Managing Owner

  132,984    136,166    55,912    72,687    24,436    34,788    147,183   121,065   57,890   48,501   23,478   17,129 

Payables to related parties

  2,371    —      —      —      —      —         2,126         1,603,124    
Advance on unrealized Swap Appreciation  2,500,000            115,000    

Other liabilities

  —      —      —      —      —      —      19,674   1   7,590      6,871   6 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Liabilities

  2,973,237    1,226,436    868,666    297,699    262,310    634,208    2,767,028   449,281   256,532   173,329   1,757,753   102,758 
 

 

  

 

  

 

  

 

  

 

  

 

                         

CAPITAL

                              

Managing Owner Units—Class 1

  —      23,953    —      —      —      —    

Managing Owner Units—Class 2

  2,516,879    1,904,660    723,207    559,668    426,377    386,171  

Managing Owner Units—Class 2a

  —      —      —      —      247,434    222,971  

Managing Owner Units—Class 3

  31,632    —      32,741    25,274    —      —    

Managing Owner Units—Class 3a

  —      —      —      —      12,228    10,991  

Limited Owner Units—Class 1

  19,195,036    28,720,094    11,850,911    23,115,495    —      —    

Limited Owner Units—Class 1a

  —      —      —      —      5,776,906    8,752,826  

Limited Owner Units—Class 2

  32,707,413    32,810,331    8,145,536    9,846,494    820,104    2,985,627  

Limited Owner Units—Class 2a

  —      —      —      —      1,455,117    2,880,434  

Limited Owner Units—Class 3

  5,556,649    —      4,955,459    223,853    7,233,099    9,619,596  

Limited Owner Units—Class 3a

  —      —      —      —      645,654    246,480  
Managing Owner - Class 2  460,196   2,616,258   336,691   712,391   299,889   407,255 
Managing Owner - Class 2a              234,742   235,971 
Managing Owner - Class 3  33,899   32,964   32,970   32,332       
Managing Owner - Class 3a              11,715   11,690 
Limited Owner - Class 1  5,189,420   11,814,234   5,361,626   8,323,800       
Limited Owner - Class 1a              1,913,595   4,053,754 
Limited Owner - Class 2  37,771,385   32,016,842   5,320,871   7,180,967   508,474   586,345 
Limited Owner - Class 2a              728,453   1,051,694 
Limited Owner - Class 3  13,016,491   9,234,668   6,117,149   6,578,809   4,405,863   5,906,669 
Limited Owner - Class 3a              1,162,796   839,473 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Owners’ Capital

  60,007,609    63,459,038    25,707,854    33,770,784    16,616,919    25,105,096    56,471,391   55,714,966   17,169,307   22,828,299   9,265,527   13,092,851 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Non-Controlling Interests

  12,417,767    —      —      —      —      3,229,042                    
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Capital

  72,425,376    63,459,038    25,707,854    33,770,784    16,616,919    28,334,138    56,471,391   55,714,966   17,169,307   22,828,299   9,265,527   13,092,851 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Liabilities and Capital

 $75,398,613   $64,685,474   $26,576,520   $34,068,483   $16,879,229   $28,968,346   $59,238,419  $56,164,247  $17,425,839  $23,001,628  $11,023,280  $13,195,609 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Units Outstanding

                              

Class 1

  169,725    330,005    101,632    251,718    N/A    N/A    44,569   102,269   47,531   73,747    N/A    N/A 

Class 1a

  N/A    N/A    N/A    N/A    57,130    94,391     N/A    N/A    N/A    N/A   20,628   42,778 

Class 2

  282,534    367,927    69,003    104,624    9,013    26,918    287,586   267,240   43,933   62,347   6,240   7,522 

Class 2a

  N/A    N/A    N/A    N/A    15,291    30,930     N/A    N/A    N/A    N/A   9,115   12,127 

Class 3

  48,583(1)   N/A(1)   41,897    2,711    52,285    76,774    105,869   77,316   51,297   56,230   33,685   44,702 

Class 3a

  N/A    N/A    N/A    N/A    5,886    2,563     N/A    N/A    N/A    N/A   10,925   7,965 
                        

Net Asset Value per Unit

                              

Class 1

 $113.09   $87.10   $116.61   $91.83    N/A    N/A   $116.43  $115.52  $112.80  $112.87    N/A    N/A 

Class 1a

  N/A    N/A    N/A    N/A   $101.12   $92.73     N/A    N/A    N/A    N/A  $92.78  $94.76 

Class 2

 $124.67   $94.35   $128.53   $99.46   $138.30   $125.26   $132.94  $129.60  $128.78  $126.60  $129.56  $132.10 

Class 2a

  N/A    N/A    N/A    N/A   $111.35   $100.34     N/A    N/A    N/A    N/A  $105.67  $106.19 

Class 3

 $115.03(1)   N/A(1)  $119.06   $91.91   $138.34   $125.30   $123.27  $119.87  $119.89  $117.57  $130.80  $132.14 

Class 3a

  N/A    N/A    N/A    N/A   $111.77   $100.47(2)    N/A    N/A    N/A    N/A  $107.50  $106.86 

 

(1)Class 3 operations began February 25, 2014.
(2)Class 3a operations began June 17, 2013.

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

F-4

The SeriesTable of Equinox Frontier FundsContents

Statements of Financial Condition

December 31, 2014 and 2013

The Series of Equinox Frontier Funds
Statements of Financial Condition
December 31, 2016 and December 31, 2015

 

  Equinox Frontier Balanced Fund   Equinox Frontier Select Fund  Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
        12/31/2014             12/31/2013               12/31/2014             12/31/2013        12/31/2016 12/31/2015 12/31/2016 12/31/2015 
ASSETS               
                

Cash and cash equivalents

  $5,644,510   $3,292,570    $878,280   $494,931   $1,083,579  $4,895,183  $432,021  $220,371 

U.S. Treasury securities, at fair value

   41,625,860    68,548,395     6,476,939    10,304,085    9,770,117   41,148,676   2,912,611   1,852,429 

Receivable from futures commission merchants

   22,689,948    23,466,052     —      —      6,647,098   7,517,903   8,208,218   13,281,151 

Open trade equity, at fair value

   3,297,549    3,935,252     —      —      237,661   11,530   686,022   462,339 

Options purchased, at fair value

   —      165,915     —      —    

Swap contracts, at fair value

   18,246,954    10,122,003     —      —      18,939,450   19,157,520       
Investments in private investment companies, at fair value  45,305,273          

Investments in unconsolidated trading companies, at fair value

   18,343,927    13,713,315     8,102,141    6,864,544    5,965,331   17,623,968   3,910,866   4,147,840 

Interest receivable

   639,769    939,354     99,547    141,143    182,355   714,434   54,363   32,153 

Prepaid service fees

   —      234     —      —    
Receivable from related parties  346,875      103,407    

Other assets

   250,013    53     —      —         12      3 
  

 

  

 

   

 

  

 

                 

Total Assets

  $110,738,530   $124,183,143    $15,556,907   $17,804,703   $88,477,739  $91,069,226  $16,307,508  $19,996,286 
  

 

  

 

   

 

  

 

                 
LIABILITIES & CAPITAL                      
                

LIABILITIES

                      

Open trade deficit, at fair value

  $—     $—      $—     $—    

Options written, at fair value

   —      183,856     —      —    

Pending owner additions

   18,002    14,677     1,485    994   $  $15,538  $  $1,335 

Owner redemptions payable

   22,793    931,553     15,432    68,598    780,970   440,090   134,579   16,670 

Incentive fees payable to Managing Owner

   1,793,318    691,917     185,791    —         106,563       

Management fees payable to Managing Owner

   101,208    113,085     27,835    49,798    25,217   80,574   21,219   22,884 

Interest payable to Managing Owner

   84,976    146,282     13,263    22,398    21,606   77,642   3,518   3,549 

Service fees payable to Managing Owner

   167,151    190,286     32,520    39,045    129,956   145,576   25,966   29,092 

Trading fees payable to Managing Owner

   66,037    73,125     10,119    11,545    203,324   57,450   18,129   8,515 
Risk analysis fees payable  1,155      2,303    

Payables to related parties

   14,934    12,135     984    477       24,069      1,495 
Advance on unrealized Swap Appreciation  4,926,555          

Other liabilities

   —      —       —��     —      89,585      11,939   156 
  

 

  

 

   

 

  

 

                 

Total Liabilities

   2,268,419    2,356,916     287,429    192,855    6,178,368   947,502   217,653   83,696 
  

 

  

 

   

 

  

 

                 

CAPITAL

                      

Managing Owner Units—Class 2

   1,425,355    1,374,533     9,052    7,336  

Managing Owner Units—Class 2a

   189,344    147,003     —      —    

Limited Owner Units—Class 1

   72,098,275    80,801,534     13,663,563    15,852,947  

Limited Owner Units—Class 1AP

   748,275    —       47,785    —    

Limited Owner Units—Class 2

   22,125,342    25,236,584     1,549,078    1,751,565  

Limited Owner Units—Class 2a

   410,943    344,576     —      —    

Limited Owner Units—Class 3a

   2,528,303    2,322,629     —      —    
Managing Owner - Class 2  530,387   1,429,544   9,397   8,814 
Managing Owner - Class 2a  209,112   191,645       
Limited Owner - Class 1  56,955,371   62,563,337   10,540,702   11,710,517 
Limited Owner - Class 1AP  677,181   714,747   29,897   47,365 
Limited Owner - Class 2  21,871,170   21,278,864   1,402,043   1,329,359 
Limited Owner - Class 2a  307,144   356,425       
Limited Owner - Class 3a  1,749,006   2,435,421       
  

 

  

 

   

 

  

 

                 

Total Owners’ Capital

   99,525,837    110,226,859     15,269,478    17,611,848    82,299,371  ��88,969,983   11,982,039   13,096,055 
  

 

  

 

   

 

  

 

                 

Non-Controlling Interests

   8,944,274    11,599,368     —      —         1,151,741   4,107,816   6,816,535 
  

 

  

 

   

 

  

 

                 

Total Capital

   108,470,111    121,826,227     15,269,478    17,611,848    82,299,371   90,121,724   16,089,855   19,912,590 
  

 

  

 

   

 

  

 

                 

Total Liabilities and Capital

  $110,738,530   $124,183,143    $15,556,907   $17,804,703   $88,477,739  $91,069,226  $16,307,508  $19,996,286 
  

 

  

 

   

 

  

 

                 

Units Outstanding

                      

Class 1

   548,117    760,206     142,913    198,518    422,529   488,680   112,059   129,612 

Class 1AP (1)

   5,618    N/A     494    N/A  
Class 1AP  4,671   5,351   296   503 

Class 2

   131,447    189,411     12,128    16,890    114,886   126,375   10,514   10,696 

Class 2a

   3,923    4,138     N/A    N/A    3,054   3,539    N/A    N/A 

Class 3a

   16,577    19,615     N/A    N/A    10,380   15,776    N/A    N/A 
                

Net Asset Value per Unit

                      

Class 1

  $131.54   $106.29    $95.61   $79.86   $134.80  $128.03  $94.06  $90.35 

Class 1AP (1)

  $133.20    N/A    $96.82    N/A  
Class 1AP $144.97  $133.59  $101.16  $94.28 

Class 2

  $179.16   $140.49    $128.48   $104.14   $194.99  $179.69  $134.25  $125.11 

Class 2a

  $153.02   $118.80     N/A    N/A   $169.05  $154.88    N/A    N/A 

Class 3a

  $152.52   $118.41     N/A    N/A   $168.49  $154.37    N/A    N/A 

 

(1)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally

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

F-5

The SeriesTable of Equinox Frontier FundsContents

Statements of Financial Condition

December 31, 2014 and 2013

The Series of Equinox Frontier Funds
Statements of Financial Condition
December 31, 2016 and December 31, 2015

 

  Equinox Frontier Winton Fund   Equinox Frontier Heritage Fund  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
        12/31/2014               12/31/2013               12/31/2014               12/31/2013        12/31/2016 12/31/2015 12/31/2016 12/31/2015 
ASSETS                        
                

Cash and cash equivalents

  $4,012,974    $1,325,731    $921,598    $424,001   $1,628,208  $2,928,616  $382,499  $655,319 

U.S. Treasury securities, at fair value

   29,593,974     27,600,705     6,796,392     8,827,380    15,533,863   24,617,817   3,701,890   5,508,577 
Receivable from futures commission merchants  17,996,697   12,744,570       
Open trade equity, at fair value  1,222,524   599,579       

Investments in unconsolidated trading companies, at fair value

   7,479,658     7,779,323     1,543,386     1,889,266    4,072,450   297,554   2,744,640   1,405,586 

Swap contracts, at fair value

   —       —       7,540,465     5,435,184          8,391,414   7,960,268 

Interest receivable

   454,845     378,069     104,457     120,916    289,933   427,511   69,095   95,612 
Receivable from related parties  551,508      131,430    

Other assets

   —       —       —       —         2      2 
  

 

   

 

   

 

   

 

                 

Total Assets

  $41,541,451    $37,083,828    $16,906,298    $16,696,747   $41,295,183  $41,615,649  $15,420,968  $15,625,364 
  

 

   

 

   

 

   

 

                 
LIABILITIES & CAPITAL                        
                

LIABILITIES

                        

Pending owner additions

  $15,503    $11,914    $3,381    $2,877   $  $13,524  $  $3,251 

Owner redemptions payable

   21,902     76,900     21,408     —      23,162   51,671      84,355 

Incentive fees payable to Managing Owner

   1,178,364     128,097     239,327     15,411  

Management fees payable to Managing Owner

   114,823     100,260     27,944     28,615    256,824   93,171   56,501   21,490 

Interest payable to Managing Owner

   63,722     59,865     14,543     19,767    30,730   49,624   7,420   11,066 

Service fees payable to Managing Owner

   52,753     53,054     20,964     25,485    39,370   44,422   16,457   18,807 

Trading fees payable to Managing Owner

   26,690     23,844     8,676     9,212    55,142   22,405   17,953   7,457 
Risk analysis fees payable  12,215          

Payables to related parties

   16,461     5,057     3,178     1,275       31,638      4,416 
Advance on unrealized Swap Appreciation        1,900,000    

Other liabilities

   —       —       —       —      2,880      18,085    
  

 

   

 

   

 

   

 

                 

Total Liabilities

   1,490,218     458,991     339,421     102,642    420,323   306,455   2,016,416   150,842 
  

 

   

 

   

 

   

 

                 

CAPITAL

                        

Managing Owner Units—Class 2

   46,764     36,002     75,621     57,484  

Limited Owner Units—Class 1

   26,870,878     26,164,147     9,761,819     11,328,406  

Limited Owner Units—Class 1AP

   38,042     —       58,378     —    

Limited Owner Units—Class 2

   13,095,549     10,424,688     3,131,561     2,792,578  
Managing Owner - Class 2  43,553   44,962   73,660   74,329 
Limited Owner - Class 1  20,284,935   23,022,800   7,507,072   8,628,726 
Limited Owner - Class 1AP  35,478   36,576   5,826   58,523 
Limited Owner - Class 2  11,402,560   11,837,205   2,670,715   2,779,024 
  

 

   

 

   

 

   

 

                 

Total Owners’ Capital

   40,051,233     36,624,837     13,027,379     14,178,468    31,766,526   34,941,543   10,257,273   11,540,602 
  

 

   

 

   

 

   

 

                 

Non-Controlling Interests

   —       —       3,539,498     2,415,637    9,108,334   6,367,651   3,147,279   3,933,920 
  

 

   

 

   

 

   

 

                 

Total Capital

   40,051,233     36,624,837     16,566,877     16,594,105    40,874,860   41,309,194   13,404,552   15,474,522 
  

 

   

 

   

 

   

 

                 

Total Liabilities and Capital

  $41,541,451    $37,083,828    $16,906,298    $16,696,747   $41,295,183  $41,615,649  $15,420,968  $15,625,364 
  

 

   

 

   

 

   

 

                 

Units Outstanding

                        

Class 1

   152,717     187,438     74,927     111,005    131,283   140,239   62,779   69,436 

Class 1AP (1)

   214     N/A     443     N/A  
Class 1AP  214   214   45   452 

Class 2

   58,093     60,061     18,164     21,235    54,251   54,629   15,946   16,441 
                

Net Asset Value per Unit

                        

Class 1

  $175.95    $139.59    $130.28    $102.05   $154.51  $164.17  $119.58  $124.27 

Class 1AP (1)

  $178.18     N/A    $131.93     N/A  
Class 1AP $166.17  $171.31  $128.60  $129.67 

Class 2

  $226.23    $174.17    $176.56    $134.21   $210.98  $217.51  $172.10  $173.54 

 

(1)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally

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

F-6

The SeriesTable of Equinox Frontier FundsContents

Condensed Schedule of Investments

December 31, 2014

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2016

 

  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short Commodity
Fund
 

Description

 Fair
Value
  % of Total  Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

      

Various base metals futures contracts (Europe)

 $(312,320)  -0.43 $—      0.00% $—      0.00

Various base metals futures contracts (U.S.)

  (48,075)  -0.07  —      0.00%  —      0.00

Various currency futures contracts (U.S.)

  560,666   0.77%  —      0.00%  —      0.00

Various energy futures contracts (Europe)

  —      0.00%  —      0.00%  —      0.00

Various energy futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various energy futures contracts (U.S.)

  10,206   0.01%  —      0.00%  —      0.00

Various interest rates futures contracts (Canada)

  79,701   0.11%  —      0.00%  —      0.00

Various interest rates futures contracts (Europe)

  676,493   0.93%  —      0.00%  —      0.00

Various interest rates futures contracts (Far East)

  208,691   0.29%  —      0.00%  —      0.00

Various interest rates futures contracts (Oceanic)

  299,804   0.41%  —      0.00%  —      0.00

Various interest rates futures contracts (U.S.)

  289,361   0.40%  —      0.00%  —      0.00

Various precious metal futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various precious metal futures contracts (U.S.)

  (60,655)  -0.08  —      0.00%  —      0.00

Various soft futures contracts (Canada)

  —      0.00%  —      0.00%  —      0.00

Various soft futures contracts (Europe)

  2,809   0.00%  —      0.00%  —      0.00

Various soft futures contracts (Oceanic)

  —      0.00%  —      0.00%  —      0.00

Various soft futures contracts (U.S.)

  (89,038)  -0.12  —      0.00%  —      0.00

Various stock index futures contracts (Canada)

  33,439   0.08%  —      0.00%  —      0.00

Various stock index futures contracts (Europe)

  (44,720)  -0.06  —      0.00%  —      0.00

Various stock index futures contracts (Far East)

  14,786   0.02%  —      0.00%  —      0.00

Various stock index futures contracts (Oceanic)

  35,072   0.08%  —      0.00%  —      0.00

Various stock index futures contracts (U.S.)

  370,308   0.51%  —      0.00%  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $2,026,528   2.80% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short Commodity
Fund
 

Description

 Fair
Value
  % of Total  Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

SHORT FUTURES CONTRACTS *

      

Various base metals futures contracts (Europe)

 $251,789   0.35% $—      0.00% $—      0.00

Various base metals futures contracts (U.S.)

  50,963   0.07%  —      0.00%  —      0.00

Various currency futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various currency futures contracts (U.S.)

  360,124   0.50%  —      0.00%  —      0.00

Various energy futures contracts (Europe)

  —      0.00%  —      0.00%  —      0.00

Various energy futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various energy futures contracts (U.S.)

  356,351   0.49%  —      0.00%  —      0.00

Various interest rates futures contracts (Canada)

  12,112   0.02%  —      0.00%  —      0.00

Various interest rates futures contracts (Europe)

  (14,958)  -0.02  —      0.00%  —      0.00

Various interest rates futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various interest rates futures contracts (Oceanic)

  —      0.00%  —      0.00%  —      0.00

Various interest rates futures contracts (U.S.)

  (128)  0.00%  —      0.00%  —      0.00

Various precious metal futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various precious metal futures contracts (U.S.)

  7,685   0.01%  —      0.00%  —      0.00

Various soft futures contracts (Canada)

  —      0.00%  —      0.00%  —      0.00

Various soft futures contracts (Europe)

  92,535   0.13%  —      0.00%  —      0.00

Various soft futures contracts (Far East)

  —      0.00%  —      0.00%  —      0.00

Various soft futures contracts (U.S.)

  78,930   0.11%  —      0.00%  —      0.00

Various stock index futures contracts (Africa)

  —      0.00%  —      0.00%  —      0.00

Various stock index futures contracts (Europe)

  (24,501)  -0.03  —      0.00%  —      0.00

Various stock index futures contracts (Far East)

  (28,299)  -0.04  —      0.00%  —      0.00

Various stock index futures contracts (Mexico)

  —      0.00%  —      0.00%  —      0.00

Various stock index futures contracts (Oceanic)

  —      0.00%  —      0.00%  —      0.00

Various stock index futures contracts (U.S.)

  2,837   0.00%  —      0.00%  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $1,145,440   1.58% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

  

     

Various currency forwards contracts (NA)

 $43,238   0.06% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $43,238   0.06% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $3,215,206   4.44% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED *

  

     

Various energy futures contracts (U.S.)

 $—      0.00% $—      0.00% $—      0.00

Various soft futures contracts (U.S.)

  —      0.00%  —      0.00%  —      0.00

Various stock index futures contracts (U.S.)

  288,413   0.40%  —      0.00%  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $288,413   0.40% $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier
Long/Short Commodity
Fund
 

Description

 Fair
Value
  % of Total  Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

OPTIONS WRITTEN *

  

     

Various energy futures contracts (U.S.)

 $—      0.00% $—      0.00% $—      0.00

Various soft futures contracts (U.S.)

  —      0.00%  —      0.00%  —      0.00

Various stock index futures contracts (U.S.)

  (253,018)  -0.35  —      0.00%  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $(253,018)  -0.35 $—      0.00% $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1) 

      

Frontier XXXIV Balanced select swap (U.S.)

 $—      0.00% $—      0.00% $—      0.00

Frontier Brevan Howard swap (U.S.)

  —      0.00%  —      0.00%  —      0.00

Frontier XXXV Diversified select swap (U.S.)

  6,570,408   9.07%  —      0.00%  —      0.00

Frontier XXXVII L/S select swap (U.S.)

  —      0.00%  —      0.00%  3,633,060   21.86
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $6,570,408   9.07% $—      0.00% $3,633,060   21.86
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
      

U.S. TREASURY SECURITIES (2) 

      

FACE VALUE

  Fair Value     Fair Value     Fair Value   

$ 15,000,000 US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $21,289,585   29.40% $11,118,790   43.25% $5,616,255   33.80

$ 75,000,000 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

  6,411,385   8.85%  3,348,438   13.02%  1,691,342   10.18

$ 20,000,000 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

  3,350,689   4.63%  1,749,945   6.81%  883,922   5.32
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 $31,051,659   42.87% $16,217,173   63.08% $8,191,519   49.30
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
      

Additional Disclosure on U.S. Treasury Securities

  Face Value     Face Value     Face Value   

US Treasury Note 2.250% due 11/15/2024 (2)

 $16,640,343   $8,690,657   $4,389,772  

US Treasury Note 6.000% due 02/15/2026 (2)

  4,437,425    2,317,508    1,170,606  

US Treasury Note 6.875% due 08/15/2025 (2)

  3,328,068    1,738,131    877,954  
 

 

 

   

 

 

   

 

 

  
 $24,405,836   $12,746,296   $6,438,332  
 

 

 

   

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

  Cost     Cost     Cost   

US Treasury Note 2.250% due 11/15/2024 (2)

 $22,093,766   $11,538,785   $5,828,400  

US Treasury Note 6.000% due 02/15/2026 (2)

  6,283,975    3,281,896    1,657,731  

US Treasury Note 6.875% due 08/15/2025 (2)

  3,320,679    1,734,272    876,005  
 

 

 

   

 

 

   

 

 

  
 $31,698,420   $16,554,953   $8,362,136  
 

 

 

   

 

 

   

 

 

  
     Equinox Frontier  Equinox Frontier  Equinox Frontier 
     Diversified Fund  Masters Fund  Long/Short Commodity Fund 
     Fair  % of Total Capital  Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
SWAPS (1)             
    Frontier XXXV Diversified select swap (U.S.) $8,637,847   15.30% $     $    
    Frontier XXXVII L/S select swap (U.S.)              4,220,468   45.55%
    Total Swaps $8,637,847   15.30% $     $4,220,468   45.55%
                             
PRIVATE INVESTMENT COMPANIES (3)                 
    Galaxy Plus Fund - Chesapeake Feeder Fund (518) $6,399,628   11.33% $3,455,090   20.12% $1,610,890   17.39%
    Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  3,558,715   6.30%  2,198,618   12.81%  1,611,845   17.40%
    Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  2,412,065   4.27%            
    Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  4,103,564   7.27%            
    Galaxy Plus Fund - QIM Feeder Fund (526) LLC  7,819,114   13.85%            
    Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  8,600,401   15.23%            
    Galaxy Plus Fund - Quest Feeder Fund (517) LLC  2,996,494   5.31%            
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  1,856,786   3.29%            
    Galaxy Plus Fund - LRR Feeder Fund (522) LLC  1,099,207   1.95%        3,492,407   37.69%
    Total Private Investment Companies $38,845,974   68.77% $5,653,708   32.93% $6,715,142   72.46%
                             
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)                 
    Equinox Frontier Trading Company XXXVIII, LLC $1,710,707   3.03% $1,130,943   6.59% $    
    Equinox Frontier Trading Company XV, LLC        4,107,816   23.93%      
    Equinox Frontier Trading Company II, LLC  2,490,921   4.41%  1,439,347   8.38%      
    Total Investment in Unconsolidated Trading Companies $4,201,628   7.44% $6,678,106   38.90% $   0.00%
                             
      Fair Value      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)                 
FACE VALUE                     
$15,900,000  US Treasury Note 6.000% due 02/15/2026 (Cost $36,863,436) $3,138,309   5.56% $2,074,726   12.08% $    
$16,400,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  3,386,971   6.00%  2,239,117   13.04%      
      $6,525,280   11.56% $4,313,843   25.13% $    
                             
      Face Value      Face Value             
Additional Disclosure on U.S. Treasury Securities                 
    US Treasury Note 6.000% due 02/15/2026 (2) $2,489,283      $1,645,658             
    US Treasury Note 6.875% due 08/15/2025 (2)  2,567,563       1,697,408             
      $5,056,846      $3,343,066             
                             
      Cost      Cost             
Additional Disclosure on U.S. Treasury Securities                 
    US Treasury Note 6.000% due 02/15/2026 (2) $3,502,510      $2,315,499             
    US Treasury Note 6.875% due 08/15/2025 (2)  3,596,193       2,377,432             
      $7,098,703      $4,692,931             

 

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.
(3)See Note 5 to the Financial Statements.

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

F-7

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2016

     Equinox Frontier  Equinox Frontier 
     Balanced Fund  Select Fund 
     Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS*             
    Various base metals futures contracts (U.S.) $11,675   0.01% $56,169   0.35%
    Various currency futures contracts (Europe)        73,909   0.46%
    Various currency futures contracts (Far East)        1,360   0.01%
    Various currency futures contracts (Oceanic)        (41,946)  -0.26%
    Various currency futures contracts (U.S.)  39,959   0.05%  10,283   0.06%
    Various energy futures contracts (U.S.)  (10,780)  -0.01%  163,930   1.02%
    Various energy futures contracts (Europe)        4,150   0.03%
    Various energy futures contracts (Far East)        8,788   0.05%
    Various interest rates futures contracts (Canada)        (503)  0.00%
    Various interest rates futures contracts (Europe)        166,812   1.04%
    Various interest rates futures contracts (Oceanic)        444   0.00%
    Various interest rates futures contracts (U.S.)        18,191   0.11%
    Various precious metal futures contracts (Far East)        1,950   0.01%
    Various soft futures contract (Europe)        1,956   0.01%
    Various soft futures contract (Far East)        111   0.00%
    Various soft futures contract (U.S.)        (39,001)  -0.24%
    Various soft futures contracts (Far East)        2,808   0.02%
    Various soft futures contract (U.S.)  (54,314)  -0.07%      
    Various stock index futures contracts (Canada)        1,894   0.01%
    Various stock index futures contracts (Europe)  3,375   0.00%  56,849   0.35%
    Various stock index futures contracts (Far East)  25,750   0.03%  31,540   0.20%
    Various stock index futures contracts (Oceanic)        4,760   0.03%
    Various stock index futures contracts (U.S.)  (29,115)  -0.04%  (53,378)  -0.33%
    Total Long Futures Contracts $(13,450)  -0.03% $471,076   2.93%
SHORT FUTURES CONTRACTS*             
    Various base metals futures contracts (U.S.) $81,563   0.10% $(29,896)  -0.19%
    Various currency futures contracts (Canada)        195   0.00%
    Various currency futures contracts (Europe)        85,470   0.53%
    Various currency futures contracts (Far East)        19,041   0.12%
    Various currency futures contracts (Oceanic)        4,623   0.03%
    Various currency futures contracts (U.S.)        (8,460)  -0.05%
    Various interest rates futures contracts (Canada)  6,253   0.01%  155   0.00%
    Various interest rates futures contracts (Europe)        (8,823)  -0.05%
    Various interest rates futures contracts (Far East)  686   0.00%  (6,019)  -0.04%
    Various interest rates futures contracts (Oceanic)  26,568   0.03%  (1,211)  -0.01%
    Various interest rates futures contracts (U.S.)        45,201   0.28%
    Various precious metal futures contracts (U.S.)  4,790   0.01%  29,150   0.18%
    Various soft futures contract (U.S.)  110,548   0.13%     0.00%
    Various soft futures contracts (Europe)  53,851   0.07%  14,154   0.09%
    Various soft futures contracts (U.S.)  15,398   0.02%  46,657   0.29%
    Various stock index futures contracts (Africa)  2,440   0.00%     0.00%
    Various stock index futures contracts (Europe)        (2,802)  -0.02%
    Various stock index futures contracts (Far East)        (2,456)  -0.02%
    Various stock index futures contracts (U.S.)        23,255   0.14%
    Total Short Futures Contracts $302,097   0.37% $208,234   1.29%
CURRENCY FORWARDS*             
    Various currency forwards contracts (NA) $(50,986)  -0.06% $6,712   0.04%
    Total Currency Forwards $(50,986)  -0.06% $6,712   0.04%
    Total Open Trade Equity (Deficit) $237,661   0.28% $686,022   4.26%
SWAP (1)                
    Frontier XXXIV Balanced select swap (U.S.) $18,939,450   23.01% $    
    Total Swap $18,939,450   23.01% $    
                     
PRIVATE INVESTMENT COMPANIES (3)             
    Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $4,190,798   5.09% $    
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  2,786,543   3.39%      
    Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  4,114,892   5.00%      
    Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  7,071,313   8.59%      
    Galaxy Plus Fund - QIM Feeder Fund (526) LLC  12,623,819   15.34%      
    Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  10,626,274   12.91%      
    Galaxy Plus Fund - LRR Feeder Fund (522) LLC  2,989,088   3.63%      
    Galaxy Plus Fund - Quest Feeder Fund (517) LLC  902,546   1.10%      
    Total Private Investment Companies $45,305,273   55.05% $    
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)             
    Equinox Frontier Trading Company II, LLC $3,403,939   4.14% $    
    Equinox Frontier Trading Company XXXVIII, LLC  2,561,392   3.11%  763,587   4.75%
    Equinox Frontier Trading Company XXXIX, LLC        3,147,279   19.56%
    Total Investment in Unconsolidated Trading Companies $5,965,331   7.25% $3,910,866   24.31%
                     
      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)             
FACE VALUE             
$15,900,000  US Treasury Note 6.000% due 02/15/2026 (Cost $36,863,436) $4,698,901   5.71% $1,400,809   8.71%
$16,400,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  5,071,216   6.16%  1,511,802   9.40%
                     
      $9,770,117   11.87% $2,912,611   18.10%
                     
      Face Value      Face Value     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $3,727,134      $1,111,111     
    US Treasury Note 6.875% due 08/15/2025 (2)  3,844,339       1,146,052     
      $7,571,473      $2,257,163     
                     
      Cost      Cost     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $5,244,210      $1,563,373     
    US Treasury Note 6.875% due 08/15/2025 (2)  5,384,478       1,605,189     
      $10,628,688      $3,168,562     

*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)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.
(3)See Note 5 to the Financial Statements.

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

F-8

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2016

     Equinox Frontier  Equinox Frontier 
     Winton Fund  Heritage Fund 
     Fair  % of Total Capital  Fair  % of Total Capital 
   Description Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS*             
    Various base metals futures contracts (U.S.) $(88,088)  -0.22% $    
    Various energy futures contracts (U.S.)  65,612   0.16%      
    Various interest rates futures contracts (Europe)  88,638   0.22%      
    Various interest rates futures contracts (Oceanic)  (341)  0.00%      
    Various interest rates futures contracts (U.S.)  7,094   0.02%      
    Various precious metal futures contracts (U.S.)  (3,860)  -0.01%      
    Various soft futures contract (U.S.)  (84,938)  -0.21%      
    Various soft futures contracts (Canada)  (2,131)  -0.01%      
    Various stock index futures contracts (Canada)  (969)  0.00%      
    Various stock index futures contracts (Europe)  242,128   0.59%      
    Various stock index futures contracts (Far East)  305,316   0.75%      
    Various stock index futures contracts (Oceanic)  57,116   0.14%      
    Various stock index futures contracts (U.S.)  (201,831)  -0.49%      
    Total Long Futures Contracts $383,746   0.94% $    
SHORT FUTURES CONTRACTS*              
    Various base metals futures contracts (U.S.) $(252,279)  -0.62% $    
    Various currency futures contracts (Canada)  11,540   0.03%      
    Various currency futures contracts (Europe)  272,806   0.67%      
    Various currency futures contracts (Far East)  168,888   0.41%      
    Various currency futures contracts (Oceanic)  2,980   0.01%      
    Various currency futures contracts (U.S.)  9,590   0.02%      
    Various energy futures contracts (U.S.)  (82,280)  -0.20%      
    Various interest rates futures contracts (Canada)  (1,012)  0.00%      
    Various interest rates futures contracts (Europe)  (8,794)  -0.02%      
    Various interest rates futures contracts (Far East)  (11,060)  -0.03%      
    Various interest rates futures contracts (Oceanic)  (2,831)  -0.01%      
    Various interest rates futures contracts (U.S.)  127,078   0.31%      
    Various precious metal futures contracts (U.S.)  174,345   0.43%      
    Various soft futures contract (Europe)  44,780   0.11%      
    Various soft futures contract (U.S.)  291,378   0.71%      
    Various stock index futures contracts (Africa)  2,019   0.00%      
    Various stock index futures contracts (U.S.)  (7,228)  -0.02%      
    Total Short Futures Contracts $739,920   1.80% $    
CURRENCY FORWARDS*             
    Various currency forwards contracts (NA) $98,858   0.24% $    
    Total Currency Forwards $98,858   0.24% $    
    Total Open Trade Equity (Deficit) $1,222,524   2.98% $    
SWAP (1)                
    Frontier Brevan Howard swap (U.S.) $     $8,391,414   62.60%
    Total Swap $     $8,391,414   62.60%
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)             
    Equinox Frontier Trading Company II, LLC $     $1,774,130   13.24%
    Equinox Frontier Trading Company XXXVIII, LLC  4,072,450   9.96%  970,510   7.24%
    Total Investment in Unconsolidated Trading Companies $4,072,450   9.96% $2,744,640   20.48%
                     
      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)             
FACE VALUE                
$15,900,000  US Treasury Note 6.000% due 02/15/2026 (Cost $36,863,436) $7,470,952   18.28% $1,780,410   13.28%
$16,400,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  8,062,911   19.73%  1,921,480   14.33%
      $15,533,863   38.00% $3,701,890   27.61%
                     
      Face Value      Face Value     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $5,925,905      $1,412,208     
    US Treasury Note 6.875% due 08/15/2025 (2)  6,112,254       1,456,617     
      $12,038,159      $2,868,825     
                     
      Cost      Cost     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $8,337,960      $1,987,027     
    US Treasury Note 6.875% due 08/15/2025 (2)  8,560,976       2,040,174     
      $16,898,936      $4,027,201     

*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)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.
(3)See Note 5 to the Financial Statements.

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

F-9

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2015

     Equinox Frontier  Equinox Frontier  Equinox Frontier 
     Diversified Fund  Masters Fund  Long/Short Commodity Fund 
     Fair  % of Total Capital  Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
SWAPS (1)                     
    Frontier XXXIV Balanced select swap (U.S.) $     $     $    
    Frontier Brevan Howard swap (U.S.)                  
    Frontier XXXV Diversified select swap (U.S.)  8,685,849   15.59%            
    Frontier XXXVII L/S select swap (U.S.)              4,332,428   33.09%
    Total Swaps $8,685,849   15.59% $   0.00% $4,332,428   33.09%
                             
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)                 
    Equinox Frontier Trading Company I, LLC $10,703,800   19.21% $1,061,509   4.65% $525,389   5.67%
    Equinox Frontier Trading Company II, LLC  1,755,041   3.15%  1,080,538   4.73%      
    Equinox Frontier Trading Company VII, LLC  1,883,299   3.38%  940,686   4.12%  2,544,994   27.47%
    Equinox Frontier Trading Company XV, LLC        5,975,464   26.18%      
    Equinox Frontier Trading Company XXIII, LLC  1,151,741   2.07%            
    Equinox Frontier Trading Company XXXVIII, LLC  600,326   1.08%  351,733   1.54%  344,280   3.72%
      $16,094,207   28.89% $9,409,930   41.22% $3,414,663   36.84%
                             
      Fair Value      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)                
FACE VALUE                        
$67,000,000  US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) $21,022,579   37.73% $9,102,988   39.88% $3,649,979   27.88%
$20,000,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  6,582,337   11.81%  2,850,218   12.49%  1,142,838   8.73%
      $27,604,916   49.54% $11,953,206   52.37% $4,792,817   36.61%
                             
      Face Value      Face Value      Face Value     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $15,743,566      $6,817,122      $2,733,427     
    US Treasury Note 6.875% due 08/15/2025 (2)  4,699,572       2,034,962       815,948     
                          
      $20,443,138      $8,852,084      $3,549,375     
                             
      Cost      Cost        Cost     
Additional Disclosure on U.S. Treasury Securities                 
    US Treasury Note 6.000% due 02/15/2026 (2) $20,999,686      $9,093,075      $3,646,004     
    US Treasury Note 6.875% due 08/15/2025 (2)  6,582,337       2,850,218       1,142,838     
                          
      $27,582,023      $11,943,293      $4,788,842     

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedule of Investments

December 31, 2014

  Equinox Frontier Balanced
Fund
  Equinox Frontier Select Fund 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

    

Various base metals futures contracts (Europe)

 $(3,493,625  -3.22 $—      0.00

Various base metals futures contracts (U.S.)

  (13,775  -0.01  —      0.00

Various currency futures contracts (U.S.)

  (254,409  -0.23  —      0.00

Various energy futures contracts (Europe)

  (12,920  -0.01  —      0.00

Various energy futures contracts (Far East)

  (2,738  0.00  —      0.00

Various energy futures contracts (U.S.)

  (1,406,837  -1.30  —      0.00

Various interest rates futures contracts (Canada)

  84,291    0.08  —      0.00

Various interest rates futures contracts (Europe)

  1,312,057    1.21  —      0.00

Various interest rates futures contracts (Far East)

  217,701    0.20  —      0.00

Various interest rates futures contracts (Oceanic)

  164,422    0.15  —      0.00

Various interest rates futures contracts (U.S.)

  298,985    0.28  —      0.00

Various precious metal futures contracts (Far East)

  6,195    0.01  —      0.00

Various precious metal futures contracts (U.S.)

  (57,380  -0.05  —      0.00

Various soft futures contracts (Canada)

  (1,360  0.00  —      0.00

Various soft futures contracts (Europe)

  8,013    0.01  —      0.00

Various soft futures contracts (Oceanic)

  (864  0.00  —      0.00

Various soft futures contracts (U.S.)

  (208,634  -0.19  —      0.00

Various stock index futures contracts (Canada)

  17,918    0.02  —      0.00

Various stock index futures contracts (Europe)

  231,293    0.21  —      0.00

Various stock index futures contracts (Far East)

  (6,494  -0.01  —      0.00

Various stock index futures contracts (Oceanic)

  (1,389  0.00  —      0.00

Various stock index futures contracts (U.S.)

  337,695    0.31  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $(2,781,855  -2.54 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

    

Various base metals futures contracts (Europe)

 $3,165,035    2.92 $—      0.00

Various base metals futures contracts (U.S.)

  19,963    0.02  —      0.00

Various currency futures contracts (Far East)

  (3,383  0.00  —      0.00

Various currency futures contracts (U.S.)

  462,616    0.43  —      0.00

Various energy futures contracts (Europe)

  49,517    0.05  —      0.00

Various energy futures contracts (Far East)

  5,389    0.00  —      0.00

Various energy futures contracts (U.S.)

  2,602,685    2.40  —      0.00

Various interest rates futures contracts (Canada)

  11    0.00  —      0.00

Various interest rates futures contracts (Europe)

  (261,457  -0.24  —      0.00

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  (1,673  0.00  —      0.00

Various interest rates futures contracts (U.S.)

  (20,699  -0.02  —      0.00

Various precious metal futures contracts (Far East)

  (1,052  0.00  —      0.00

Various precious metal futures contracts (U.S.)

  112,155    0.10  —      0.00

Various soft futures contracts (Canada)

  —      0.00  —      0.00

Various soft futures contracts (Europe)

  19,813    0.02  —      0.00

Various soft futures contracts (Far East)

  (4,709  0.00  —      0.00

Various soft futures contracts (U.S.)

  438,427    0.40  —      0.00

Various stock index futures contracts (Africa)

  (4,181  0.00  —      0.00

Various stock index futures contracts (Europe)

  (13,338  -0.01  —      0.00

Various stock index futures contracts (Far East)

  129    0.00  —      0.00

Various stock index futures contracts (Mexico)

  (4,380  0.00  —      0.00

Various stock index futures contracts (Oceanic)

  (9,866  -0.01  —      0.00

Various stock index futures contracts (U.S.)

  (51,856  -0.05  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $6,499,146    6.01 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

    

Various currency forwards contracts (NA)

 $(419,742  -0.39 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $(419,742  -0.39 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $3,297,549    3.08 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1)

    

Frontier XXXIV Balanced select swap (U.S.)

 $18,246,954    16.82 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $18,246,954    16.82 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

  Equinox Frontier Balanced
Fund
  Equinox Frontier Select Fund 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

U.S. TREASURY SECURITIES (2)

    

FACE VALUE

 Fair Value     Fair Value    

$ 15,000,000 US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $28,539,451    26.31 $4,440,707    29.08

$ 75,000,000 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

  8,594,691    7.92  1,337,325    8.76

$ 20,000,000 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

  4,491,718    4.14  698,907    4.58
 

 

 

  

 

 

  

 

 

  

 

 

 
 $41,625,860    38.37 $6,476,939    42.42
 

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

 Face Value     Face Value    

US Treasury Note 2.250% due 11/15/2024 (2)

 $22,306,974    $3,470,942   

US Treasury Note 6.000% due 02/15/2026 (2)

  5,948,526     925,584   

US Treasury Note 6.875% due 08/15/2025 (2)

  4,461,395     694,188   
 

 

 

   

 

 

  
 $32,716,896    $5,090,714   
 

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

 Cost     Cost    

US Treasury Note 2.250% due 11/15/2024 (2)

 $29,617,482    $4,608,448   

US Treasury Note 6.000% due 02/15/2026 (2)

  8,423,893     1,310,749   

US Treasury Note 6.875% due 08/15/2025 (2)

  4,451,489     692,647   
 

 

 

   

 

 

  
 $42,492,864    $6,611,844   
 

 

 

   

 

 

  

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

F-10

The SeriesTable of Equinox Frontier FundsContents

Condensed Schedule of Investments

December 31, 2014

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2015

 

  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

SWAPS (2)

    

Brevan Howard Total Return Swap

 $—      0.00 $7,540,465    45.52
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $—      0.00 $7,540,465    45.52
  

 

 

  

 

 

  

 

 

  

 

 

 

U.S. TREASURY SECURITIES (1)

    

FACE VALUE

 Fair Value     Fair Value    

$ 15,000,000 US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $20,290,171    50.66 $4,659,730    28.13

$ 75,000,000 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

  6,110,410    15.26  1,403,284    8.47

$ 20,000,000 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

  3,193,393    7.97  733,378    4.43
  

 

 

  

 

 

  

 

 

  

 

 

 
  $29,593,974    73.89 $6,796,392    41.03
  

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

 Face Value     Face Value    
 US Treasury Note 2.250% due 11/15/2024 (1) $15,859,181    $3,642,133   
 US Treasury Note 6.000% due 02/15/2026 (1)  4,229,115     971,236   
 US Treasury Note 6.875% due 08/15/2025 (1)  3,171,836     728,427   
  

 

 

   

 

 

  
  $23,260,132    $5,341,796   
  

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

 Cost     Cost    
 US Treasury Note 2.250% due 11/15/2024 (1) $21,056,599    $4,835,745   
 US Treasury Note 6.000% due 02/15/2026 (1)  5,988,981     1,375,397   
 US Treasury Note 6.875% due 08/15/2025 (1)  3,164,794     726,809   
  

 

 

   

 

 

  
  $30,210,374    $6,937,951   
  

 

 

   

 

 

  
     Equinox Frontier  Equinox Frontier 
     Balanced Fund  Select Fund 
     Fair  % of Total Capital  Fair  % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS*             
    Various base metals futures contracts (Europe) $46,701   0.05% $(50,387)  -0.25%
    Various base metals futures contracts (U.S.)  650          
    Various currency futures contracts (Singapore)        6,824   0.03%
    Various currency futures contracts (U.S.)  (30,157)  -0.03%  (11,664)  -0.06%
    Various energy futures contracts (Europe)        13,493   0.07%
    Various energy futures contracts (Far East)  605          
    Various energy futures contracts (U.S.)  (237,837)  -0.27%      
    Various interest rates futures contracts (Canada)  58,668   0.07%  8,285   0.04%
    Various interest rates futures contracts (Europe)  (132,159)  -0.15%  (380,769)  -1.91%
    Various interest rates futures contracts (Far East)  93,495   0.11%  22,925   0.11%
    Various interest rates futures contracts (Oceanic)  14,834   0.02%  (1,711)  -0.01%
    Various interest rates futures contracts (U.S.)  (163,570)  -0.18%  (35,830)  -0.18%
    Various precious metal futures contracts  (U.S.)  (6,180)  -0.01%      
    Various soft futures contracts (Canada)        68    
    Various soft futures contracts (Europe)  394      238    
    Various soft futures contracts (Oceanic)        5,505   0.03%
    Various soft futures contracts (U.S.)  (87,878)  -0.10%  17,813   0.09%
    Various stock index futures contracts (Canada)  (2,002)         
    Various stock index futures contracts (Europe)  38,507   0.04%  14,580   0.07%
    Various stock index futures contracts (Far East)  (14,865)  -0.02%  (33,510)  -0.17%
    Various stock index futures contracts (Oceanic)  13,845   0.02%  (1,931)  -0.01%
    Various stock index futures contracts (U.S.)  25,421   0.03%  (4,360)  -0.02%
    Total Long Futures Contracts $(381,528)  -0.42% $(430,431)  -2.16%
SHORT FUTURES CONTRACTS*                
    Various base metals futures contracts (Europe) $(5,389)  -0.01% $109,629   0.55%
    Various base metals futures contracts (U.S.)  (11,475)  -0.01%  (4,250)  -0.02%
    Various currency futures contracts (U.S.)  188,615   0.21%  32,835   0.17%
    Various energy futures contracts (Europe)        29,608   0.15%
    Various energy futures contracts (Far East)  1,020      410    
    Various energy futures contracts (U.S.)  97,810   0.11%  586,716   2.95%
    Various interest rates futures contracts (Canada)        (63)   
    Various interest rates futures contracts (Europe)  2,481      3,113   0.02%
    Various interest rates futures contracts (Oceanic)  (3,367)     (12,330)  -0.06%
    Various interest rates futures contracts (U.S.)  28,086   0.03%  50,113   0.25%
    Various precious metal futures contracts  (Far East)  466      4,026   0.02%
    Various precious metal futures contracts  (U.S.)  3,105      93,125   0.47%
    Various precious metal futures contracts (Far East)        (2,639)  -0.01%
    Various soft futures contract (Europe)  (1,700)     2,000   0.01%
    Various soft futures contracts (Canada)  (1,305)         
    Various soft futures contracts (Europe)  1,832      6,824   0.03%
    Various soft futures contracts (Far East)  2,791          
    Various soft futures contracts (Singapore)        930    
    Various soft futures contracts (U.S.)  48,192   0.05%  34,651   0.17%
    Various stock index futures contracts (Africa)  (751)     (1,849)  -0.01%
    Various stock index futures contracts (Europe)  (5,629)  -0.01%  8,952   0.05%
    Various stock index futures contracts (Far East)  3,179      5,289   0.03%
    Various stock index futures contracts (Mexico)  717      74    
    Various stock index futures contracts (U.S.)  17,499   0.02%  (17,786)  -0.09%
    Various stock index futures contracts (Warsaw)        (3,926)  -0.02%
    Total Short Futures Contracts $366,177   0.41% $925,452   4.65%
CURRENCY FORWARDS*                
    Various currency forwards contracts (NA) $26,881   0.03% $(32,682)  -0.16%
    Total Currency Forwards $26,881   0.03% $(32,682)  -0.16%
    Total Open Trade Equity (Deficit) $11,530   0.02% $462,339   2.32%
SWAPS (1)                   
    Frontier XXXIV Balanced select swap (U.S.) $19,157,520   21.26% $   0.00%
    Total Swaps $19,157,520   21.26% $   0.00%
                     
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)             
    Equinox Frontier Trading Company I, LLC $10,856,046   12.05% $    
    Equinox Frontier Trading Company II, LLC  2,283,605   2.53%      
    Equinox Frontier Trading Company VII, LLC  2,633,484   2.92%      
    Equinox Frontier Trading Company XV, LLC  841,070   0.93%      
    Equinox Frontier Trading Company XXXVIII, LLC  1,009,763   1.12%  213,920   1.33%
    Equinox Frontier Trading Company XXXIX, LLC        3,933,920   24.45%
      $17,623,968   19.56% $4,147,840   25.78%
                     
      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)             
FACE VALUE                
$67,000,000  US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) $31,336,857   34.77% $1,410,721   7.08%
$20,000,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  9,811,819   10.89%  441,708   2.22%
      $41,148,676   45.66% $1,852,429   9.30%
                     
      Face Value      Face Value     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $23,467,807      $1,056,473     
    US Treasury Note 6.875% due 08/15/2025 (2)  7,005,315       315,365     
      $30,473,122      $1,371,838     
                     
      Cost      Cost     
Additional Disclosure on U.S. Treasury Securities             
    US Treasury Note 6.000% due 02/15/2026 (2) $31,302,731      $1,409,185     
    US Treasury Note 6.875% due 08/15/2025 (2)  9,811,820       441,708     
      $41,114,551      $1,850,893     

 

(1)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedules of Investments

December 31, 2013

  Equinox Frontier Diversified
Fund
  Equinox Frontier Masters
Fund
  Equinox Frontier Long/Short
Commodity Fund
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

      

Various currency futures contracts (U.S.)

 $—      0.00 $—      0.00 $(19,944  -0.07

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  219,147    0.77

Natural Gas Settling 3/1/2014 (Number of Contracts: 228)

  —      0.00  —      0.00  (353,048  -1.25

NYH RBOB Unleaded Gas Settling 3/1/2014 (Number of Contracts: 228)

  —      0.00  —      0.00  (783,703  -2.77

Crude Oil Settling 12/1/2014 (Number of Contracts: 298)

  —      0.00  —      0.00  301,246    1.06

Natural Gas Settling 11/1/2014 (Number of Contracts: 621)

  —      0.00  —      0.00  629,139    2.22

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  (202,474  -0.71

90 Day Euro Time Deposit Settling 12/1/2017 (Number of Contracts: 539)

  —      0.00  —      0.00  (372,810  -1.32

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  (227,156  -0.80

Corn Settling 3/1/2014 (Number of Contracts: 383)

  —      0.00  —      0.00  (691,458  -2.44

Wheat Settling 3/1/2014 (Number of Contracts: 269)

  —      0.00  —      0.00  (296,457  -1.05

Soybean Oil Settling 3/1/2014 (Number of Contracts: 243)

  —      0.00  —      0.00  (305,094  -1.08

Sugar #11 Settling 3/1/2014 (Number of Contracts: 861)

  —      0.00  —      0.00  (820,016  -2.89

Cocoa Settling 5/1/2014 (Number of Contracts: 608)

  —      0.00  —      0.00  (420,759  -1.48

Corn Settling 7/1/2014 (Number of Contracts: 300)

  —      0.00  —      0.00  (496,709  -1.75

Sugar #11 Settling 10/1/2014 (Number of Contracts: 273)

  —      0.00  —      0.00  (252,778  -0.89

Various stock index futures contracts (Europe)

  —      0.00  —      0.00  16,272    0.06

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  77,870    0.27

Various base metals futures contracts (U.S.)

  —      0.00  —      0.00  123,274    0.44

Various base metals futures contracts (Europe)

  —      0.00  —      0.00  (70,059  -0.25

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  (10,009  -0.04
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $—      0.00 $—      0.00 $(3,955,526  -13.97
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

      

Various currency futures contracts (U.S.)

 $—      0.00 $—      0.00 $77,986    0.28

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  (96,753  -0.34

NYH RBOB Unleaded Gas Settling 2/1/2014 (Number of Contracts: 509)

  —      0.00  —      0.00  820,130    2.89

Natural Gas Settling 10/1/2014 (Number of Contracts: 636)

  —      0.00  —      0.00  (751,854  -2.65

Various interest rates futures contracts (Europe)

  —      0.00  —      0.00  51,261    0.18

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  45,124    0.16

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  86,363    0.30

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  419,725    1.48

Live Cattle Settling 2/1/2014 (Number of Contracts: 740)

  —      0.00  —      0.00  (312,529  -1.10

Cocoa Settling 3/1/2014 (Number of Contracts: 616)

  —      0.00  —      0.00  484,656    1.71

Corn Settling 5/1/2014 (Number of Contracts: 383)

  —      0.00  —      0.00  1,111,467    3.92

Soybean Oil Settling 5/1/2014 (Number of Contracts: 243)

  —      0.00  —      0.00  303,319    1.07

Sugar #11 Settling 5/1/2014 (Number of Contracts: 861)

  —      0.00  —      0.00  752,965    2.66

Wheat Settling 7/1/2014 (Number of Contracts: 439)

  —      0.00  —      0.00  412,861    1.46

Corn Settling 9/1/2014 (Number of Contracts: 217)

  —      0.00  —      0.00  311,918    1.10

Various base metals futures contracts (Europe)

  —      0.00  —      0.00  34,183    0.12

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  13,635    0.05
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $—      0.00 $—      0.00 $3,764,457    13.29
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $—      0.00 $—      0.00 $(191,069  -0.68
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED *

      

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $75,490    0.27

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  23,250    0.08
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $—      0.00 $—      0.00 $98,740    0.35
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Equinox Frontier Diversified
Fund
  Equinox Frontier Masters
Fund
  Equinox Frontier Long/Short
Commodity Fund
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

OPTIONS WRITTEN *

      

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $(152,500  -0.54

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  (20,150  -0.07
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $—      0.00 $—      0.00 $(172,650  -0.61
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Swaps (1)

      

Frontier XXXV Diversified select swap (U.S.)

 $3,437,632    5.42 $—      0.00 $—      0.00

Frontier XXXVII L/S select swap (U.S.)

  —      0.00  —      0.00  2,456,545    8.67
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $3,437,632    5.42 $—      0.00 $2,456,545    8.67
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

U.S. TREASURY SECURITIES (2)

      
  Fair Value     Fair Value     Fair Value    

U.S. Treasury Note 1.125% due 12/31/2019 (Cost $11,178,122)

 $2,132,506    3.36 $1,313,588    3.89 $945,470    3.34

U.S. Treasury Note 2.000% due 09/30/2020 (Cost $11,611,497)

  2,206,296    3.48  1,359,041    4.02  978,186    3.45

U.S. Treasury Note 2.500% due 08/15/2023 (Cost $25,034,823)

  4,707,262    7.42  2,899,594    8.59  2,087,017    7.37

U.S. Treasury Note 2.125% due 08/15/2021 (Cost $13,066,678)

  2,470,925    3.89  1,522,048    4.51  1,095,512    3.87

U.S. Treasury Note 2.000% due 11/15/2021 (Cost $12,945,421)

  2,434,606    3.84  1,499,676    4.44  1,079,409    3.81

U.S. Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

  18,766,111    29.57  11,559,610    34.22  8,320,163    29.36

U.S. Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

  5,337,711    8.41  3,287,940    9.74  2,366,533    8.35
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 $38,055,417    59.97 $23,441,497    69.41  16,872,290    59.55
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

 Face Value     Face Value     Face Value    

U.S. Treasury Note 1.125% due 12/31/2019

 $2,259,609    $1,391,881    $1,001,823   

U.S. Treasury Note 2.000% due 09/30/2020

  2,259,609     1,391,881     1,001,823   

U.S. Treasury Note 2.500% due 08/15/2023

  4,912,193     3,025,828     2,177,875   

U.S. Treasury Note 2.125% due 08/15/2021

  2,554,340     1,573,431     1,132,495   

U.S. Treasury Note 2.000% due 11/15/2021

  2,554,340     1,573,431     1,132,495   

U.S. Treasury Note 6.000% due 02/15/2026

  14,736,578     9,077,484     6,533,625   

U.S. Treasury Note 6.875% due 08/15/2025

  3,929,754     2,420,662     1,742,300   
 

 

 

   

 

 

   

 

 

  
 $33,206,423    $20,454,598    $14,722,436   
 

 

 

   

 

 

   

 

 

  
  Cost     Cost     Cost    

U.S. Treasury Note 1.125% due 12/31/2019

 $2,196,364    $1,352,923    $973,782   

U.S. Treasury Note 2.000% due 09/30/2020

  2,281,516     1,405,376     1,011,536   

U.S. Treasury Note 2.500% due 08/15/2023

  4,919,035     3,030,043     2,180,909   

U.S. Treasury Note 2.125% due 08/15/2021

  2,567,442     1,581,501     1,138,304   

U.S. Treasury Note 2.000% due 11/15/2021

  2,543,616     1,566,825     1,127,740   

U.S. Treasury Note 6.000% due 02/15/2026

  19,566,094     12,052,384     8,674,845   

U.S. Treasury Note 6.875% due 08/15/2025

  5,565,047     3,427,975     2,467,325   
 

 

 

   

 

 

   

 

 

  
 $39,639,114    $24,417,027    $17,574,441   
 

 

 

   

 

 

   

 

 

  

*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 Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

F-11

The SeriesTable of Equinox Frontier FundsContents

Condensed Schedules of Investments

December 31, 2013

The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2015

 

   Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 

Description

  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
   % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

      

Various currency futures contracts (U.S.)

  $334,372    0.27 $—       0.00

Various energy futures contracts (U.S.)

   (30,732  -0.03  —       0.00

Various interest rates futures contracts (Canada)

   (53,579  -0.04  —       0.00

Various interest rates futures contracts (Europe)

   (610,796  -0.50  —       0.00

Various interest rates futures contracts (Far East)

   (220,508  -0.18  —       0.00

Various interest rates futures contracts (Oceanic)

   59,057    0.05  —       0.00

Various interest rates futures contracts (U.S.)

   (587,594  -0.48  —       0.00

Various soft futures contracts (Europe)

   (4,921  0.00  —       0.00

Various soft futures contracts (U.S.)

   (78,886  -0.06  —       0.00

Various stock index futures contracts (Africa)

   2,058    0.00  —       0.00

Various stock index futures contracts (Canada)

   228,344    0.19  —       0.00

Various stock index futures contracts (Europe)

   1,201,346    0.99  —       0.00

Various stock index futures contracts (Far East)

   612,504    0.50  —       0.00

Various stock index futures contracts (Oceanic)

   215,856    0.18  —       0.00

Various stock index futures contracts (U.S.)

   1,264,903    1.04  —       0.00

Various base metals futures contracts (U.S.)

   61,613    0.05  —       0.00

Various base metals futures contracts (Europe)

   274,544    0.23  —       0.00

Various precious metal futures contracts (U.S.)

   (1,599  0.00  —       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Long Futures Contracts

  $2,665,982    2.21 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

SHORT FUTURES CONTRACTS *

      

Various currency futures contracts (U.S.)

  $678,490    0.56 $—       0.00

Various energy futures contracts (U.S.)

   (28,690  -0.02  —       0.00

Various interest rates futures contracts (Canada)

   22,659    0.02  —       0.00

Various interest rates futures contracts (Europe)

   180,840    0.15  —       0.00

Various interest rates futures contracts (Far East)

   13,953    0.01  —       0.00

Various interest rates futures contracts (Oceanic)

   (9,507  -0.01  —       0.00

Various interest rates futures contracts (U.S.)

   202,638    0.17  —       0.00

Various soft futures contracts (Europe)

   2,312    0.00  —       0.00

Various soft futures contracts (U.S.)

   291,787    0.24  —       0.00

Various stock index futures contracts (Far East)

   (4,464  0.00  —       0.00

Various stock index futures contracts (U.S.)

   7,197    0.01  —       0.00

Various base metals futures contracts (Europe)

   (627,969  -0.52  —       0.00

Various precious metal futures contracts (U.S.)

   80,668    0.07  —       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Short Futures Contracts

  $809,914    0.68 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

CURRENCY FORWARDS *

      

Various currency forwards contracts

  $459,356    0.38 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Currency Forwards

  $459,356    0.38 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Open Trade Equity (Deficit)

  $3,935,252    3.27 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

OPTIONS PURCHASED *

      

Various stock index futures contracts (U.S.)

  $165,915    0.14 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Options Purchased

  $165,915    0.14 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

OPTIONS WRITTEN *

      

Various stock index futures contracts (U.S.)

  $(183,856  -0.15 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Options Written

  $(183,856  -0.15 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Swaps (1)

      

Frontier XXXIV Balanced select swap (U.S.)

  $10,122,003    8.31 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

Total Swaps

  $10,122,003    8.31 $—       0.00
  

 

 

  

 

 

  

 

 

   

 

 

 

   Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 

Description

  Fair
Value
   % of Total Capital
(Net Asset Value)
  Fair
Value
   % of Total Capital
(Net Asset Value)
 

U.S. TREASURY SECURITIES (2)

       
   Fair Value      Fair Value     

U.S. Treasury Note 1.125% due 12/31/2019 (Cost $11,178,122)

  $3,841,258     3.15 $577,408     3.28

U.S. Treasury Note 2.000% due 09/30/2020 (Cost $11,611,497)

   3,974,175     3.26  597,388     3.39

U.S. Treasury Note 2.500% due 08/15/2023 (Cost $25,034,823)

   8,479,137     9.96  1,274,563     7.24

U.S. Treasury Note 2.125% due 08/15/2021 (Cost $13,066,678)

   4,450,849     3.65  669,041     3.80

U.S. Treasury Note 2.000% due 11/15/2021 (Cost $12,945,421)

   4,385,427     3.60  659,207     3.74

U.S. Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   33,802,791     27.75  5,081,211     28.85

U.S. Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   9,614,758     7.89  1,445,267     8.21
  

 

 

   

 

 

  

 

 

   

 

 

 
  $68,548,395     59.26 $10,304,085     58.51
  

 

 

   

 

 

  

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value      Face Value     

U.S. Treasury Note 1.125% due 12/31/2019

  $4,070,207     $611,824    

U.S. Treasury Note 2.000% due 09/30/2020

   4,070,207      611,824    

U.S. Treasury Note 2.500% due 08/15/2023

   8,848,276      1,330,051    

U.S. Treasury Note 2.125% due 08/15/2021

   4,601,103      691,627    

U.S. Treasury Note 2.000% due 11/15/2021

   4,601,103      691,627    

U.S. Treasury Note 6.000% due 02/15/2026

   26,544,827      3,990,153    

U.S. Treasury Note 6.875% due 08/15/2025

   7,078,621      1,064,041    
  

 

 

    

 

 

   
  $59,814,344     $8,991,147    
  

 

 

    

 

 

   
   Cost      Cost     

U.S. Treasury Note 1.125% due 12/31/2019

  $3,956,284     $594,699    

U.S. Treasury Note 2.000% due 09/30/2020

   4,109,669      617,755    

U.S. Treasury Note 2.500% due 08/15/2023

   8,860,601      1,331,904    

U.S. Treasury Note 2.125% due 08/15/2021

   4,624,703      695,174    

U.S. Treasury Note 2.000% due 11/15/2021

   4,581,786      688,723    

U.S. Treasury Note 6.000% due 02/15/2026

   35,244,178      5,297,818    

U.S. Treasury Note 6.875% due 08/15/2025

   10,024,255      1,506,821    
  

 

 

    

 

 

   
  $71,401,476     $10,732,894    
  

 

 

    

 

 

   
     Equinox Frontier  Equinox Frontier 
     Winton Fund  Heritage Fund 
     Fair  % of Total Capital  Fair  % of Total Capital 
   Description Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS*                
    Various base metals futures contracts (Europe) $(1,294)    $    
    Various base metals futures contracts (U.S.)            
    Various currency futures contracts (Singapore)            
    Various currency futures contracts (U.S.)  (26,609)  -0.06%      
    Various energy futures contracts (Europe)            
    Various energy futures contracts (Far East)            
    Various energy futures contracts (U.S.)            
    Various interest rates futures contracts (Canada)  10,868   0.03%      
    Various interest rates futures contracts (Europe)  (126,797)  -0.31%      
    Various interest rates futures contracts (Far East)  68,874   0.17%      
    Various interest rates futures contracts (Oceanic)  (3,134)  -0.01%      
    Various interest rates futures contracts (U.S.)  (317,169)  -0.77%      
    Various precious metal futures contracts  (U.S.)            
    Various soft futures contracts (Canada)            
    Various soft futures contracts (Europe)            
    Various soft futures contracts (Oceanic)            
    Various soft futures contracts (U.S.)  4,274   0.01%      
    Various stock index futures contracts (Canada)            
    Various stock index futures contracts (Europe)  36,783   0.09%      
    Various stock index futures contracts (Far East)  (83,141)  -0.20%      
    Various stock index futures contracts (Oceanic)            
    Various stock index futures contracts (U.S.)  148,532   0.36%      
    Total Long Futures Contracts $(288,813)  -0.70% $    
SHORT FUTURES CONTRACTS*                
    Various base metals futures contracts (Europe) $134,930   0.33% $    
    Various base metals futures contracts (U.S.)  (11,450)  -0.03%      
    Various currency futures contracts (U.S.)  466,490   1.13%      
    Various energy futures contracts (Europe)            
    Various energy futures contracts (Far East)            
    Various energy futures contracts (U.S.)  142,483   0.35%      
    Various interest rates futures contracts (Canada)            
    Various interest rates futures contracts (Europe)            
    Various interest rates futures contracts (Far East)            
    Various interest rates futures contracts (Oceanic)  (3,043)  -0.01%      
    Various interest rates futures contracts (U.S.)  (266)         
    Various precious metal futures contracts  (Far East)            
    Various precious metal futures contracts  (U.S.)  244,230   0.59%      
    Various precious metal futures contracts (Far East)            
    Various soft futures contract (Europe)  (1,140)         
    Various soft futures contracts (Canada)  (16)         
    Various soft futures contracts (Europe)  3,608   0.01%      
    Various soft futures contracts (Far East)            
    Various soft futures contracts (Singapore)            
    Various soft futures contracts (U.S.)  137,220   0.33%      
    Various stock index futures contracts (Africa)  (7,124)  -0.02%      
    Various stock index futures contracts (Canada)  (2,344)  -0.01%      
    Various stock index futures contracts (Europe)  (1,191)         
    Various stock index futures contracts (Far East)  22,625   0.05%      
    Various stock index futures contracts (Mexico)            
    Various stock index futures contracts (Oceanic)            
    Various stock index futures contracts (U.S.)  (68,081)  -0.16%      
    Various stock index futures contracts (Warsaw)            
                     
    Total Short Futures Contracts $1,056,931   2.56% $    
CURRENCY FORWARDS*                
    Various currency forwards contracts (NA) $(168,539)  -0.41% $    
    Total Currency Forwards $(168,539)  -0.41% $    
    Total Open Trade Equity (Deficit) $599,579   1.45% $    
OPTIONS PURCHASED*               
    Various energy futures contracts (U.S.) $     $    
    Various soft futures contracts (U.S.)            
    Various stock index futures contracts (U.S.)            
    Total Options Purchased $   �� $    
OPTIONS WRITTEN*                
    Various energy futures contracts (U.S.) $     $    
    Various soft futures contracts (U.S.)            
    Various stock index futures contracts (U.S.)            
    Total Options Written $     $    
SWAPS (1)                
    Frontier Brevan Howard swap (U.S.) $     $7,960,268   51.44%
    Total Swaps $     $7,960,268   51.44%
INVESTMENT IN UNCONSOLIDATED COMPANIES (1)                
    Equinox Frontier Trading Company II, LLC $     $1,248,467   8.07%
    Equinox Frontier Trading Company XXXVIII, LLC  297,554   0.72%  157,119   1.02%
    Total Investment in Unconsolidated Trading Companies $297,554   0.72% $1,405,586   9.09%
                     
      Fair Value      Fair Value     
U.S. TREASURY SECURITIES (2)                
FACE VALUE                
$67,000,000  US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) $18,747,748   45.38% $4,195,068   27.11%
$20,000,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)  5,870,069   14.21%  1,313,509   8.49%
      $24,617,817   59.59% $5,508,577   35.60%
                     
      Face Value      Face Value     
Additional Disclosure on U.S. Treasury Securities                
    US Treasury Note 6.000% due 02/15/2026 (2) $14,039,970      $3,141,637     
    US Treasury Note 6.875% due 08/15/2025 (2)  4,191,036       937,802     
      $18,231,006      $4,079,439     
                     
      Cost      Cost     
Additional Disclosure on U.S. Treasury Securities                
    US Treasury Note 6.000% due 02/15/2026 (2) $18,727,332      $4,190,501     
    US Treasury Note 6.875% due 08/15/2025 (2)  5,870,069       1,313,509     
      $24,597,401      $5,504,010     

 

*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 Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedules of Investments

December 31, 2013

   Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 

Description

  Fair Value   % of Total Capital
(Net Asset Value)
  Fair Value   % of Total Capital
(Net Asset Value)
 

Swaps (1)

       

Frontier Brevan Howard swap (U.S.)

  $—       0.00 $5,435,184     32.75
  

 

 

   

 

 

  

 

 

   

 

 

 

Total Swaps

  $—       0.00 $5,435,184     32.75
  

 

 

   

 

 

  

 

 

   

 

 

 

U.S. TREASURY SECURITIES (2)

       
   Fair Value      Fair Value     

U.S. Treasury Note 1.125% due 12/31/2019 (Cost $11,178,122)

  $1,546,657     4.22 $494,659     2.98

U.S. Treasury Note 2.000% due 09/30/2020 (Cost $11,611,497)

   1,600,175     4.37  511,775     3.08

U.S. Treasury Note 2.500% due 08/15/2023 (Cost $25,034,823)

   3,414,067     9.32  1,091,902     6.58

U.S. Treasury Note 2.125% due 08/15/2021 (Cost $13,066,678)

   1,792,104     4.89  573,159     3.45

U.S. Treasury Note 2.000% due 11/15/2021 (Cost $12,945,421)

   1,765,763     4.82  564,734     3.40

U.S. Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   13,610,622     37.17  4,353,009     26.24

U.S. Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   3,871,317     10.57  1,238,142     7.47
  

 

 

   

 

 

  

 

 

   

 

 

 
  $27,600,705     75.36 $8,827,380     53.20
  

 

 

   

 

 

  

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value      Face Value     

U.S. Treasury Note 1.125% due 12/31/2019

  $1,638,841     $524,142    

U.S. Treasury Note 2.000% due 09/30/2020

   1,638,841      524,142    

U.S. Treasury Note 2.500% due 08/15/2023

   3,562,699      1,139,438    

U.S. Treasury Note 2.125% due 08/15/2021

   1,852,603      592,508    

U.S. Treasury Note 2.000% due 11/15/2021

   1,852,603      592,508    

U.S. Treasury Note 6.000% due 02/15/2026

   10,688,096      3,418,314    

U.S. Treasury Note 6.875% due 08/15/2025

   2,850,159      911,550    
  

 

 

    

 

 

   
  $24,083,842     $7,702,602    
  

 

 

    

 

 

   
   Cost      Cost     

U.S. Treasury Note 1.125% due 12/31/2019

  $1,592,971     $509,471    

U.S. Treasury Note 2.000% due 09/30/2020

   1,654,731      529,223    

U.S. Treasury Note 2.500% due 08/15/2023

   3,567,661      1,141,025    

U.S. Treasury Note 2.125% due 08/15/2021

   1,862,105      595,547    

U.S. Treasury Note 2.000% due 11/15/2021

   1,844,825      590,020    

U.S. Treasury Note 6.000% due 02/15/2026

   14,190,831      4,538,575    

U.S. Treasury Note 6.875% due 08/15/2025

   4,036,199      1,290,875    
  

 

 

    

 

 

   
  $28,749,323     $9,194,736    
  

 

 

    

 

 

   

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

F-12

The SeriesTable of Equinox Frontier FundsContents

Statements of Operations

For the years Ended December 31, 2014, 2013 and 2012

The Series of Equinox Frontier Funds
Statements of Operations
For the Years Ended December 31, 2016, 2015 and 2014

 

 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short Commodity Fund 
       
 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/
Short Commodity Fund
  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                                     

Investment income:

                                             

Interest—net

 $579,067   $1,544,382   $2,199,327   $298,175   $757,793   $1,038,493   $216,027   $945,988   $1,385,312  
Interest - net $323,854  $603,350  $579,067  $133,801  $260,900  $298,175  $21,855  $141,120  $216,027 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Total Income

  579,067    1,544,382    2,199,327    298,175    757,793    1,038,493    216,027    945,988    1,385,312    323,854   603,350   579,067   133,801   260,900   298,175   21,855   141,120   216,027 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Expenses:

                                             

Incentive Fees

  4,461,365    760,048    3,269,159    1,123,545    —      488,081    253,177    —      1,059,104    1,144,159   2,068,435   4,461,365   245,244   618,626   1,123,545   46,931   322,090   253,177 

Management Fees

  1,042,209    1,417,230    1,896,102    903,032    1,271,594    1,429,284    821,891    2,055,684    3,459,419    503,844   983,948   1,042,209   452,071   696,963   903,032   201,423   532,836   821,891 

Service Fees—Class 1

  499,021    1,000,514    1,476,222    309,234    639,244    786,529    132,136    307,350    462,999  
Service Fees - Class 1  247,399   412,335   499,021   151,627   226,790   309,234   66,889   109,284   132,136 

Trading Fees

  1,287,161    2,113,117    2,955,458    603,389    1,045,459    1,312,873    280,737    658,060    1,029,157    1,435,003   1,394,350   1,287,161   537,884   579,677   603,389   191,525   243,193   280,737 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Total Expenses

  7,289,756    5,290,909    9,596,941    2,939,200    2,956,297    4,016,767    1,487,941    3,021,094    6,010,679    3,330,405   4,859,068   7,289,756   1,386,826   2,122,056   2,939,200   506,768   1,207,403   1,487,941 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Investment (loss)—net

  (6,710,689  (3,746,527  (7,397,614  (2,641,025  (2,198,504  (2,978,274  (1,271,914  (2,075,106  (4,625,367
Investment (loss) - net  (3,006,551)  (4,255,718)  (6,710,689)  (1,253,025)  (1,861,156)  (2,641,025)  (484,913)  (1,066,283)  (1,271,914)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Realized and unrealized gain/(loss) on investments:

                                             

Net realized gain/(loss) on futures, forwards and options

  15,855,703    734,081    —      —      —      1,805,910    (2,580,860  (3,943,031  (25,872,829     8,599,684   15,855,703            (90,214)     (2,580,860)
Net unrealized gain/(loss) on private investment companies  80,689         78,993         (216,197)      
Net realized gain/(loss) on private investment companies  277,315         73,108         13,263       

Net change in open trade equity/(deficit)

  1,421,570    (566,777  —      —      —      (776,298  961,346    (332,329  20,181,816       450,401   1,421,570            693,263      961,346 

Net realized gain/(loss) on swap contracts

  —      —      —      —      —      (55,669  —      —      (58,693

Net unrealized gain/(loss) on swap contracts

  3,132,776    37,632    (106,862  —      —      (2,775  1,176,514    (423,454  (20,529  (48,002)  2,115,441   3,132,776            (111,960)  (300,633)  1,176,514 

Net realized gain/(loss) on U.S. Treasury securities

  (84,779  221,284    (23,719  (51,271  107,483    222,749    (36,613  138,776    289,571    1,794,297   270,582   (84,779)  483,811   111,668   (51,271)  103,299   46,795   (36,613)

Net unrealized gain/(loss) on U.S. Treasury securities

  2,895,653    (1,417,353  461,598    1,525,265    (785,652  (343,628  1,119,787    (731,749  (446,969  (990,689)  (516,327)  2,895,653   (227,159)  (198,693)  1,525,265   193,551   (204,014)  1,119,787 

Trading commissions

  (543,142  (5,417  (719,255  —      —      (171,933  (415,315  (1,332,595  (1,813,623  (62)  (443,692)  (543,102)           (1,085)     (415,315)

Change in fair value of investments in unconsolidated trading companies

  5,136,823    (4,524,387  2,466,586    6,619,189    (1,374,353  2,867,366    1,357,919    (676,035  (3,343,198  3,056,293   841,908   5,136,823   1,336,408   1,485,938   6,619,189   (100,301)  66,041   1,357,919 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

Net gain/(loss) on investments

  27,814,604    (5,520,937  2,078,348    8,093,183    (2,052,522  3,545,722    1,582,778    (7,300,417  (11,084,454  4,169,841   11,317,997   27,814,644   1,745,161   1,398,913   8,093,183   483,619   (391,811)  1,582,778 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

  21,103,955    (9,267,464  (5,319,266  5,452,158    (4,251,026  567,448    310,864    (9,375,523  (15,709,821  1,163,290   7,062,279   21,103,955   492,136   (462,243)  5,452,158   (1,294)  (1,458,094)  310,864 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

    ��                                

Less: Operations attributable to non-controlling interests

  6,816,250    —      —      —      —      (51,430  (766,822  (3,331,127  (9,167,707     4,476,587   6,816,250            131,876      (766,822)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

 $14,287,705   $(9,267,464 $(5,319,266 $5,452,158   $(4,251,026 $618,878   $1,077,686   $(6,044,396 $(6,542,114 $1,163,290  $2,585,692  $14,287,705  $492,136  $(462,243) $5,452,158  $(133,170) $(1,458,094) $1,077,686 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                     

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

                                             

Class 1

 $25.99   $(7.30 $(5.00 $24.78   $(9.28 $0.86    N/A    N/A   $(0.72 $0.91  $2.43  $25.99  $(0.07) $(3.74) $24.78    N/A    N/A    N/A 

Class 1a

  N/A    N/A    N/A    N/A    N/A    N/A   $8.39   $(15.85 $(13.13   N/A    N/A    N/A    N/A    N/A    N/A  $(1.98) $(6.36) $8.39 

Class 2

 $30.32   $(6.13 $(3.48 $29.07   $(8.15 $2.78   $13.04   $(20.39 $(16.32 $3.34  $4.93  $30.32  $2.18  $(1.93) $29.07  $(2.54) $(6.20) $13.04 

Class 2a

  N/A    N/A    N/A    N/A    N/A    N/A   $11.01   $(15.11 $(11.78   N/A    N/A    N/A    N/A    N/A    N/A  $(0.52) $(5.16) $11.01 

Class 3

 $30.82(2)   N/A(2)   N/A   $27.15(3)   N/A(3)   N/A   $13.04   $(20.39 $(16.27 $3.40  $4.84  $30.82  $2.32  $(1.49) $27.15  $(1.34) $(6.20) $13.04 

Class 3a

  N/A    N/A    N/A    N/A    N/A    N/A   $11.30(1)  $(9.13)(1)   N/A(1)    N/A    N/A    N/A    N/A    N/A    N/A  $0.64  $(4.91) $11.30 

 

(1)Class 3a operations began June 17, 2013.
(2)Class 3 operations began December 16, 2013.
(3)Class 3 operations began February 25, 2014.

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

F-13

The SeriesTable of the Equinox Frontier FundsContents

Statements of Operations

For the years Ended December 31, 2014, 2013 and 2012

  Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment income:

      

Interest—net

 $27,454   $280,359   $276,272   $—     $261,102   $263,049  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income/(loss)

  27,454    280,359    276,272    —      261,102    263,049  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

      

Incentive Fees

  3,620,437    1,348,994    7,081,173    363,142    —      65,989  

Management Fees

  1,092,555    1,556,049    2,533,302    496,959    626,553    1,272,443  

Service Fees—Class 1

  2,027,439    3,292,195    4,987,704    394,486    575,265    865,891  

Trading Fees

  694,288    1,153,606    1,784,001    109,839    163,311    244,837  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

  7,434,719    7,350,844    16,386,180    1,364,426    1,365,129    2,449,160  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss)—net

  (7,407,265  (7,070,485  (16,109,908  (1,364,426  (1,104,027  (2,186,111
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

      

Net realized gain/(loss) on futures, forwards and options

  14,306,201    5,897,135    22,272,341    —      —      —    

Net change in open trade equity/(deficit)

  (375,319  2,917,532    103,164    —      —      —    

Net realized gain/(loss) on swap contracts

  —      (3,554,723  (175,294  —      —      (34,232

Net unrealized gain/(loss) on swap contracts

  8,120,996    2,486,559    (1,334,281  —      —      (2,448

Net realized gain/(loss) on U.S. Treasury securities

  (152,688  362,137    757,245    (25,780  78,233    160,314  

Net unrealized gain/(loss) on U.S. Treasury securities

  4,748,522    (2,496,948  (1,186,676  679,186    (419,974  (239,713

Trading commissions

  (1,140,405  (1,768,376  (5,037,378  —      —      —    

Change in fair value of investments in unconsolidated trading companies

  6,355,205    (10,333,444  (8,016,764  3,146,402    1,862,939    (1,934,275

Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC

  —      —      —      —      —      (2,172,987

Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC

  —      —      —      —      —      2,084,880  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  31,862,512    (6,490,128  7,382,357    3,799,808    1,521,198    (2,138,461
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

  24,455,247    (13,560,613  (8,727,551  2,435,382    417,171    (4,324,572
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

  5,090,748    2,591,885    —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

 $19,364,501   $(16,152,498 $(8,727,551 $2,435,382   $417,171   $(4,324,572
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

      

Class 1

 $25.25   $(10.03 $(8.18 $15.75   $1.20   $(12.36

Class 1a

  N/A    N/A   $(4.13  N/A    N/A    N/A  

Class 1AP (1)

 $30.58    N/A    N/A   $21.29    N/A    N/A  

Class 2

 $38.67   $(8.71 $(5.82 $24.34   $4.59   $(12.29

Class 2a

 $34.22   $(5.56 $(3.99  N/A    N/A    N/A  

Class 3a

 $34.11   $(5.55 $(4.40  N/A    N/A    N/A  

(1)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally
(2)Class 1a operations ceased July 17, 2012 and all remaing Class 1a Units were exchanged for Class 3a Units.

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

The Series of the Equinox Frontier Funds

Statements of Operations

For the Years Ended December 31, 2014, 20132016, 2015 and 20122014

 

 Equinox Frontier Balanced Fund Equinox Frontier Select Fund 
 Equinox Frontier Winton Fund Equinox Frontier Heritage Fund              
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 

Investment income/(loss):

      

Interest—net

 $55   $283,863   $531,125   $1   $109,122   $134,302  
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Income/(Loss)

  55    283,863    531,125    1    109,122    134,302  
Investment income:                        
Interest - net $96,270  $29,151  $27,454  $1,025  $  $ 
                        
Total Income  96,270   29,151   27,454   1,025       
 

 

  

 

  

 

  

 

  

 

  

 

                         

Expenses:

                              

Incentive Fees

  1,800,488    128,097    —      370,450    15,411    —      1,395,151   1,707,167   3,620,437   41,072   158,971   363,142 

Management Fees

  1,172,990    1,062,550    1,046,035    327,702    366,837    1,006,221    494,734   1,029,988   1,092,555   271,176   304,539   496,959 

Service Fees—Class 1

  724,365    857,710    1,046,931    270,399    423,800    624,024  
Risk analysis Fees  4,844         14,228       
Service Fees - Class 1  1,833,220   2,113,776   2,027,439   351,053   395,169   394,486 

Trading Fees

  263,069    292,162    342,792    88,113    132,205    192,557    909,129   740,451   694,288   115,267   110,262   109,839 
Other Fees                  
 

 

  

 

  

 

  

 

  

 

  

 

                         

Total Expenses

  3,960,912    2,340,519    2,435,758    1,056,664    938,253    1,822,802    4,637,078   5,591,382   7,434,719   792,796   968,941   1,364,426 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Investment (loss)—net

  (3,960,857  (2,056,656  (1,904,633  (1,056,663  (829,131  (1,688,500
Investment (loss) - net  (4,540,808)  (5,562,231)  (7,407,265)  (791,771)  (968,941)  (1,364,426)
 

 

  

 

  

 

  

 

  

 

  

 

                         

Realized and unrealized gain/(loss) on investments:

                              

Net realized gain/(loss) on futures, forwards and options

  —      —      —      —      —      —      3,778,432   (164,986)  14,306,201   2,106,971   1,385,609    
Net unrealized gain/(loss) on private investment companies  2,077,438                
Net realized gain/(loss) on private investment companies  412,944                

Net change in open trade equity/(deficit)

  —      —      —      —      —      —      (340,656)  (1,623,264)  (375,319)  187,115   (1,200,359)   

Net realized gain/(loss) on swap contracts

  —      —      (57,781  —      —      (30,602

Net unrealized gain/(loss) on swap contracts

  —      —      (7,291  2,105,281    591,793    943    (218,070)  910,566   8,120,996          

Net realized gain/(loss) on U.S. Treasury securities

  (59,132  115,236    239,553    (19,370  50,795    105,686    2,885,429   411,406   (152,688)  70,928   22,783   (25,780)

Net unrealized gain/(loss) on U.S. Treasury securities

  2,248,070    (915,676  (369,593  615,266    (333,572  (163,574  (1,874,454)  (1,350,252)  4,748,522   (199,159)  35,623   679,186 

Trading commissions

  —      —      —      —      —      —      (169,263)  (461,386)  (1,140,403)  (135,497)  (131,806)   

Change in fair value of investments in unconsolidated trading companies

  10,414,573    5,590,566    (1,161,451  2,137,441    2,207,133    (594,397  3,934,786   6,607,271   6,355,205   368,596   161,067   3,146,402 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net gain/(loss) on investments

  12,603,511    4,790,126    (1,356,563  4,838,618    2,516,149    (681,944  10,486,586   4,329,355   31,862,514   2,398,954   272,917   3,799,808 
 

 

  

 

  

 

  

 

  

 

  

 

                         

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

  8,642,654    2,733,470    (3,261,196  3,781,955    1,687,018    (2,370,444  5,945,778   (1,232,876)  24,455,249   1,607,183   (696,024)  2,435,382 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Less: Operations attributable to non-controlling interests

  —      —      —      969,107    264,017    —      648,112   259,719   5,090,748   989,394   34,600    
 

 

  

 

  

 

  

 

  

 

  

 

                         

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

 $8,642,654   $2,733,470   $(3,261,196 $2,812,848   $1,423,001   $(2,370,444 $5,297,666  $(1,492,595) $19,364,501  $617,789  $(730,624) $2,435,382 
 

 

  

 

  

 

  

 

  

 

  

 

                         

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

                              

Class 1

 $36.36   $8.86   $(10.40 $28.23   $7.50   $(10.18 $6.77  $(3.51) $25.25  $3.71  $(5.26) $15.75 

Class 1AP (1)

 $39.25    N/A    N/A   $33.13    N/A    N/A  
Class 1AP $11.38  $0.39  $30.58  $6.88  $(2.54) $21.29 

Class 2

 $52.06   $15.87   $(7.52 $42.35   $13.54   $(9.03 $15.30  $0.53  $38.67  $9.14  $(3.37) $24.34 
Class 2a $14.17  $1.86  $34.22   N/A   N/A   N/A 
Class 3a $14.12  $1.85  $34.11   N/A   N/A   N/A 

 

(1)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally

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

F-14

The Series of the Equinox Frontier Funds

Statements of Operations

For the Years Ended December 31, 2016, 2015 and 2014

  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
                   
  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014 
                         
Investment income:                        
Interest - net $7,717  $28  $55  $1,430  $1  $1 
                         
Total Income  7,717   28   55   1,430   1   1 
                         
Expenses:                        
Incentive Fees  99,067   715,409   1,800,488   9,072   132,676   370,450 
Management Fees  1,069,141   1,199,380   1,172,990   242,764   280,570   327,702 
Risk analysis Fees  70,193                
Service Fees - Class 1  681,308   764,354   724,365   254,775   287,946   270,399 
Trading Fees  320,680   288,023   263,069   104,146   96,359   88,113 
                         
Total Expenses  2,240,389   2,967,166   3,960,912   610,757   797,551   1,056,664 
                         
Investment (loss) - net  (2,232,672)  (2,967,138)  (3,960,857)  (609,327)  (797,550)  (1,056,663)
                         
Realized and unrealized gain/(loss) on investments:                        
Net realized gain/(loss) on futures, forwards and options  592,863   3,365,969             
Net change in open trade equity/(deficit)  466,267   (2,127,402)            
Net unrealized gain/(loss) on swap contracts           431,146   419,803   2,105,281 
Net realized gain/(loss) on U.S. Treasury securities  1,975,992   230,502   (59,132)  395,730   52,675   (19,370)
Net unrealized gain/(loss) on U.S. Treasury securities  (1,697,773)  (600,814)  2,248,070   (386,234)  (137,580)  615,266 
Trading commissions  (85,587)  (45,180)     (7,026)      
Change in fair value of investments in unconsolidated trading companies  (180,413)  557,550   10,414,573   91,166   220,267   2,137,441 
                         
Net gain/(loss) on investments  1,071,349   1,380,625   12,603,511   524,782   555,165   4,838,618 
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  (1,161,323)  (1,586,513)  8,642,654   (84,545)  (242,385)  3,781,955 
                         
Less: Operations attributable to non-controlling interests  464,175   574,125      217,092   208,163   969,107 
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS $(1,625,498) $(2,160,638) $8,642,654  $(301,637) $(450,548) $2,812,848 
                         
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT                        
Class 1 $(9.66) $(11.78) $36.36  $(4.69) $(6.01) $28.23 
Class 1AP $(5.14) $(6.87) $39.25  $(1.07) $(2.26) $33.13 
Class 2 $(6.53) $(8.72) $52.06  $(1.44) $(3.02) $42.35 

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

F-15

The Series of Equinox Frontier Funds

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2014, 20132016, 2015 and 20122014

 

  Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund 
  Class 1  Class 1  Class 2  Class 2  Class 3 (2)  Class 3 (2)        Class 1  Class 1  Class 2  Class 2  Class 3  Class 3       
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total 

Owners’ Capital, December 31, 2011

 $27,334   $72,397,572   $1,486,740   $60,061,958   $—     $—     $—     $133,973,604   $27,569   $34,062,567   $589,893   $18,144,968   $—     $—     $58,412   $52,883,409  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Sale of Units

  —      5,284,631    —      8,821,416    —      —      —      14,106,047    —      7,569,805    —      2,139,804    —      —      —      9,709,609  

Redemption of Units

  —      (15,292,787  —      (12,286,026  —      —      —      (27,578,813  —      (7,177,491  —      (4,489,835  —      —      —      (11,667,326

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      (2,278,332  (2,278,332

Contributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      6,455,785    6,455,785  

Distributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      (4,184,435  (4,184,435

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      (51,430  (51,430

Net increase/(decrease) in Owners’ Capital resulting from operations

  (1,375  (3,415,439  (49,767  (1,852,685  —      —      —      (5,319,266  235    120,814    15,615    482,214    —      —      —      618,878  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2012

  25,959    58,973,977    1,436,973    54,744,663    —      —      —      115,181,572    27,804    34,575,695    605,508    16,277,151    —      —      —      51,486,158  

Sale of Units

  —      1,513,497    —      5,658,402    —      —      —      7,171,899    —      2,886,992    —      599,084    24,204    214,371    —      3,724,651  

Redemption of Units

  —      (26,569,016  —      (23,057,953  —      —      —      (49,626,969  (24,204  (11,232,717  —      (5,932,078  —      —      —      (17,188,999

Net increase/(decrease) in Owners’ Capital resulting from operations

  (2,006  (5,198,364  (87,637  (3,979,457  —      —      —      (9,267,464  (3,600  (3,114,475  (45,840  (1,097,663  1,070    9,482    —      (4,251,026
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund 
  Class 1  Class 1  Class 2  Class 2  Class 3 (2)  Class 3 (2)        Class 1  Class 1  Class 2  Class 2  Class 3  Class 3       
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total 

Owners’ Capital, December 31, 2013

  23,953    28,720,094    1,349,336    33,365,655    —      —      —      63,459,038    —      23,115,495    559,668    9,846,494    25,274    223,853    —      33,770,784  

Sale of Units

  —      954,684    —      695,759    23,159    5,610,324    —      7,283,926    —      574,921    —      35,000    —      5,049,885    —      5,659,806  

Redemption of Units

  (23,159  (14,916,417  —      (8,646,009  —      (1,437,479  —      (25,023,060  —      (14,142,871  —      (3,624,212  —      (1,407,811  —      (19,174,894

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      5,601,517    5,601,517    —      —      —      —      —      —      —      —    

Operations attributable to non-controlling interests

  —      —      —      —      —      —      6,816,250    6,816,250    —      —      —      —      —      —      —      —    

Net increase in capital resulting from operations attributable to controlling interest

                
  (794  4,436,675    1,167,543    7,292,008    8,473    1,383,804    —      14,287,705    —      2,303,366    163,539    1,888,254    7,467    1,089,532    —      5,452,158  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2014

 $—     $19,195,036   $2,516,879   $32,707,413   $31,632   $5,556,649   $12,417,767   $72,425,376   $—     $11,850,911   $723,207   $8,145,536   $32,741   $4,955,459   $—     $25,707,854  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital—Units, December 31, 2011

  275    728,370    14,301    577,736    —      —        275    339,777    5,627    173,083    —      —      

Sale of Units

  —      54,154    —      86,394    —      —        —      72,823    —      19,330    —      —      

Redemption of Units

  —      (157,784  —      (119,304  —      —        —      (70,626  —      (41,151  —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2012

  275    624,740    14,301    544,826    —      —        275    341,974    5,627    151,262    —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Sale of Units

  (275  17,085    275    61,537    —      —        —      29,925    —      5,701    275    2,436    

Redemption of Units

  —      (311,820  —      (253,012  —      —        (275  (120,181  —      (57,966  —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2013

  —      330,005    14,576    353,351    —      —        —      251,718    5,627    98,997    275    2,436    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Sale of Units

  —      10,369    —      6,902    —      63,274      —      5,990    —      364    —      53,790    

Redemption of Units

  —      (170,649  —      (92,295  —      (14,691    —      (156,076  —      (35,985  —      (14,604  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2014

  —      169,725    14,576    267,958    —      48,583      —      101,632    5,627    63,376    275    41,622    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   
    (1)     (1)     (1)       (1)     (1)     (1)   

  Equinox Frontier Diversified Fund Equinox Frontier Masters Fund
  Class 1 Class 1  Class 2 Class 2  Class 3 (2) Class 3 (2)      Class 1 Class 1  Class 2 Class 2  Class 3 Class 3     
  Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  

Non-

Controlling
Interests

 Total Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  

Non-

Controlling
Interests

 Total

Net asset value per unit at December 31, 2011

  $99.40    $103.96    $—        $100.25    $104.83    $—      

Change in net asset value per unit for the year ended December 31, 2012

   (5.00   (3.48   —         0.86     2.78     —      
  

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2012

   94.40     100.48     —         101.11     107.61     88.01    

Change in net asset value per unit for the year ended December 31, 2013

   (7.30   (6.13   —         (9.28   (8.15   3.90    
  

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2013

   87.10     94.35     84.21      $91.83    $99.46    $91.91    

Change in net asset value per unit for the year ended December 31, 2014

   25.99     30.32     30.82       24.78     29.07     27.15    
  

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2014

  $113.09    $124.67    $115.03      $116.61    $128.53    $119.06    
  

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   
  Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund 
  Class 1  Class 1  Class 2  Class 2  Class 3  Class 3        Class 1  Class 2  Class 2  Class 3  Class 3       
  Managing
Owner
  Limited Owners  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Non-
Controlling
Interests
  Total  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Non-
Controlling
Interests
  Total 
Owners’ Capital, December 31, 2013 $23,953  $28,720,094  $1,904,782  $32,810,209  $  $  $  $63,459,038  $23,115,495  $559,668  $9,846,494  $223,853  $25,274  $  $33,770,784 
                                                             
Sale of Units     954,684      695,759   23,159   5,610,324      7,283,926   574,921      35,000      5,049,885      5,659,806 
Redemption of Units  (23,159)  (14,916,417)     (8,646,009)     (1,437,479)     (25,023,064)  (14,142,871)     (3,624,212)     (1,407,811)     (19,174,894)
Change in control of ownership - Trading Companies                    5,601,517   5,601,517                      
Operations attributable to non-controlling interests                    6,816,250   6,816,250                      
Net increase/(decrease) in Owners’ Capital resulting from operations  (794)  4,436,675   612,097   7,847,454   8,473   1,383,804      14,287,709   2,303,366   163,539   1,888,254   (191,112)  1,288,111      5,452,158 
                                                             
Owners’ Capital, December 31, 2014     19,195,036   2,516,879   32,707,413   31,632   5,556,649   12,417,767   72,425,376   11,850,911   723,207   8,145,536   32,741   4,955,459      25,707,854 
                                                             
Sale of Units     1,849,550      4,193,326      6,490,334      12,533,210   2,092,649      174,300      3,820,000      6,086,949 
Redemption of Units     (10,085,317)     (6,595,532)     (2,875,045)     (19,555,894)  (5,299,823)     (1,041,711)     (2,162,727)     (8,504,261)
Change in control of ownership - Trading Companies                    (16,894,354)  (16,894,354)                     
Operations attributable to non-controlling interests                    4,476,587   4,476,587                      
Payment made by the Managing Owner     47,134      82,416      14,799      144,349                      
Net increase/(decrease) in Owners’ Capital resulting from operations     807,831   99,379   1,629,219   1,332   47,931      2,585,692   (319,937)  (10,816)  (97,158)  (409)  (33,923)     (462,243)
                                                             
Owners’ Capital, December 31, 2015     11,814,234   2,616,258   32,016,842   32,964   9,234,668      55,714,966  $8,323,800  $712,391  $7,180,967  $32,332  $6,578,809  $  $22,828,299 
                                                             
Sale of Units     560,094      8,879,067      797,382      10,236,543   125,188      157,500            282,688 
Redemption of Units     (1,914,393)  (2,223,584)  (3,814,721)     (2,690,710)     (10,643,408)  (1,368,307)  (387,936)  (2,204,970)     (2,472,603)     (6,433,816)
Transfer of Units In(Out)     (5,531,885)           5,531,885         (1,835,158)           1,835,158       
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests     261,370   67,522   690,197   935   143,266      1,163,290   116,103   12,236   187,374   638   175,785      492,136 
                                                             
Owners’ Capital, December 31, 2016 $  $5,189,420  $460,196  $37,771,385  $33,899  $13,016,491  $  $56,471,391  $5,361,626  $336,691  $5,320,871  $32,970  $6,117,149  $  $17,169,307 
                                                             
Owners’ Capital - Units, December 31, 2013     329,730   20,188   347,739                 251,718   5,627   98,997   275   2,436         
                                                             
Sale of Units     10,369      6,902   275   62,999           5,990      364      53,790         
Redemption of Units     (170,374)     (92,295)     (14,691)          (156,076)     (35,985)     (14,604)        
                                                             
Owners’ Capital - Units, December 31, 2014     169,725   20,188   262,346   275   48,308           101,632   5,627   63,376   275   41,622         
                                                             
Sale of Units     15,495      31,914      51,978           17,886      1,377      32,012         
Redemption of Units     (82,951)     (47,208)     (23,245)          (45,771)     (8,033)     (17,679)        
                                                             
Owners’ Capital - Units, December 31, 2015     102,269   20,188   247,052   275   77,041           73,747   5,627   56,720   275   55,955         
                                                             
Sale of Units (including transfers)     4,688      55,161      50,540           1,044      1,216      14,898         
Redemption of Units (including transfers)     (62,388)  (16,726)  (18,089)     (21,987)          (27,261)  (3,012)  (16,618)     (19,831)        
                                                             
Owners’ Capital - Units, December 31, 2016     44,569   3,462   284,124   275   105,594           47,530   2,615   41,318   275   51,022         
                                                             
               (1)       (1)                   (1)       (1)         
Net asset value per unit at December 31, 2013     $87.10      $94.35      $84.21           91.83       99.46       91.91         
                                                             
Change in net asset value per unit for the year ended December 31, 2014      25.99       30.32       30.82           24.78       29.07       27.15         
                                                             
Net asset value per unit at December 31, 2014      113.09       124.67       115.03           116.61       128.53       119.06         
                                                             
Change in net asset value per unit for the year ended December 31, 2015      2.43       4.93       4.84           (3.74)      (1.93)      (1.49)        
                                                             
Net asset value per unit at December 31, 2015      115.52       129.60       119.87          $112.87      $126.60      $117.57         
                                                             
Change in net asset value per unit for the Twelve months ended December 31, 2016      0.91       3.34       3.40           (0.07)      2.18       2.32         
                                                             
Net asset value per unit at December 31, 2016     $116.43      $132.94      $123.27          $112.80      $128.78      $119.89         

 

(1)Values are for both the Managing Owner and Limited Owners.
(2)Class 3 trading began on February 24, 2014.

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

F-16

The SeriesTable of Equinox Frontier FundsContents

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2014, 2013 and 2012

The Series of Equinox Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 2014

 

     Equinox Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1a  Class 1a  Class 2a  Class 3a       
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total 

Owners’ Capital, December 31, 2011

 $4,159,047   $499,336   $8,689,426   $27,810,058   $14,271   $18,877,124   $282,740   $10,628,724   $—     $—     $10,223,579   $81,184,305  

Sale of Units

  9,530    —      —      3,925,505    —      4,928,552    —      3,738,903    —      —      —      12,602,490  

Redemption of Units

  (4,103,566  —      (1,435,641  (9,676,302  —      (2,574,932  —      (2,705,180  —      —      —      (20,495,621

Change in control of ownership - Trading Companies

   —      —      —      —      —      —      —      —      —      7,337,360    7,337,360  

Contributions

  —      —      —      —      —      —      —      —      —      —      55,863,801    55,863,801  

Distributions

  —      —      —      —      —      —      —      —      —      —      (59,430,350  (59,430,350

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      —      —      (9,167,707  (9,167,707

Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests

  (65,011  (50,325  (804,011  (2,298,214  (1,539  (2,259,938  (26,180  (1,036,896  —      —      —      (6,542,114
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2012

  —      449,011    6,449,774    19,761,047    12,732    18,970,806    256,560    10,625,551    —      —      4,826,683    61,352,164  

Sale of Units

  —      —      —      —      —      732,853    —      251,400    11,990    298,712    —      1,294,955  

Redemption of Units

  —      —      (2,799,533  (8,155,026  (11,990  (8,669,037  —      (6,987,180  —      (48,178  —      (26,670,944

Change in control of ownership - Trading Companies

   —      —      —      —      —      —      —      —      —      168,081    168,081  

Contributions

  —      —      —      —      —      —      —      —      —      —      6,938,123    6,938,123  

Distributions

  —      —      —      —      —      —      —      —      —      —      (5,372,718  (5,372,718

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      —      —      (3,331,127  (3,331,127

Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests

  —      (62,840  (664,614  (1,986,425  (742  (2,281,796  (33,589  (1,009,337  (999  (4,054  —      (6,044,396
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2013

  —      386,171    2,985,627    9,619,596    —      8,752,826    222,971    2,880,434    10,991    246,480    3,229,042    28,334,138  

Sale of Units

  —      —      —      —      —      107,716    —      —      —      514,745    —      622,461  

Redemption of Units

  —      —      (2,130,879  (2,978,679  —      (3,407,382  —      (1,485,154  —      (186,230  —      (10,188,324

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      —      —      (2,462,220  (2,462,220

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      —      —      (766,822  (766,822

Net increase/(decrease) in Owners’

            

Capital resulting from operations attributable to controlling interests

  —      40,206    (34,644  592,182    —      323,746    24,463    59,837    1,237    70,659    —      1,077,686  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2014

 $—     $426,377   $820,104   $7,233,099   $—     $5,776,906   $247,434   $1,455,117   $12,228   $645,654   $—     $16,616,919  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital—Units, December 31, 2011

  30,551    3,083    53,648    171,708    117    155,099    2,222    83,538    —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Sale of Units

  71    —      —      24,441    —      41,131    —      29,630    —      —      

Redemption of Units

  (30,622  —      (9,364  (60,507  —      (21,517  —      (21,133  —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2012

  —      3,083    44,284    135,642    117    174,713    2,222    92,035    —      —      
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Sale of Units

  —      —      —      —      —      6,946    —      2,208    109    2,936    

Redemption of Units

  —      —      (20,449  (58,868  (117  (87,268  —      (65,535  —      (482  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2013

  —      3,083    23,835    76,774    —      94,391    2,222    28,708    109    2,454    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Sale of Units

  —      —      —      —      —      1,292    —      —      —      5,229    

Redemption of Units

  —      —      (17,905  (24,489  —      (38,553  —      (15,639  —      (1,906  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital—Units, December 31, 2014

  —      3,083    5,930    52,285    —      57,130    2,222    13,069    109    5,777    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   
        (1)     (1)     (1)   

     Equinox Frontier Long/Short Commodity Fund
  Class 1  Class 2  Class 3  Class 1a Class 1a  Class 2a  Class 3a     
  Limited
Owners
  Managing
Owner
 Limited
Owners
  Limited
Owners
  Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  Managing
Owner
 Limited
Owners
  

Non-

Controlling
Interests

 Total

Net asset value per unit at December 31, 2011

  136.13     161.97    161.96     121.71     127.23     —      

Change in net asset value per unit for the year ended December 31, 2012

  (0.72   (16.32  (16.27   (13.13   (11.78   —      
 

 

 

   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2012

 $135.41(2)    145.65    145.69     108.58     115.45     109.60    
 

 

 

            

Change in net asset value per unit for the year ended December 31, 2013

    (20.39  (20.39   (15.85   (15.11   (9.13  
   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2013

   $125.26   $125.30    $92.73    $100.34    $100.47    

Change in net asset value per unit for the year ended December 31, 2014

    13.04    13.04     8.39     11.01     11.30    
   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

   

Net asset value per unit at December 31, 2014

   $138.30   $138.34    $101.12    $111.35    $111.77    
   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

   
  Equinox Frontier Long/Short Commodity Fund 
    
  Class 2  Class 3  Class 1a  Class 2a  Class 3a       
                      
  Managing                       Non-Controlling    
  Owner  Limited Owners  Limited Owners  Limited Owners  Managing Owner  Limited Owners  Managing Owner  Limited Owners  Interests  Total 
                               
Owners’ Capital, December 31, 2013 $386,171  $2,985,627  $9,619,596  $8,752,826  $222,971  $2,880,434  $10,991  $246,480  $3,229,042  $28,334,138 
                                         
Sale of Units           107,716            514,745      622,461 
Redemption of Units     (2,130,879)  (2,978,679)  (3,407,382)     (1,485,154)     (186,230)     (10,188,324)
Change in control of ownership - Trading Companies                          (2,462,220)  (2,462,220)
Contributions                              
Distributions                              
Operations attributable to non-controlling interests                          (766,822)  (766,822)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  40,206   (34,644)  592,182   323,746   24,463   59,837   1,237   70,659      1,077,686 
                                         
Owners’ Capital, December 31, 2014  426,377   820,104   7,233,099   5,776,906   247,434   1,455,117   12,228   645,654      16,616,919 
                                         
Sale of Units           67,800      29,300      415,099      512,199 
Redemption of Units     (226,318)  (1,101,195)  (1,587,283)     (402,748)     (167,791)     (3,485,335)
Change in control of ownership - Trading Companies                              
Contributions                              
Distributions                              
Payment made by the Managing Owner      69,364   397,940   312,393       90,860       36,605       907,162 
Operations attributable to non-controlling interests                              
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  (19,122)  (76,805)  (623,175)  (516,062)  (11,463)  (120,835)  (538)  (90,094)     (1,458,094)
                                         
Owners’ Capital, December 31, 2015  407,255   586,345   5,906,669   4,053,754   235,971   1,051,694   11,690   839,473      13,092,851 
                                         
Sale of Units                       314,062      314,062 
Redemption of Units  (100,160)  (67,136)  (1,457,594)  (1,858,010)     (314,992)     (210,324)     (4,008,216)
Transfer of Units In(Out)           (220,002)           220,002       
Change in control of ownership - Trading Companies                          (131,876)  (131,876)
Operations attributable to non-controlling interests                          131,876   131,876 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  (7,206)  (10,735)  (43,212)  (62,147)  (1,229)  (8,249)  25   (417)     (133,170)
                                         
Owners’ Capital, December 31, 2016 $299,889  $508,474  $4,405,863  $1,913,595  $234,742  $728,453  $11,715  $1,162,796  $  $9,265,527 
                                         
Owners’ Capital - Units, December 31, 2013  3,083   23,835   76,774   94,391   2,222   28,708   109   2,454         
                                         
Sale of Units           1,292            5,229         
Redemption of Units     (17,905)  (24,489)  (38,553)     (15,639)     (1,906)        
                                         
Owners’ Capital - Units, December 31, 2014  3,083   5,930   52,285   57,130   2,222   13,069   109   5,777         
                                         
Sale of Units           648      276      3,511         
Redemption of Units     (1,491)  (7,583)  (15,000)     (3,440)     (1,432)        
                                         
Owners’ Capital - Units, December 31, 2015  3,083   4,439   44,702   42,778   2,222   9,905   109   7,856         
                                         
Sale of Units (including transfers)                       4,929         
Redemption of Units (including transfers)  (767)  (515)  (11,017)  (22,150)     (3,012)     (1,969)        
                                         
Owners’ Capital - Units, December 31, 2016  2,316   3,924   33,685   20,628   2,222   6,893   109   10,816         
                                         
      (1)              (1)      (1)         
Net asset value per unit at December 31, 2013     $125.26  $125.30  $92.73      $100.34      $100.47         
                                         
Change in net asset value per unit for the year ended December 31, 2014      13.04   13.04   8.39       11.01       11.30         
                                         
Net asset value per unit at December 31, 2014      138.30   138.34   101.12       111.35       111.77         
                                         
Change in net asset value per unit for the year ended December 31, 2015      (6.20)  (6.20)  (6.36)      (5.16)      (4.91)        
                                         
Net asset value per unit at December 31, 2015      132.10   132.14   94.76       106.19       106.86         
                                         
Change in net asset value per unit for the Twelve months ended December 31, 2016      (2.54)  (1.34)  (1.98)      (0.52)      0.64         
                                         
Net asset value per unit at December 31, 2016     $129.56  $130.80  $92.78      $105.67      $107.50         

 

(1)Values are for both the Managing Owner and Limited Owners.
(2)Class 1 operations ceased July 17, 2012 and all remaining Class 1a Units were exchanged for Class 3 Units.

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

F-17

The SeriesTable of Equinox Frontier FundsContents

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2014, 2013 and 2012

The Series of Equinox Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 2014

 

  Equinox Frontier Balanced Fund 
  Class 1  Class 1a (3)  Class 1AP (2)  Class 2  Class 2a  Class 3a       
  Limited
Owners
  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Limited
Owners
  

Non-

Controlling
Interests

  Total 

Owners’ Capital, December 31, 2011

 $183,785,318   $2,536,559   $—     $3,351,608   $60,020,959   $158,814   $2,626,016   $2,952,802   $40,633,336   $296,065,412  

Sale of Units

  476,872    482    —      —      16,101    —      —      2,264,602    —      2,758,057  

Redemption of Units

  (29,506,573  (2,524,092  —      —      (9,823,477  —      (1,734,065  (1,294,313  —      (44,882,520

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      (3,881,178  (3,881,178

Contributions

  —      —      —      —      —      —      —      —      151,972,482    151,972,482  

Distributions

  —      —      —      —      —      —      —      —      (148,335,019  (148,335,019

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      4,427,312    4,427,312  

Net increase/(decrease) in Owners’

          

Capital resulting from operations attributable to controlling interests

  (10,848,745  (12,949  —      (125,824  (1,979,799  (4,930  (36,315  (146,301  —      (13,154,863
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2012

  143,906,872    —      —      3,225,784    48,233,784    153,884    855,636    3,776,790    44,816,933    244,969,683  

Sale of Units

  268,363    —      —      —      14,888    —      —      —      —      283,251  

Redemption of Units

  (51,009,054  —      —      (1,547,933  (19,738,454  —      (458,658  (1,302,545  —      (74,056,644

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      (58,711,893  (58,711,893

Contributions

  —      —      —      —      —      —      —      —      78,053,072    78,053,072  

Distributions

  —      —      —      —      —      —      —      —      (55,150,629  (55,150,629

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      2,591,885    2,591,885  

Net increase/(decrease) in Owners’

          

Capital resulting from operations attributable to controlling interests

  (12,364,647  —      —      (303,318  (3,273,634  (6,881  (52,402  (151,616  —      (16,152,498
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2013

  80,801,534    —      —      1,374,533    25,236,584    147,003    344,576    2,322,629    11,599,368    121,826,227  

Sale of Units

  154,471    —      1,011,652    —      14,424    —      —      —      —      1,180,547  

Redemption of Units

  (22,310,597  —      (453,561  (250,000  (7,840,417  —      (30,794  (360,701  —      (31,246,070

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      (7,745,842  (7,745,842

Contributions

  —      —      —      —      —      —      —      —      —      —    

Distributions

  —      —      —      —      —      —      —      —      —      —    

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      5,090,748    5,090,748  

Net increase/(decrease) in Owners’

          

Capital resulting from operations attributable to controlling interests

  13,452,867    —      190,184    300,822    4,714,751    42,341    97,161    566,375    —      19,364,501  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2014

 $72,098,275   $—     $748,275   $1,425,355   $22,125,342   $189,344   $410,943   $2,528,303   $8,944,274   $108,470,111  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 Equinox Frontier Balanced Fund 
 Equinox Frontier Balanced Fund Class 1 Class 1AP Class 2  Class 2a  Class 3a      
 Class 1 Class 1a (3) Class 1AP (2) Class 2 Class 2a Class 3a                   
 Limited
Owners
 Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Limited
Owners
 

Non-

Controlling
Interests

 Total      Managing     Managing Limited     Non-Controlling    

Owners’ Capital—Units, December 31, 2011

  1,476,131    23,388    —      21,620    387,173    1,237    20,460    23,005    
 Limited Owners Limited Owners Owner Limited Owners Owner Owners Limited Owners Interests Total 
                   
Owners’ Capital, December 31, 2013 $80,801,534  $  $1,374,533  $25,236,584  $147,003  $344,576  $2,322,629  $11,599,368  $121,826,227 
                                    
Sale of Units  154,471   1,011,652      14,424               1,180,547 
Redemption of Units  (22,310,597)  (453,561)  (250,000)  (7,840,417)     (30,794)  (360,701)     (31,246,070)
Change in control of ownership - Trading Companies                       (7,745,842)  (7,745,842)
Contributions                           
Distributions                           
Operations attributable to non-controlling interests                       5,090,748   5,090,748 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  13,452,867   190,184   300,822   4,714,751   42,341   97,161   566,375      19,364,501 
                                    
Owners’ Capital, December 31, 2014  72,098,275   748,275   1,425,355   22,125,342   189,344   410,943   2,528,303   8,944,274   108,470,111 
                                    
Sale of Units  215,189   1,457      19,235               235,881 
Redemption of Units  (8,249,954)  (39,001)     (982,356)     (60,850)  (127,078)     (9,459,239)
Change in control of ownership - Trading Companies                       (8,052,252)  (8,052,252)
Contributions                           
Distributions                           
Payments made by the Managing Owner  115,486   1,222      38,375      885   4,131      160,099 
Operations attributable to non-controlling interests                       259,719   259,719 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  (1,615,659)  2,794   4,189   78,268   2,301   5,447   30,065      (1,492,595)
                                    
Owners’ Capital, December 31, 2015  62,563,337   714,747   1,429,544   21,278,864   191,645   356,425   2,435,421   1,151,741   90,121,724 
                                    
Sale of Units  214,073      4,923   14,548               233,544 
Redemption of Units  (8,950,159)  (95,000)  (1,020,943)  (1,160,034)     (78,366)  (897,320)     (12,201,822)
Transfer of Units In(Out)                           
Change in control of ownership - Trading Companies                       (1,799,853)  (1,799,853)
Operations attributable to non-controlling interests                       648,112   648,112 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  3,128,120   57,434   116,863   1,737,792   17,467   29,085   210,905      5,297,666 
                                    
Owners’ Capital, December 31, 2016 $56,955,371  $677,181  $530,387  $21,871,170  $209,112  $307,144  $1,749,006  $  $82,299,371 
                                    
Owners’ Capital - Units, December 31, 2013  760,206      9,784   179,627   1,237   2,901   19,615         
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Sale of Units

  3,904    4    —      —      104    —      —      17,592      1,437   9,858      102                  

Redemption of Units

  (242,862  (23,392  —      —      (64,003  —      (13,580  (10,128    (213,526)  (4,240)  (1,828)  (56,238)     (215)  (3,038)        
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Owners’ Capital—Units, December 31, 2012

  1,237,173    —      —      21,620    323,274    1,237    6,880    30,469    
Owners’ Capital - Units, December 31, 2014  548,117   5,618   7,956   123,491   1,237   2,686   16,577         
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Sale of Units

  2,461    —      —      —      106    —      —      —        1,584   10      101                  

Redemption of Units

  (479,428  —      —      (11,836  (143,753  —      (3,979  (10,854    (61,021)  (277)     (5,173)     (384)  (801)        
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Owners’ Capital—Units, December 31, 2013

  760,206    —      —      9,784    179,627    1,237    2,901    19,615    
Owners’ Capital - Units, December 31, 2015  488,680   5,351   7,956   118,419   1,237   2,302   15,776         
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Sale of Units

  1,437    —      9,858    —      102    —      —      —      

Redemption of Units

  (213,526  —      (4,240  (1,828  (56,238  —      (215  (3,038  
Sale of Units (including transfers)  1,630         105                  
Redemption of Units (including transfers)  (67,780)  (680)  (5,236)  (6,358)     (485)  (5,396)        
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                       

Owners’ Capital—Units, December 31, 2014

  548,117    —      5,618    7,956    123,491    1,237    2,686    16,577    
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

   

Net asset value per unit at December 31, 2011

  124.50    108.45      155.02     128.35    128.36    

Change in net asset value per unit for the year ended December 31, 2012

  (8.18  (4.13    (5.82   (3.99  (4.40  
 

 

  

 

    

 

   

 

  

 

   

Net asset value per unit at December 31, 2012

  116.32   $104.32      149.20     124.36    123.96    
 

 

  

 

    

 

   

 

  

 

   

Change in net asset value per unit for the year ended December 31, 2013

  (10.03     (8.71   (5.56  (5.55  
Owners’ Capital - Units, December 31, 2016  422,530   4,671   2,720   112,166   1,237   1,817   10,380         
 

 

     

 

   

 

  

 

                                       
      (1   (1                (1)      (1)             

Net asset value per unit at December 31, 2013

 $106.29    $102.62    $140.49    $118.80   $118.41     $106.29  $102.62      $140.49      $118.80  $118.41         
                                    

Change in net asset value per unit for the year ended December 31, 2014

  25.25     30.58     38.67     34.22    34.11      25.25   30.58       38.67       34.22   34.11         
 

 

   

 

   

 

   

 

  

 

                                       

Net asset value per unit at December 31, 2014

 $131.54    $133.20    $179.16    $153.02   $152.52      131.54   133.20       179.16       153.02   152.52         
 

 

   

 

   

 

   

 

  

 

                                       
Change in net asset value per unit for the year ended December 31, 2015  (3.51)  0.39       0.53       1.86   1.85         
                                    
Net asset value per unit at December 31, 2015  128.03   133.59       179.69       154.88   154.37         
                                    
Change in net asset value per unit for the Twelve months ended December 31, 2016  6.77   11.38       15.30       14.17   14.12         
                                    
Net asset value per unit at December 31, 2016 $134.80  $144.97      $194.99      $169.05  $168.49         

 

(1)Values are for both the Managing Owner and Limited Owners.
(2)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally
(3)The Equinox Frontier Balanced Fund Class 1a ceased trading operations on July 17, 2012.

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

F-18

The SeriesTable of Equinox Frontier FundsContents

Statements of Changes in Owners’ Capital

For the Years Ended December 31, 2014, 2013 and 2012

The Series of Equinox Frontier Funds
Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 2014

 

  Equinox Frontier Select Fund  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
  Class 1  Class 1AP (2)  Class 2     Class 1  Class 1AP (2)  Class 2     Class 1  Class 1AP (2)  Class 2       
  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Total  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Total  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  

Non-

Controlling
Interests

  Total 

Owners’ Capital, December 31, 2011

 $35,180,631   $—     $7,878   $4,425,463   $39,613,972   $38,345,799   $—     $34,276   $11,668,049   $50,048,124   $24,783,519   $—     $55,553   $5,934,615   $—     $30,773,687  

Sale of Units

  31,560    —      —      —      31,560    204,803    —      —      —      204,803    59,915    —      —      —      —      59,915  

Redemption of Units

  (9,042,397  —      —      (933,922  (9,976,319  (5,169,260  —      —      (862,917  (6,032,177  (6,118,966  —      —      (1,590,653  —      (7,709,619

Net increase/(decrease) in Owners’

                

Capital resulting from operations attributable to controlling interests

  (3,903,036  —      (865  (420,671  (4,324,572  (2,736,134  —      (1,555  (523,527  (3,261,216  (2,043,970  —      (3,870  (322,604  —      (2,370,444
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2012

  22,266,758    —      7,013    3,070,870    25,344,641    30,645,208    —      32,721    10,281,605    40,959,534    16,680,498    —      51,683    4,021,358    —      20,753,539  

Sale of Units

  14,901    —      —      —      14,901    171,785    —      —      —      171,785    40,552    —      —      —      —      40,552  

Redemption of Units

  (6,736,727  —      —      (1,428,138  (8,164,865  (6,407,920  —      —      (832,032  (7,239,952  (6,463,086  —      —      (1,575,538  —      (8,038,624

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      2,151,620    2,151,620  

Contributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Distributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      264,017    264,017  

Net increase/(decrease) in Owners’

                

Capital resulting from operations attributable to controlling interests

  308,015    —      323    108,833    417,171    1,755,074    —      3,281    975,115    2,733,470    1,070,442    —      5,801    346,758    —      1,423,001  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2013

  15,852,947    —      7,336    1,751,565    17,611,848    26,164,147    —      36,002    10,424,688    36,624,837    11,328,406    —      57,484    2,792,578    2,415,637    16,594,105  

Sale of Units

  10,580    194,475    —      —      205,055    169,066    288,379    —      —      457,445    26,517    244,674    —      —      —      271,191  

Redemption of Units

  (4,337,542  (156,681  —      (488,584  (4,982,807  (5,054,720  (266,356  —      (352,627  (5,673,703  (3,615,044  (202,374  —      (417,710  —      (4,235,128

Change in control of ownership—Trading Companies

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      154,754    154,754  

Contributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Distributions

  —      —      —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Operations attributable to non-controlling interests

  —      —      —      —      —      —    �� —      —      —      —      —      —      —      —      969,107    969,107  

Net increase/(decrease) in Owners’

                

Capital resulting from operations attributable to controlling interests

  2,137,578    9,991    1,716    286,097    2,435,382    5,592,385    16,019    10,762    3,023,488    8,642,654    2,021,940    16,078    18,137    756,693    —      2,812,848  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, December 31, 2014

 $13,663,563   $47,785   $9,052   $1,549,078   $15,269,478   $26,870,878   $38,042   $46,764   $13,095,549   $40,051,233   $9,761,819   $58,378   $75,621   $3,131,561   $3,539,498   $16,566,877  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 Equinox Frontier Select Fund Equinox Frontier Winton Fund Equinox Frontier Heritage Fund 
 Equinox Frontier Select Fund Equinox Frontier Winton Fund Equinox Frontier Heritage Fund Class 1 Class 1AP Class 2       Class 1 Class 1AP Class 2       Class 1 Class 1AP Class 2      
 Class 1 Class 1AP (2) Class 2 Class 1 Class 1AP (2) Class 2 Class 1 Class 1AP (2) Class 2                       Non-                
 Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Total Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Total Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 

Non-

Controlling
Interests

 Total Limited Limited Managing Limited Non-Controlling     Limited Limited Managing Limited Controlling     Limited Limited Managing Limited Non-Controlling    

Owners’ Capital—Units, December 31, 2011

  386,533    —      70    39,571     271,704    —      207    70,368     236,649    —      428    45,755    
 Owners Owners Owner Owners Interests Total Owners Owners Owner Owners Interests Total Owners Owners Owner Owners Interests Total 
Owners’ Capital, December 31, 2013 $15,852,947  $  $7,336  $1,751,565  $  $17,611,848  $26,164,147  $  $36,002  $10,424,688  $  $36,624,837  $11,328,406  $  $57,484  $2,792,578  $2,415,637  $16,594,105 
                                                                        
Sale of Units  10,580   194,475            205,055   169,066   288,379            457,445   26,517   244,674            271,191 
Redemption of Units  (4,337,542)  (156,681)     (488,584)     (4,982,807)  (5,054,720)  (266,356)     (352,627)     (5,673,703)  (3,615,044)  (202,374)     (417,710)     (4,235,128)
Change in control of ownership - Trading Companies                                                  154,754   154,754 
Contributions                                                      
Distributions                                                      
Operations attributable to non-controlling interests                                                  969,107   969,107 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  2,137,578   9,991   1,716   286,097      2,435,382   5,592,385   16,019   10,762   3,023,488      8,642,654   2,021,940   16,078   18,137   756,693      2,812,848 
                                                                        
Owners’ Capital, December 31, 2014  13,663,563   47,785   9,052   1,549,078      15,269,478   26,870,878   38,042   46,764   13,095,549      40,051,233   9,761,819   58,378   75,621   3,131,561   3,539,498   16,566,877 
                                                                        
Sale of Units  18,418   930            19,348   175,616               175,616   41,712   1,288            43,000 
Redemption of Units  (1,275,096)        (187,051)     (1,462,147)  (2,337,287)        (787,381)     (3,124,668)  (766,234)        (312,995)     (1,079,229)
Change in control of ownership - Trading Companies              6,781,935   6,781,935               5,793,526   5,793,526               186,259   186,259 
Contributions                                                      
Distributions                                                      
Operations attributable to non-controlling interests              34,600   34,600               574,125   574,125               208,163   208,163 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  (696,368)  (1,350)  (238)  (32,668)     (730,624)  (1,686,407)  (1,466)  (1,802)  (470,963)     (2,160,638)  (408,571)  (1,143)  (1,292)  (39,542)     (450,548)
                                                                        
Owners’ Capital, December 31, 2015  11,710,517   47,365   8,814   1,329,359   6,816,535   19,912,590   23,022,800   36,576   44,962   11,837,205   6,367,651   41,309,194  $8,628,726  $58,523  $74,329  $2,779,024  $3,933,920  $15,474,522 
                                                                        
Sale of Units  16,022               16,022   159,082               159,082   35,716               35,716 
Redemption of Units  (1,700,518)  (21,949)     (25,360)     (1,747,827)  (1,620,516)        (88,086)     (1,708,602)  (871,326)  (56,051)     (90,031)     (1,017,408)
Change in control of ownership - Trading Companies              (3,698,113)  (3,698,113)              2,276,508   2,276,508               (1,003,733)  (1,003,733)
Operations attributable to non-controlling interests              989,394   989,394               464,175   464,175               217,092   217,092 
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests  514,681   4,481   583   98,044      617,789   (1,276,431)  (1,098)  (1,409)  (346,559)     (1,625,497)  (286,044)  3,354   (669)  (18,278)     (301,637)
                                                                        
Owners’ Capital, December 31, 2016 $10,540,702  $29,897  $9,397  $1,402,043  $4,107,816  $16,089,855  $20,284,935  $35,478   43,553  $11,402,560  $9,108,334  $40,874,860  $7,507,072  $5,826  $73,660  $2,670,715  $3,147,279  $13,404,552 
                                                                        
Owners’ Capital - Units, December 31, 2013  198,518      70   16,820           187,438      207   59,854           111,005      428   20,807         
                                                                        

Sale of Units

  361    —      —      —       1,520    —      —      —       595    —      —      —        133   2,575                 1,155   2,076                 253   2,477               

Redemption of Units

  (103,821  —      —      (8,723   (38,810  —      —      (5,416   (60,825  —      —      (12,430    (55,738)  (2,081)     (4,762)          (35,876)  (1,862)     (1,968)          (36,331)  (2,034)     (3,071)        
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

                                                                           

Owners’ Capital—Units, December 31, 2012

  283,073    —      70    30,848     234,414    —      207    64,952     176,419    —      428    33,325    
Owners’ Capital - Units, December 31, 2014  142,913   494   70   12,058           152,717   214   207   57,886           74,927   443   428   17,736         
                                                                        

Sale of Units

  187    —      —      —       1,279    —      —      —       411    —      —      —        193   9                 1,010                    315   9               

Redemption of Units

  (84,742  —      —      (14,028   (48,255  —      —      (5,098   (65,825  —      —      (12,518    (13,494)        (1,432)          (13,488)        (3,464)          (5,806)        (1,723)        
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

                                                                           

Owners’ Capital—Units, December 31, 2013

  198,518    —      70    16,820     187,438    —      207    59,854     111,005    —      428    20,807    

Sale of Units

  133    2,575    —      —       1,155    2,076    —      —       253    2,477    —      —      

Redemption of Units

  (55,738  (2,081  —      (4,762   (35,876  (1,862  —      (1,968   (36,331  (2,034  —      (3,071  
Owners’ Capital - Units, December 31, 2015  129,612   503   70   10,626           140,239   214   207   54,422           69,436   452   428   16,013         
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

                                                                           

Owners’ Capital—Units, December 31, 2014

  142,913    494    70    12,058     152,717    214    207    57,886     74,927    443    428    17,736    
Sale of Units (including transfers)  168                    963                    281                  
Redemption of Units (including transfers)  (17,721)  (207)     (182)          (9,919)        (378)          (6,938)  (407)     (495)        
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

                                                                           

Net asset value per unit at December 31, 2011

 $91.02   $—      $111.84    $141.13   $—      $165.82    $104.73   $—      $129.70    

Change in net asset value per unit for the year ended December 31, 2012

  (12.36  —       (12.29   (10.40  —       (7.52   (10.18  —       (9.03  
Owners’ Capital - Units, December 31, 2016  112,059   296   70   10,444           131,283   214   207   54,044           62,779   45   428   15,518         
 

 

  

 

   

 

   

 

  

 

   

 

   

 

  

 

   

 

                                                                           

Net asset value per unit at December 31, 2012

  78.66    —       99.55     130.73    —       158.30     94.55    —       120.67    

Change in net asset value per unit for the year ended December 31, 2013

  1.20    —       4.59     8.86    —       15.87     7.50    —       13.54    
 

 

  

 

   

 

   

 

  

 

   

 

   

 

  

 

   

 

                (1)                     (1)                     (1)        

Net asset value per unit at December 31, 2013

  79.86    75.53     104.14     139.59    138.93     174.17     102.05    98.80     134.21     $79.86  $75.53      $104.14          $139.59  $138.93      $174.17           102.05  $98.80       134.21         
                                                                        

Change in net asset value per unit for the year ended December 31, 2014

  15.75    21.29     24.34     36.36    39.25     52.06     28.23    33.13     42.35      15.75   21.29       24.34           36.36   39.25       52.06           28.23   33.13       42.35         
 

 

  

 

   

 

   

 

  

 

   

 

   

 

  

 

   

 

                                                                           

Net asset value per unit at December 31, 2014

 $95.61   $96.82    $128.48    $175.95   $178.18    $226.23    $130.28   $131.93    $176.56      95.61   96.82       128.48           175.95   178.18       226.23           130.28   131.93       176.56         
 

 

  

 

   

 

   

 

  

 

   

 

   

 

  

 

   

 

                                                                           
Change in net asset value per unit for the year ended December 31, 2015  (5.26)  (2.54)      (3.37)          (11.78)  (6.87)      (8.72)          (6.01)  (2.26)      (3.02)        
                                                                        
Net asset value per unit at December 31, 2015  90.35   94.28       125.11           164.17   171.31       217.51          $124.27  $129.67      $173.54         
                                                                        
Change in net asset value per unit for the Twelve months ended December 31, 2016  3.71   6.88       9.14           (9.66)  (5.14)      (6.53)          (4.69)  (1.07)      1.44         
                                                                        
Net asset value per unit at December 31, 2016 $94.06  $101.16      $134.25          $154.51  $166.17      $210.98          $119.58  $128.60      $172.10         

 

(1)Values are for both the Managing Owner and Limited Owners.
(2)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally

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

F-19

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the Years Ended December 31, 2014, 20132016, 2015 and 20122014

 

 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short Commodity Fund
 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short
Commodity Fund
  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                                     

Cash Flows from Operating Activities:

                                             

Net increase/(decrease) in capital resulting from operations

 $21,103,995   $(9,267,464 $(5,319,266 $5,452,158   $(4,251,026 $567,448   $310,864   $(9,375,523 $(15,709,821 $1,163,290  $7,062,279  $21,103,995  $492,136  $(462,243) $5,452,158  $(1,294) $(1,458,094) $310,864 

Adjustments to reconcile net increase/(decrease) in capital

         

resulting from operations to net cash provided by (used in)

         

operating activities:

         
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:                                    

Change in:

                                             

Net change in open trade equity/(deficit), at fair value

  (3,215,206  —      —      —      —      792,372    (191,069  (3,529,786  (22,213,823     3,215,206   (3,215,206)           (693,263)     (191,069)

Net change in options purchased, at fair value

  (288,413  —      —      —      —      —      98,740    2,802,590    (2,901,320     288,413   (288,413)                 98,740 

Net change in options written, at fair value

  253,018    —      —      —      —      —      (172,650  (756,040  928,690       (253,018)  253,018                  (172,650)

Net change in ownership allocation of U.S. Treasury securities

  (2,537,145  1,994,333    437,135    1,670,108    (2,345,194  (1,323,698  4,101,132    5,740,545    (906,246  1,325,836   (886,791)  (2,537,145)  1,494,674   2,661,543   1,670,108   717,209   2,673,304   4,101,132 

Net change in ownership allocation of custom time deposits

  —      2,640,745    1,255,558    —      7,088,729    (9,354,968  —      1,073,843    (1,750,221

Net change in ownership allocation of credit default swaps

  —      —      423      (1,219    (4,324

Net realized (gain) on swap contracts

  —      —      106,862    —      —      55,669    —      —      58,693  

Net unrealized (gain)/loss on swap contracts

  (3,132,777  (37,632  23,719    —      —      2,775    (1,176,515  423,454    20,529    48,002   (2,115,441)  (3,132,777)           111,960   300,633   (1,176,515)

Net unrealized (gain)/loss on U.S. Treasury securities

  (2,895,653  1,417,353    719,255    (1,525,265  785,652    343,628    (1,119,787  731,749    446,969    990,689   516,327   (2,895,653)  227,159   198,693   (1,525,265)  (193,551)  204,014   (1,119,787)

Net realized (gain)/loss on U.S. Treasury securities

  84,779    (221,284  (461,598  51,271    (107,483  (222,749  36,613    (138,776  (289,571  (1,794,297)  (270,582)  84,779   (483,811)  (111,668)  51,271   (103,299)  (46,795)  36,613 
Net unrealized gain/(loss) on private investment companies  (80,689)        (78,993)        216,197       
Net realized gain/(loss) on private investment companies  (277,315)        (73,108)        (13,263)      

(Purchases) sales of:

                                             

Purchases of swap contracts

  —      (3,400,000  —      —      —      —      —      (2,880,000  —                           (1,000,000)   

Sales of U.S. Treasury securities

  15,921,359    3,683,233    12,009,512    8,685,478    1,789,033    6,222,456    6,563,688    2,309,889    7,826,548    27,076,226   8,875,032   15,921,359   8,781,991   3,807,003   8,685,478   5,321,261   1,963,944   6,563,688 

Purchases of U.S. Treasury securities

  (3,569,582  (41,076,052  —      (1,657,268  (21,350,596   (900,875  (23,127,167 

Sales of custom time deposits

  —      64,234,395    7,187,810    —      31,200,148    3,966,650    —      40,253,896    3,484,028  
Purchase of U.S. Treasury securities  (6,518,818)  (4,787,243)  (3,569,582)  (2,380,650)  (2,291,604)  (1,657,268)  (948,803)  (1,395,765)  (900,875)
Purchase of Private Investment Companies  (40,310,981)        (5,984,940)        (7,427,743)      
Sale of Private Investment Companies  1,823,011         483,333         509,667       

Increase and/or decrease in:

                                             

Receivable from futures commission merchants

  (22,731,129  —      —      —      —      5,107,749    7,836,808    6,934,165    33,051,048       22,731,129   (22,731,129)                 7,836,808 

Change in control of ownership—trading companies

  5,601,517    —      —      —      —      (2,278,332  (2,462,220  168,081    7,337,360  

Contributions to trading companies

  —      —      —      —      —      6,455,785    —      6,938,123    55,863,801  

Distributions from trading companies

  —      —      —      —      —      (4,184,435  —      (5,372,718  (59,430,350
Change in control of ownership - trading companies     (16,894,354)  5,601,517                  (2,462,220)
Change in control of ownership - private investment companies                           

Investments in unconsolidated trading companies, at fair value

  14,242,893    21,989,154    (4,586,255  1,264,732    605,087    (5,053,883  (3,159,085  3,019,469    406,750    11,850,295   (9,499,828)  14,242,893   2,731,824   (1,507,952)  1,264,732   3,976,050   400,191   (3,159,085)

Prepaid service fees—Class 1

  (4,588  35,289    122,742    5,162    46,111    (6,326  3,202    38,297    54,499  
Prepaid service fees - Class 1  16,160   (6,626)  (4,588)  7,355   (1,352)  5,162   736   (231)  3,202 
Interest receivable  357,350   (1,892)  44,025   126,957   41,777   71,847   83,190   42,710   105,214 
Receivable from related parties  (189,387)     1,035   (151,487)     (990)  (86,061)     346 
Other assets     249,997   (249,997)     1,380         1,006    
Payable to related parties     (2,182,911)                     
Incentive fees payable to Managing Owner  (204,914)  (4,546)  1,812,275   (42,251)  (679,792)  722,043   (28,408)  (130,252)  158,660 
Management fees payable to Managing Owner  (58,444)  (4,507)  (15,018)  (4,500)  (9,823)  (42,530)  (48,210)  2,849   (59,522)
Interest payable to Managing Owner  (11,661)  (11,919)  (52)  (4,957)  (1,941)  (2,689)  (1,368)  (2,345)  (4,252)
Trading fees payable to Managing Owner  26,118   (17,885)  (3,182)  9,389   (7,411)  (16,775)  6,349   (7,307)  (10,352)
Service fees payable to Managing Owner  (1,827)  (245)  (11,358)  (3,061)  (5,162)  (18,598)  (3,299)  (3,721)  (4,403)
Payables to related parties  (2,126)  1   2,332            1,615,683       
Interest payable                       5    
Other liabilities  19,673         7,590      (1)  41       
                                    
Net cash provided by (used in) operating activities  (4,753,809)  6,000,596   20,413,128   5,154,650   1,631,448   14,658,683   3,009,781   1,544,146   9,954,537 
                                    
Cash Flows from Financing Activities:                                    
Proceeds from sale of units  10,236,543   12,533,210   7,283,926   282,688   6,086,949   5,659,806   314,062   512,199   622,461 
Payment for redemption of units  (10,643,408)  (19,555,894)  (25,023,060)  (6,433,816)  (8,504,261)  (19,174,893)  (4,008,216)  (3,485,335)  (10,188,324)
Payment made by the Managing Owner     144,349                  907,162    
Pending owner additions  (1,524)  (3)  (765)  (1,290)  (766)  704         (2)
Advance on unrealized Swap Appreciation  2,500,000                  115,000       
Owner redemptions payable  52,452   (48,923)  (290,488)  122,283   9,558   (71,188)  (796)  (18,782)  (88,311)
                                    
Net cash used in financing activities  2,144,063   (6,927,261)  (18,030,387)  (6,030,135)  (2,408,520)  (13,585,571)  (3,579,950)  (2,084,756)  (9,654,176)
                                    
Net increase (decrease) in cash and cash equivalents  (2,609,746)  (926,665)  2,382,741   (875,485)  (777,072)  1,073,112   (570,169)  (540,610)  300,361 
                                    
Cash and cash equivalents, beginning of period  3,283,973   4,210,638   1,827,897   1,421,994   2,199,066   1,125,954   570,169   1,110,779   810,418 
Cash and cash equivalents, end of period $674,227  $3,283,973  $4,210,638  $546,509  $1,421,994  $2,199,066  $  $570,169  $1,110,779 

  Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund  Equinox Frontier Long/Short
Commodity Fund
 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Interest receivable

  44,025    (467,269  174,871    71,847    (290,080  68,961    105,214    (197,635  97,376  

Receivable from other series

  1,035    —      —      —      —      —      —      —      —    

Receivable from related parties

  —      113,446    (98,119  (990  36,675    (38,735  346    (2,406  3,522  

Other assets

  (249,997  —      10,129    —      —      6,162    —      —      9,592  

Incentive fees payable to Managing Owner

  1,812,275    385,647    (332,130  722,043    —      —      158,660    —      (127,052

Management fees payable to Managing Owner

  (15,018  (48,684  (30,044  (42,530  (11,247  733    (59,522  (172,496  (7,298

Interest payable to Managing Owner

  (52  (25,174  (12,521  (2,689  (10,441  (3,380  (4,252  (18,354  (4,295

Trading fees payable to Managing Owner

  (3,182  (92,003  (40,852  (16,775  (32,165  (426  (10,352  (44,612  (4,246

Service fees payable to Managing Owner

  (11,358  (42,914  12,300    (18,598  (11,565  5,512    (4,403  (9,109  1,154  

Payables to related parties

  2,332    (19,435  19,435    —      (9,635  9,579    —      (34,036  34,037  

Other liabilities

  —      —      (2,173  (1  —      (856  —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  20,413,128    41,795,684    11,196,793    14,658,683    13,132,003    1,136,472    9,954,537    24,775,443    6,276,029  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash Flows from Financing Activities:

         

Proceeds from sale of units

  7,283,926    7,171,899    14,106,047    5,659,806    3,724,651    9,709,609    622,461    1,294,955    12,602,490  

Payment for redemption of units

  (25,023,060  (49,626,969  (27,578,813  (19,174,894  (17,188,999  (11,667,326  (10,188,324  (26,670,944  (20,495,621

Pending owner additions

  (765  (21,608  (219,188  705    (14,097  (7,267  (2  (62,537  21,571  

Owner redemptions payable

  (290,488  (172,998  200,301    (71,188  (70,265  136,457    (88,311  (236,650  259,833  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  (18,030,387  (42,649,676  (13,491,653  (13,585,571  (13,548,710  (1,828,527  (9,654,176  (25,675,176  (7,611,727
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in cash and cash equivalents

  2,382,741    (853,992  (2,294,860  1,073,112    (416,707  (692,055  300,361    (899,733  (1,335,698

Cash and cash equivalents, beginning of period

  1,827,897    2,681,889    4,976,749    1,125,954    1,542,661    2,234,716    810,418    1,710,151    3,045,849  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $4,210,638   $1,827,897   $2,681,889   $2,199,066   $1,125,954   $1,542,661   $1,110,779   $810,418   $1,710,151  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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

F-20

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the Years Ended December 31, 2014, 20132016, 2015 and 20122014

 

 Equinox Frontier Balanced Fund Equinox Frontier Select Fund 
 Equinox Frontier Balanced Fund Equinox Frontier Select Fund  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                         

Cash Flows from Operating Activities:

                              

Net increase/(decrease) in capital resulting from operations

 $24,455,247   $(13,560,613 $(8,727,551 $2,435,382   $417,171   $(4,324,572 $5,945,778  $(1,232,876) $24,455,249  $1,607,183  $(696,024) $2,435,382 

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

  637,703    (5,046,933  2,287,443    —      —      —      340,656   3,286,019   637,703   (187,115)  (462,339)   

Net change in options purchased, at fair value

  165,915    273,255    11,488,945    —      —      —            165,915          

Net change in options written, at fair value

  (183,856  18,493    (3,161,090  —      —      —            (183,856)         

Net change in ownership allocation of U.S. Treasury securities

  7,558,953    (1,354,013  3,447,652    862,964    2,451,156    (458,236  14,565,822   (8,151,611)  7,558,953   (401,816)  4,797,257   862,967 

Net change in ownership allocation of total return swaps

  —      —      20,259    —      (6,070,806  —    

Net change in ownership allocation of custom time deposits

  —      (2,142,989  15,147,587    —      —      (163,629

Net change in ownership allocation of credit default swaps

  —      —      —      —      —      (2,283

Net unrealized (gain)/loss on swap contracts

  (8,124,951  (2,486,559  1,334,945    —      —      2,448    218,070   (910,566)  (8,124,951)         

Net realized (gain)/loss on swap contracts

  —      3,554,723    175,294    —      —      34,232  

Net unrealized (gain)/loss on U.S. Treasury securities

  (4,748,522  2,496,948    1,186,676    (679,186  419,974    239,713    1,874,454   1,350,252   (4,748,522)  199,159   (35,623)  (679,186)

Net realized (gain)/loss on U.S. Treasury securities

  152,688    (362,137  (757,245  25,780    (78,233  (160,314  (2,885,429)  (411,406)  152,688   (70,928)  (22,783)  25,780 

Net realized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC

  —      —      —      —      —      2,172,987  

Net unrealized (gain)/loss on investment in Berkeley Quantitative Colorado Fund LLC

  —      —      —      —      —      (2,084,880
Net unrealized gain/(loss) on private investment companies  (2,077,438)               
Net realized gain/(loss) on private investment companies  (412,944)               

(Purchases) sales of:

                              

Purchases of swap contracts

  —      (9,600,000  —      —      —      —    

Sales of swap contracts

  —      20,699,311    —      —      —      —    

Sales of custom time deposits

  —      105,121,180    14,559,264    —      22,708,344    3,302,228  
Sales of U.S. Treasury securities  27,164,277   14,050,672   28,506,883   (465,831)  797,588   4,254,841 

Purchases of U.S. Treasury securities

  (4,547,467  (69,405,262  —      (637,256  (13,437,579   (9,340,565)  (6,360,723)  (4,547,467)  (320,766)  (911,929)  (637,256)

Sales of U.S. Treasury securities

  28,506,883    6,027,702    19,339,500    4,254,841    1,302,165    3,764,667  

Sale of Berkeley Quantitative Colorado Fund LLC

  —      —      —      —      —      6,182,737  
Purchase of Private Investment Companies  (45,466,085)               
Sale of Private Investment Companies  2,651,184                

Increase and/or decrease in:

                              

Receivable from futures commission merchants

  776,104    68,577,541    (17,307,299  —      —      —      870,805   15,172,045   776,104   5,072,933   (13,281,151)   

Change in control of ownership—trading companies

  (7,745,842  (58,711,893  (3,881,178  —      —      —    
Change in control of ownership - trading companies     (8,052,252)  (7,745,842)  (3,711,863)  6,781,935    
Change in control of ownership - private investment companies  (1,799,853)               

Investments in unconsolidated trading companies, at fair value

  (4,630,612  6,479,813    (1,937,319  (1,237,597  508,965    860,538    11,091,850   719,959   (4,630,612)  200,521   3,954,301   (1,237,597)

Contributions to trading companies

  —      78,053,072    151,972,482    —      —      —    

Distributions from trading companies

  —      (55,150,629  (148,335,019  —      —      —    

Prepaid service fees—Class 1

  234    (234  —      —      —      —    
Prepaid service fees - Class 1        234      67,394    

Interest receivable

  299,585    (855,932  319,779    41,596    (127,665  46,617    532,079   (74,665)  299,585   (22,210)     41,596 

Receivable from other series

  —      —      —      —      —      —    

Receivable from related parties

  —      17,313    (17,313  —      —      —      (346,874)        (103,408)      

Other assets

  (249,960  34,248    13,972    —      —      7,914    12   250,001   (249,962)  3   (3)   

Incentive fees payable to Managing Owner

  1,101,401    164,611    (667,725  185,791    —      —      (106,563)  (1,686,755)  1,101,401      (185,791)  185,791 

Management fees payable to Managing Owner

  (11,877  (80,070  (48,370  (21,963  (53,291  1,689    (55,357)  (20,634)  (11,877)  11,972   (4,951)  (21,963)

Interest payable to Managing Owner

  (61,306  (184,059  (67,523  (9,135  (20,366  (25,257  (56,036)  (7,334)  (61,306)  (31)  (9,714)  (9,135)

Trading fees payable to Managing Owner

  (7,088  (59,750  (43,523  (1,426  (4,512  (9,155  145,874   (8,587)  (7,088)  9,614   (1,604)  (1,426)

Service fees payable to Managing Owner

  (23,135  (142,656  (102,438  (6,525  (15,657  (32,314  (15,620)  (21,575)  (23,135)  (3,126)  (3,428)  (6,525)
Risk analysis fees payable  1,155         2,303       

Payables to related parties

  2,801    10,645    (918  511    (47,058  47,267    (24,069)  9,135   2,801   (1,495)  511   511 

Other liabilities

  —      —      (8,437  —      —      (1,373  89,594         11,782   156    
 

 

  

 

  

 

  

 

  

 

  

 

                        

Net cash provided by (used in) operating activities

  33,322,898    72,385,126    36,230,850    5,213,780    7,952,608    9,401,024  
Net cash provided by operating activities  2,904,777   7,899,099   33,322,898   1,826,881   783,802   5,213,780 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Cash Flows from Financing Activities:

                              

Proceeds from sale of units

  1,180,547    283,251    2,758,058    205,055    14,901    31,560    233,544   235,881   1,180,547   16,022   19,348   205,055 

Payment for redemption of units

  (31,246,070  (74,056,644  (44,882,520  (4,982,807  (8,164,865  (9,976,319  (12,201,822)  (9,459,239)  (31,246,070)  (1,747,827)  (1,462,147)  (4,982,811)
Payment made by the Managing Owner     160,099               

Pending owner additions

  3,325    (20,154  (10,377  487    (528  (1,874  (15,538)  (2,464)  3,325   (1,335)  (150)  491 
Advance on unrealized Swap Appreciation  4,926,555                

Owner redemptions payable

  (908,760  589,136    257,706    (53,166  28,505    (142,459  340,880   417,297   (908,760)  117,909   1,238   (53,166)
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net cash provided by (used in) financing activities

  (30,970,958  (73,204,411  (41,877,133  (4,830,431  (8,121,987  (10,089,092
Net cash used in financing activities  (6,716,381)  (8,648,426)  (30,970,958)  (1,615,231)  (1,441,711)  (4,830,431)
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net increase (decrease) in cash and cash equivalents

  2,351,940    (819,285  (5,646,283  383,349    (169,379  (688,068  (3,811,604)  (749,327)  2,351,940   211,650   (657,909)  383,349 
                        

Cash and cash equivalents, beginning of period

  3,292,570    4,111,855    9,758,138    494,931    664,310    1,352,378    4,895,183   5,644,510   3,292,570   220,371   878,280   494,931 
 

 

  

 

  

 

  

 

  

 

  

 

 

Cash and cash equivalents, end of period

 $5,644,510   $3,292,570   $4,111,855   $878,280   $494,931   $664,310   $1,083,579  $4,895,183  $5,644,510  $432,021  $220,371  $878,280 
 

 

  

 

  

 

  

 

  

 

  

 

 

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

F-21

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the Years Ended December 31, 2014, 20132016, 2015 and 20122014

 

 Equinox Frontier Winton Fund Equinox Frontier Heritage Fund 
 Equinox Frontier Winton Fund Equinox Frontier Heritage Fund  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                         

Cash Flows from Operating Activities:

                              

Net increase/(decrease) in capital resulting from operations

 $8,642,654   $2,733,470   $(3,261,216 $3,781,955   $1,687,018   $(2,370,444 $(1,161,323) $(1,586,513) $8,642,654  $(84,545) $(242,385) $3,781,955 

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

  —      —      —      —      —      —      (466,267)  (599,579)            

Net change in ownership allocation of U.S. Treasury securities

  (9,377,294  (4,943,695  1,510,822    (329,908  595,184    327,333    1,773,178   1,003,454   (9,377,294)  6,880   389,760   (329,908)

Net change in custom time deposits

  —      (2,158,448  851,817    —      263,127    (17,599

Net change in ownership allocation of credit default swaps

  —      —      (3,184  —      —      722  

Net change in ownership allocation of total return swaps

  —      —      —      —      (4,843,391  —    

Net unrealized (gain)/loss on swap contracts

  —      —      7,291    (2,105,281  (591,793  (943           (431,146)  (419,803)  (2,105,281)

Net realized (gain)/loss on swap contracts

  —      —      57,781    —      —      30,602  

Net unrealized (gain) loss on U.S. Treasury securities, at fair value

  (2,248,070  915,676    369,593    (615,266  333,572    163,574    1,697,773   600,814   (2,248,070)  386,234   137,580   (615,266)

Net realized (gain) loss on U.S. Treasury securities, at fair value

  59,132    (115,236  (239,533  19,370    (50,795  (105,686  (1,975,992)  (230,502)  59,132   (395,730)  (52,675)  19,370 

(Purchases) sale of:

                              

Sales of custom time deposits

  —      33,450,843    3,437,418    0    13,164,888    4,056,931  

Purchases of U.S. Treasury Securities, at fair value

  (3,006,874  (23,566,992  —      (665,088  (9,774,740  —    

Sales of U.S. Treasury Securities, at fair value

  12,579,837    1,918,089    4,372,506    3,621,880    845,472    2,678,561  
Sales of U.S. Treasury Securities  12,826,803   8,047,027   12,579,837   2,939,044   1,818,125   3,621,880 
Purchases of U.S. Treasury Securities  (5,237,808)  (4,444,636)  (3,006,874)  (1,129,741)  (1,004,975)  (665,088)

Increase and/or decrease in:

                              
Receivable from futures commission merchants  (5,252,127)  (12,744,570)            

Change in control of ownership of trading companies

  —      —      —      154,754    2,151,620    —      2,119,833   5,793,526      (1,004,235)  186,259   154,754 

Contributions to trading companies

  —      —      —      —      —      —    

Distributions from trading companies

  —      —      —      —      —      —    

Investments in unconsolidated trading companies, at fair value

  299,665    (913,358  (2,134,049  345,880    4,285,589    2,298,569    (3,774,896)  7,182,104   299,665   (1,362,538)  137,800   345,880 

Interest receivable

  (76,776  (352,719  82,775    16,459    (110,038  42,201    137,578   27,334   (76,776)  26,517   8,845   16,459 

Receivable from other series

  —      —      —      —      —      —    

Receivable from related parties

  —      —      6,890    —      —      6,520    (551,508)        (107,442)      

Other assets

  —      —      —      —      —      —      2   (2)     2   (2)   

Incentive fees payable to Managing Owner

  1,050,267    128,097    —      223,916    15,411    —         (1,178,364)  1,078,104      (239,327)  223,916 

Management fees payable to Managing Owner

  14,563    14,122    (4,421  (671  (35,027  (36,669  163,653   (21,652)  (13,274)  35,011   (6,454)  (671)

Interest payable to Managing Owner

  3,857    (9,504  (15,125  (5,224  (15,244  (17,257  (18,894)  (14,098)  3,857   (3,646)  (3,477)  (5,224)

Trading fees payable to Managing Owner

  2,846    (2,197  (5,261  (536  (3,936  (6,279  32,737   (4,285)  2,846   10,496   (1,219)  (536)

Service fees payable to Managing Owner

  (301  (9,502  (15,488  (4,521  (12,631  (19,025  (5,052)  (8,331)  (301)  (2,350)  (2,157)  (4,521)
Risk analysis fees payable  12,215                 

Payables to related parties

  11,402    4,494    244    1,903    958    (39  (31,638)  15,177   11,402   (4,416)  1,238   1,903 

Other liabilities

  —      —      (1,381  —      —      (2,244  2,878         18,083       
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net cash provided by (used in) operating activities

  7,954,908    7,093,140    5,017,479    4,439,622    7,905,244    7,028,828  
Net cash provided by operating activities  291,145   1,836,904   7,954,908   (1,103,522)  707,133   4,439,622 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Cash Flows from Financing Activities:

                              

Proceeds from sale of units

  457,445    171,785    204,803    271,191    40,552    59,915    159,082   175,616   457,445   35,716   43,000   271,191 

Payment for redemption of units

  (5,673,703  (7,239,952  (6,032,177  (4,235,128  (8,038,624  (7,709,619  (1,708,602)  (3,124,668)  (5,673,701)  (1,017,408)  (1,079,229)  (4,235,128)

Pending owner additions

  3,591    (3,130  (3,767  504    (1,099  (1,787  (13,524)  (1,979)  3,589   (3,251)  (130)  504 
Advance on unrealized Swap Appreciation           1,900,000       

Owner redemptions payable

  (54,998  54,433    11,845    21,408    (18,231  2,780    (28,509)  29,769   (54,998)  (84,355)  62,947   21,408 
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net cash provided by (used in) financing activities

  (5,267,665  (7,016,864  (5,819,296  (3,942,025  (8,017,402  (7,648,711
Net cash used in financing activities  (1,591,553)  (2,921,262)  (5,267,665)  830,702   (973,412)  (3,942,025)
 

 

  

 

  

 

  

 

  

 

  

 

                         

Net increase (decrease) in cash and cash equivalents

  2,687,243    76,276    (801,817  497,597    (112,158  (619,883  (1,300,408)  (1,084,358)  2,687,243   (272,820)  (266,279)  497,597 

Cash and cash equivalents, beginning of period

  1,325,731    1,249,455    2,051,272    424,001    536,159    1,156,042    2,928,616   4,012,974   1,325,731   655,319   921,598   424,001 
 

 

  

 

  

 

  

 

  

 

  

 

 

Cash and cash equivalents, end of period

 $4,012,974   $1,325,731   $1,249,455   $921,598   $424,001   $536,159   $1,628,208  $2,928,616  $4,012,974  $382,499  $655,319  $921,598 
 

 

  

 

  

 

  

 

  

 

  

 

 

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

F-22

The Series of Equinox Frontier Funds

Notes to Financial Statements

1.1. Organization and Purpose

Equinox Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this periodic report. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of units of beneficial interest (the “Units”) pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”). The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”). It is managed by its managing owner,Managing Owner, Equinox 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 (the “Trust(“Trust Agreement”), unitholders in a Delaware statutory trustof 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, in relation to the Series, has been organized to pool assets of 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, in relation to the Series, may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts (“Swaps”).contracts.

As of December 9, 2013, the Balanced Series of the Trust became known as the Equinox Frontier Balanced Fund, the Frontier Diversified Series became known as the Equinox Frontier Diversified Fund, the Frontier Heritage Series became known as Equinox Frontier Heritage Fund, the Frontier Long/Short Commodity Series became known as the Equinox Frontier Long/Short Commodity Fund, the Frontier Masters Series became known as the Equinox Frontier Masters Fund, the Frontier Select Series became known as the Equinox Frontier Select Fund, and the Winton Series became known as the Equinox Frontier Winton Fund.

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

The Trust, with respect to each Series:

 

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

allocates funds to a limited liability trading company or companies (“Trading Company”). Except as otherwise described in these notes, each Trading Company 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 assets and make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

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;

 

maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other 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 assets and make the trading decisions for the assets of each Series vested in such Trading Company and Galaxy Plus entity. Each Trading Company and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy Plus entity;

 

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

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

 

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

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

 

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

maintains each SeriesF-23

Table of Units with between two to six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV 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 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 three percent (3.0%) of the NAV 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 Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund or Class 2a Units of the Equinox 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. 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; andContents

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

 

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

all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund or Equinox 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. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) Business Day to be received by the Managing Owner prior to 4:00 PM in New York.

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

As of December 31, 2014,2016, the Trust, with respect to the Equinox Frontier Diversified Fund Equinox Frontier Masters Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier HeritageMasters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Equinox Frontier Select Fund Equinox Frontier Winton Fund and Equinox Frontier Heritage separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Equinox 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 Equinox Frontier Long/Short Commodity Fund separates Units into a maximum of sixfive separate Classes—Class 1,1A, Class 2A, Class 2, Class 3, Class 1a, Class 2a3A and Class 3a. It3. Between April 15, 2016 and December 31, 2016, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, and Frontier Trading Company XXIII LLC held by Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund and Equinox Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is expectedan 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, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between 10% and 30% of each Series’ assets normally will be investedinvestments in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are maintained at the Trust level for cash management. Each of the respective Series has invested monies intoand a pooled cash management assets which have included purchases ofaccount that invests primarily in U.S. Treasury Securities Each Series’ ownershipsecurities. For those Series that do not invest in theseGalaxy Plus, their assets are split between investments is based on its percentage ownershipin Trading Companies and investments in the pooled cash management assets on the reporting date.account.

F-24

As of December 31, 2014,2016, Equinox Frontier Winton 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.Companies or Galaxy Plus entities.

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

2.2. Significant Accounting Policies

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

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

Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee, all of which is allocated to the 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 equity interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. This represents a change in accounting policy from prior year in which controlling and majority interest was calculated on each Series pro-rata notional ownership of the Trading Company. The two measurements approximate each other and, as such, do not have a material impact on the presentation on the statements of financial condition or results of operations. 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 underusing net asset value as the equity method,practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company.Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated trading companiesTrading 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 tradingTrading Companies or net unrealized gain/(loss) on private investment companies.

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

As of December 31, 2014,2016, the consolidated balance sheetstatement of financial condition of Equinox Frontier Balanced Fund included the assets and liabilities of its majority owned Trading Companies. These Trading Companies includeinterest in Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XXIII, LLC, Frontier Trading Company XXIX,I, LLC and Frontier Trading Company XXXIV, LLC.

F-25

For the year ended December 31, 2014,2016, the consolidated income statement of operations of Equinox Frontier Balanced Fund included the earnings of its majority ownedinterest in Frontier Trading Companies. TheseCompany I, LLC and Frontier Trading Company XXXIV, LLC as well as the results from operations for those Trading Companies up to the date that those Trading Companies ceased operations. Those Trading Companies that ceased operations during the year include Frontier

Trading Company XIV, LLC (except for the earnings from January 14, 2014 to February 27, 2014),on April 21, 2016, Frontier Trading Company XV,XXIII, LLC (except from January 1, 2014 to October 1, 2014),on July 22, 2016, and Frontier Trading Company XXIX, LLC (except fromon January 1, 2014 to November 23, 2014), Frontier Trading Company XXIII, LLC (except for the earnings from January 1, 2014 to April 28, 2014), and Frontier Trading Company XXXIV, LLC.29, 2016.

As of December 31, 2014,2016 and December 31, 2015, the consolidated balance sheetstatement of financial condition of Equinox Frontier Long/Short Commodity Fund included the assets and liabilities of its majority owned Trading Company, Frontier Trading Company XXXVII, LLC.

For the year ended December 31, 2014,2015, the consolidated income statement of operations of Equinox Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading Companies. TheseCompany listed above. For the year ended December 31, 2016, the consolidated statement of operations of Equinox Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading Companies includeCompany listed above through the date that the Trading Company ceased operations and Frontier Trading Company VII LLC (except for the earnings fromthrough April 5, 2014 to December 31, 2014), Frontier Trading Company XVIII, LLC (except for the earnings from September 5, 2014 to December 31, 2014) and Frontier Trading Company XXXVII, LLC.28, 2016.

As of December 31, 2014,2016 and December 31, 2015, the consolidated balance sheetstatement of financial condition of Equinox Frontier Diversified Fund included the assets and liabilities of its majority owned Frontier Trading Company I, LLC and, Frontier Trading Company XXXV, LLC.

For the year ended December 31, 2014,2015, the consolidated income statement of operations of Equinox Frontier Diversified Fund included the earnings of its majority owned Trading Companies. These Trading Companies includeCompany listed above and the earnings of Frontier Trading Company I, LLC (except forfrom January 1, 2015 to August 10, 2015. For the year ended December 31, 2016, the consolidated statement of operations of Equinox Frontier Diversified Fund included the earnings from February 1, 2014 to April 7, 2014) and Frontierof its majority owned Trading Company XXXV, LLC.listed above.

As of and for the yearyears ended December 31, 2014,2016 and December 31, 2015, the consolidated balance sheetstatement of financial condition and income statement of operations of Equinox Frontier Heritage Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC.

As of and for the year ended December 31, 2015, the consolidated statement of financial condition and statement of operations of Equinox Frontier Select Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XV, LLC except for the earnings from January 1, 2015 to January 2, 2015. For the year ended December 31, 2016, the consolidated statement of operations of Equinox Frontier Select Fund included the earnings of its majority owned Trading Company listed above.

As of and for the year ended December 31, 2016 and 2015, the consolidated statement of financial condition and statement of operations of Equinox Frontier Winton Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company II, LLC.

As of and for the year ended December 31, 2016 and 2015, Equinox Frontier Master Fund did not have a majority interest in any Trading Company.

Each of the Series has invested in Frontier Trading Company XXXVIII, LLC on the same basis as its ownership in the cash pool. Frontier Trading Company XXXVIII, LLCLLC’s assets, liabilities and earnings are allocated to all of the Series of the Trust based on their proportionate share of the cash pool. Each Series investment in the Frontier Trading Company XXXVIII, LLC is listed under Investments in unconsolidated trading companies, at fair value on the Statements of Financial Condition.

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—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 merchantsmerchant (“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 Equinox Frontier Balanced Fund (Class 1, and Class 2 only), Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1a,1AP, Class 2a and Class 3a only), 20% of the total interest allocated to each Series iswas paid to the Managing Owner.Owner from January 1, 2016 through April 28, 2016; thereafter 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 are pooled for purposesF-26

U.S. Treasury Securities—SecuritiesU.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 depositsdeposit assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $2,631,477 for the Equinox Frontier Balanced Fund, $5,344,783 for the Equinox Frontier Select Fund, and $14,604,203 for the Equinox Frontier Winton Fund.

Investment Transactions—TransactionsFutures, 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 210210)).

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—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 between twothree or six classesseven subclasses of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a, Class 3a, and Class 3a).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 3a1AP 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.Trust or Galaxy Plus. 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 Swapsswaps that are directly allocated to a specific series)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 Company,Companies or Companies.Galaxy Plus entities.

F-27

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,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,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 basisbased upon daily reports from the counterparty. The Managing Owner values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTAcommodity 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. This fair value is corroborated by valuations provided by a third party pricing service on a daily basis. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable; and quality control testing procedures in place.

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. The 20112013 through 20142016 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 (ii)(iii) the discussion set forth in the Prospectus under the heading “Federal“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 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 as expenses 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.

Service Fees—The Trust may maintain each Series of Units in between twothree to sixseven 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 Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, and Equinox 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 Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 orand 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 NAVpurchase 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 Equinox Frontier Diversified Fund and Equinox Frontier

Masters Fund or Class 2a Units of the Equinox 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.

F-28

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 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.

Recently Adopted Accounting Pronouncements—PronouncementsIn September of 2013,May 2015, the FASB issued ASU 2013-08No. 2015-07, “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).” ASU No. 2015-07 removes the requirement to (i) modify Topic 946include investments in the fair value hierarchy for determining whether an entitywhich the fair value is an investment company; (ii) updatemeasured at NAV using the measurement requirements for noncontrolling interests in other investment companies;practical expedient under “Fair Value Measurements and (iii) require additional disclosures for investment companies under U.S. GAAP. This guidanceDisclosures (Topic 820).” ASU No. 2015-07 is effective for annual and interimreporting periods beginning on or after December 15, 2013. An entity should provide2015, including interim periods within that reporting period. ASU No. 2015-07 is required to be applied retrospectively to all periods presented beginning in the year of adoption. Since ASU No. 2015-07 only impacts the Series’ disclosures, required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance diddoes not have a material impact onaffect the Series’ financial positions orcondition, results of operations.operations, or cash flows.

Recently Issued Accounting Pronouncements—

In February, 2015, the FASB issued Accounting Standards Update (ASU) No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis. ASU 2015-02 provides guidance on the consolidation evaluation for reporting organizations that are required to evaluate whether they should consolidate certain legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). ASU 2015-02 is effective for periods beginning after December 15, 2015. The adoption of ASU 2015-02 isdoes not expected to have a material effect on the Trust’sSeries financial statements. Early adoption is permitted. In May 2014 the FASB issued a final standard on revenue from contracts with customers. The standard, issued as FASB ASU 2014-09, “Revenue from Contracts with Customers” (“ASU 2014-09”), outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. The ASU is effective for interim and annual reporting periods beginning after December 15, 2016. Early adoption is not permitted. A full retrospective or modified retrospective approach may be taken to adopt the guidance in the ASU. The Trust is currently evaluating the impact of the provisions of ASU 2014-09 on its consolidated financial position, results of operations and related disclosures.

Reclassification—Certain amounts in the 2013 financial statements have been reclassified to conform with the 2014 presentation. None of the reclasses had an impact on the NAV or performance of the Series.

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

3.Fair Value Measurements

3. Fair Value Measurements

In connection with the valuation of investments the Series apply ASC 820,Fair Value Measurement (“ASC 820”).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.

F-29

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 ContractsContracts.. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps,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,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. Swap contracts are reported at fair value basis upon daily reports from the counterparty. In addition, a third party takes receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The Managing Owner valuesfair value measurements of the investments based on the CTA’s estimated position information on a same-trading day basis.swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is usedas well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to determine a daily fair value NAV for the swap contracts. The fair value is corroborated through the use of a third party pricing service (“pricing service”). The valuation requires significant estimates utilizing Level 3 inputs, corroborated by management through the use of a third party pricing service. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable, and quality control testing procedures in place. The pricing service’s methodology includes performance of tolerance

testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each Swap and its subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by a senior a financial engineer to ensure the design and function of the model is stable and performs as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Investment OversightValuation Committee for evaluation and Risk Committee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricing provided by the swap counterparty and daily valuation provided by the third party pricing service. The valuation committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provided by the pricing service.resolution.

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. The Fund applies the practical expedient to its investments in Private Investment Companies on an investment-by-investment basis, and consistently with the Fund’s entire position in a particular investment, unless it is probable that the Fund will sell a portion of an investment at an amount different from the net asset value of the investment. Management has adopted Accounting Standards Update (“ASU”) ASU 2015-07,Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)— a consensus of the Emerging Issues Task Force issued, on May 1, 2015. The guidance in this standard was effective for interim and annual periods beginning after December 15, 2015. In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy below.

F-30

The following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by Series, measured at fair value on a recurring basis as of December 31, 20142016 and December 31, 20132015 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:value. 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.

 

       Total 

December 31, 2014

  Level 1 Inputs   Level 2 Inputs Level 3 Inputs   Total
Fair Value
 
December 31, 2016 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value 
         

Equinox Frontier Diversified Fund

                       

Investments in Unconsolidated Trading Companies

  $6,631,887    $(37,508 $—      $6,594,379  

Open Trade Equity (Deficit)

   3,171,968     43,238    —       3,215,206  

Options Purchased

   —       288,413    —       288,413  

Options Written

   —       (253,018  —       (253,018
Investment in Unconsolidated Trading Companies $4,188,662  $12,966  $  $4,201,628 

Swap Contracts

   —       —      6,570,408     6,570,408          8,637,847   8,637,847 

U.S. Treasury Securities

   31,051,659     —      —       31,051,659    6,525,280         6,525,280 

Equinox Frontier Masters Fund

                       

Investments in Unconsolidated Trading Companies

   7,942,166     (40,188  —       7,901,978  
Investment in Unconsolidated Trading Companies  6,667,632   10,474      6,678,106 

U.S. Treasury Securities

   16,217,173     —      —       16,217,173    4,313,843         4,313,843 

Equinox Frontier Long/Short Commodity Fund

                       

Investments in Unconsolidated Trading Companies

   3,789,466     25,388    —       3,814,854  
Swap Contracts        4,220,468   4,220,468 
Equinox Frontier Balanced Fund                
Investment in Unconsolidated Trading Companies  5,998,541   (33,210)     5,965,331 
Open Trade Equity (Deficit)  288,647   (50,986)     237,661 

Swap Contracts

   —       —      3,633,060     3,633,060          18,939,450   18,939,450 

U.S. Treasury Securities

   8,191,519     —      —       8,191,519    9,770,117         9,770,117 
Equinox Frontier Select Fund                
Investment in Unconsolidated Trading Companies  759,978   3,609   3,147,279   3,910,866 
Open Trade Equity (Deficit)  679,310   6,712      686,022 
U.S. Treasury Securities  2,912,611         2,912,611 
Winton Fund                
Investment in Unconsolidated Trading Companies  4,020,731   51,719      4,072,450 
Open Trade Equity (Deficit)  1,123,666   98,858      1,222,524 
U.S. Treasury Securities  15,533,863         15,533,863 
Equinox Frontier Heritage Fund                
Investment in Unconsolidated Trading Companies  2,735,614   9,026      2,744,640 
Swap Contracts        8,391,414   8,391,414 
U.S. Treasury Securities  3,701,890         3,701,890 

F-31

December 31, 2014

  Level 1 Inputs  Level 2 Inputs  Level 3 Inputs   Total
Fair Value
 

Equinox Frontier Balanced Fund

      

Open Trade Equity (Deficit)

   3,717,291    (419,742  —       3,297,549  

Investments in Unconsolidated Trading Companies

   18,354,685    (10,758  —       18,343,927  

Swap Contracts

   —      —      18,246,954     18,246,954  

U.S. Treasury Securities

   41,625,860    —      —       41,625,860  

Equinox Frontier Select Fund

      

Investments in Unconsolidated Trading Companies

   4,591,569    (28,926  3,539,498     8,102,141  

U.S. Treasury Securities

   6,476,939    —      —       6,476,939  

Equinox Frontier Winton Fund

      

Investments in Unconsolidated Trading Companies

   7,656,170    (176,512  —       7,479,658  

U.S. Treasury Securities

   29,593,974    —      —       29,593,974  

Equinox Frontier Heritage Fund

      

Investments in Unconsolidated Trading Companies

   1,576,952    (33,566  —       1,543,386  

Swap Contracts

   —      —      7,540,465     7,540,465  

U.S. Treasury Securities

   6,796,392    —        6,796,392  

December 31, 2013

  Level 1 Inputs  Level 2 Inputs  Level 3 Inputs   Total
Fair Value
 

Equinox Frontier Diversified Fund

      

Investment in Unconsolidated Trading Companies

  $20,167,937   $669,335   $—      $20,837,272  

Swap Contracts

   —      —      3,437,632     3,437,632  

U.S. Treasury Securities

   38,055,417    —      —       38,055,417  

Equinox Frontier Masters Fund

      

Investment in Unconsolidated Trading Companies

   8,290,975    875,735    —       9,166,710  

U.S. Treasury Securities

   23,441,497    —      —       23,441,497  

Equinox Frontier Long/Short Commodity Fund

      

Open Trade Equity (Deficit)

   (191,069  —      —       (191,069

Options purchased

   —      98,740    —       98,740  

Options Written

   —      (172,650  —       (172,650

Investment in Unconsolidated Trading Companies

   655,769    —      —       655,769  

Swap Contracts

   —      —      2,456,546     2,456,546  

U.S. Treasury Securities

   16,872,290    —      —       16,872,290  

Equinox Frontier Balanced Fund

      

Open Trade Equity (Deficit)

   3,475,896    459,356    —       3,935,252  

Options purchased

   —      165,915    —       165,915  

Options Written

   —      (183,856  —       (183,856

Investment in Unconsolidated Trading Companies

   12,953,295    760,020    —       13,713,315  

Swap Contracts

   —      —      10,122,003     10,122,003  

U.S. Treasury Securities

   68,548,395    —      —       68,548,395  

Equinox Frontier Select Fund

      

Investment in Unconsolidated Trading Companies

   3,886,810    562,097    2,415,637     6,864,544  

U.S. Treasury Securities

   10,304,085    —      —       10,304,085  
Table of Contents

           Total 
December 31, 2015 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
             
Equinox Frontier Diversified Fund                
Investment in Unconsolidated Trading Companies $15,844,097  $250,110  $  $16,094,207 
Swap Contracts        8,685,849   8,685,849 
U.S. Treasury Securities  27,604,916         27,604,916 
Equinox Frontier Masters Fund                
Investment in Unconsolidated Trading Companies  9,383,235   26,695      9,409,930 
U.S. Treasury Securities  11,953,206         11,953,206 
Equinox Frontier Long/Short Commodity Fund                
Investment in Unconsolidated Trading Companies  3,355,174   59,489      3,414,663 
Swap Contracts        4,332,428   4,332,428 
U.S. Treasury Securities  4,792,817         4,792,817 
Equinox Frontier Balanced Fund                
Investment in Unconsolidated Trading Companies  17,357,475   266,493      17,623,968 
Open Trade Equity (Deficit)  11,530         11,530 
Swap Contracts        19,157,520   19,157,520 
U.S. Treasury Securities  41,148,676         41,148,676 
Equinox Frontier Select Fund                
Investment in Unconsolidated Trading Companies  213,921      3,933,919   4,147,840 
Open Trade Equity (Deficit)  462,339         462,339 
U.S. Treasury Securities  1,852,429         1,852,429 
Equinox Frontier Winton Fund                
Investment in Unconsolidated Trading Companies  297,554         297,554 
Open Trade Equity (Deficit)  599,579         599,579 
U.S. Treasury Securities  24,617,817         24,617,817 
Equinox Frontier Heritage Fund                
Investment in Unconsolidated Trading Companies  1,403,461   2,125      1,405,586 
Swap Contracts        7,960,268   7,960,268 
U.S. Treasury Securities  5,508,577         5,508,577 

December 31, 2013

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Equinox Frontier Winton Fund

        

Investment in Unconsolidated Trading Companies

   7,772,031     7,292     —       7,779,323  

U.S. Treasury Securities

   27,600,705     —       —       27,600,705  

Equinox Frontier Heritage Fund

        

Investment in Unconsolidated Trading Companies

   1,887,631     1,635     —       1,889,266  

Swap Contracts

   —       —       5,435,184     5,435,184  

U.S. Treasury Securities

   8,827,380     —       —       8,827,380  

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the year ended December 31, 20142016 and 2013,2015, all identified Level 3 assets arewere components of the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund.

F-32

2014:2016:

For the Year Ended December 31, 20142016

Swaps:

 

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
   Equinox Frontier
Balanced Fund
 

Balance of recurring Level 3 assets as of January 1, 2014

  $3,437,632    $2,456,546    $10,122,003  

Total gains or losses (realized/unrealized):

      

Included in earnings-realized

   —       —      

Included in earnings-unrealized

   3,132,776     1,176,514     8,124,951  

Purchases of investments

   —       —       —    

Sales of investments

   —       —      

Change in ownership allocation of total return swaps

   —       —       —    

Transfers in and/or out of Level 3

   —       —       —    
  

 

 

   

 

 

   

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $6,570,408    $3,633,060    $18,246,954  
  

 

 

   

 

 

   

 

 

 
     Equinox Frontier    
  Equinox Frontier
Diversified Fund
  Long/Short Commodity
Fund
  Equinox Frontier
Balanced Fund
 
          
Balance of recurring Level 3 assets as of January 1, 2016 $8,685,849  $4,332,428  $19,157,520 
Total gains or losses (realized/unrealized):            
Included in earnings-realized         
Included in earnings-unrealized  (48,002)  (111,960)  (218,070)
Change in ownership allocation         
Transfers in and/or out of Level 3         
Balance of recurring Level 3 assets as of December 31, 2016  8,637,847  $4,220,468  $18,939,450 

 

   Equinox Frontier
Heritage Fund
 

Balance of recurring Level 3 assets as of January 1, 2014

  $5,435,184  

Total gains or losses (realized/unrealized):

  

Included in earnings-realized

   —    

Included in earnings-unrealized

   2,105,281  

Purchases of investments

   —    

Sales of investments

   —    

Change in ownership allocation of total return swaps

   —    

Transfers in and/or out of Level 3

   —    
  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $7,540,465  
  

 

 

 
  Equinox Frontier Heritage 
  Fund 
    
Balance of recurring Level 3 assets as of January 1, 2016 $7,960,268 
Total gains or losses (realized/unrealized):    
Included in earnings-realized   
Included in earnings-unrealized  431,146 
Change in ownership allocation   
Transfers in and/or out of Level 3   
Balance of recurring Level 3 assets as of December 31, 2016 $8,391,414 

Investments in Unconsolidated Trading Companies:

 

   Equinox Frontier
Select Fund
 

Balance of recurring Level 3 assets as of January 1, 2014

  $2,415,637  

Change in fair value of investments in unconsolidated trading companies

   1,123,861  

Proceeds from sales of investments of unconsolidated trading companies

   —    

Purchases of investments of unconsolidated trading companies

   —    

Change in ownership allocation

   —    

Transfers in and/or out of Level 3

   —    
  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $3,539,498  
  

 

 

 
  Equinox Frontier Select 
  Fund 
    
Balance of recurring Level 3 assets as of January 1, 2016 $3,933,919 
Change in fair value of investments in unconsolidated trading companies  368,596 
Advance on unrealized Swap Appreciation  (1,155,236)
Transfers in and/or out of Level 3   
     
Balance of recurring Level 3 assets as of December 31, 2016 $3,147,279 

F-33

2013:2015:

For the Year Ended December 31, 20132015

Swaps:

 

   Equinox Frontier    
  Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Balanced Fund
  Equinox Frontier Long/Short Equinox Frontier 

Balance of recurring Level 3 assets as of January 1, 2013

  $—      $—     $22,289,478  
 Diversified Fund  Commodity Fund Balanced Fund 
Balance of recurring Level 3 assets as of January 1, 2015 $6,570,408  $3,633,060  $18,246,954 

Total gains or losses (realized/unrealized):

                 

Included in earnings-realized

   —       —      (3,554,723         

Included in earnings-unrealized

   37,632     (423,454  2,486,559    2,115,441   (300,632)  910,566 

Purchases of investments

   3,400,000     2,880,000    9,600,000       1,000,000    

Sales of investments

   —       —      (20,694,866         

Change in ownership allocation of total return swaps

   —       —      (4,445         

Transfers in and/or out of Level 3

   —       —      —             
  

 

   

 

  

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $3,437,632    $2,456,546   $10,122,003  
  

 

   

 

  

 

 
Balance of recurring Level 3 assets as of December 31, 2015 $8,685,849  $4,332,428  $19,157,520 

 

 Equinox Frontier 
  Equinox Frontier
Heritage Fund
  Heritage Fund 

Balance of recurring Level 3 assets as of January 1, 2013

  $—    
Balance of recurring Level 3 assets as of January 1, 2015 $7,540,465 

Total gains or losses (realized/unrealized):

      

Included in earnings-realized

   —       

Included in earnings-unrealized

   591,793    419,803 

Purchases of investments

   —       

Sales of investments

   —       

Change in ownership allocation of total return swaps

   4,843,391     

Transfers in and/or out of Level 3

   —       
  

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $5,435,184  
  

 

 
Balance of recurring Level 3 assets as of December 31, 2015 $7,960,268 

Investments in Unconsolidated Trading Companies:

 

 Equinox Frontier 
  Equinox Frontier
Balanced Fund
 Equinox Frontier
Select Fund
  Select Fund 

Balance of recurring Level 3 assets as of January 1, 2013

  $—     $—    
   
Balance of recurring Level 3 assets as of January 1, 2015 $3,539,498 

Change in fair value of investments in unconsolidated trading companies

   (427,558  (1,461  394,421 

Proceeds from sales of investments of unconsolidated

   (972,442 

trading companies

   —      —    
Proceeds from sales of investments of unconsolidated trading companies   

Purchases of investments of unconsolidated trading companies

   1,400,000    1,600,000     

Change in ownership allocation

   —      817,098     

Transfers in and/or out of Level 3

   —      —       
  

 

  

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $—     $2,415,637  
  

 

  

 

 
Balance of recurring Level 3 assets as of December 31, 2015 $3,933,919 

 

   Equinox Frontier
Diversified Fund
  Equinox Frontier
Heritage Fund
 

Balance of recurring Level 3 assets as of January 1, 2013

  $—     $—    

Change in fair value of investments in unconsolidated trading companies

   (133,970  (1,827

Proceeds from sales of investments of unconsolidated trading companies

   —      —    

Purchases of investments of unconsolidated trading companies

   1,000,000    2,000,000  

Change in ownership allocation

   (866,030  (1,998,173

Transfers in and/or out of Level 3

   —      —    
  

 

 

  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $—     $—    
  

 

 

  

 

 

 

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 year ended December 31, 20142016 and 2013,year ended December 31, 2015, 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 Equinox Frontier Heritage Fund and the Equinox Frontier Select Fund jointly own the Frontier Brevan Howard swap. The Equinox Frontier Heritage Fund owns the majority interest in the Frontier Brevan Howard swap.

F-34

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2016:

     Equinox Frontier       
  Equinox Frontier   Long/Short Commodity    Equinox Frontier    Equinox Frontier 
  Diversified Fund  Fund  Balanced Fund  Heritage Fund 
Swaps $(48,002) $(111,960) $(218,070) $431,146 

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2014.2015:

 

    Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
 

Swaps

  $3,132,776    $1,176,514    $8,120,996    $2,105,281  
     Equinox Frontier       
  Equinox Frontier    Long/Short Commodity    Equinox Frontier    Equinox Frontier 
  Diversified Fund  Fund  Balanced Fund  Heritage Fund 
Swaps $2,115,441  $(300,633) $(910,566) $419,803 

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2013.2014:

 

    Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
  Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
 

Swaps

  $37,632    $(423,454 $526,168    $(561,316
     Equinox Frontier       
  Equinox Frontier    Long/Short Commodity    Equinox Frontier    Equinox Frontier 
  Diversified Fund  Fund  Balanced Fund  Heritage Fund 
Swaps $3,132,776  $1,176,514  $8,120,996  $2,105,281 

F-35

The total change in unrealized appreciation (depreciation) included in the statementsTable of operations attributable to level 3 investments still held at December 31, 2012.Contents

4.Swap Contracts

 

    Equinox Frontier
Balanced Fund
 

Swaps

  $(1,265,968

4. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures, option on futures and forward contracts, certain Series of the Trust will strategically invest a portion or all of their assets in total return Swaps,swaps, selected at the direction of the Managing Owner. Total return Swapsswaps 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,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 Swapsswaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The Swapsswaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes.

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 20142016 and 2013,December 31, 2015, approximately 12.5% or $35,990,88710.2% and 7.0% or $21,455,529,9.3%, respectively, of the Trust’s assets were investeddeposited with over-the-counter counterparties in order to initiate and maintain Swapsswaps and is recorded as Swap Contracts, atcollateral within the swap fair value onwithin the Statements of Financial Condition of the Trust. ThisCondition. The cash held with the counterparty is not restricted.

The Series may strategically invest assets in one or more Swapsswaps 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 Swapswap 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 Swapswap is a Trading Advisor to these Series.

On September 6, 2013,

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 funds are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of December 31, 2016, the Equinox Frontier Balanced Fund, liquidated the Frontier Balanced RCW-1 Swap in the amount of $16,353,609. On April 18, 2013, the Equinox Frontier BalancedDiversified Fund, liquidated the Equinox Frontier Select CTA TRSLong/Short Commodity Fund and Equinox Frontier Heritage Fund, had $4,926,555, $2,500,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Fund’s Statements of Financial Conditions under advance on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank Swap in the amount of $4,341,257.

AG

The Series hadhave invested in the following Swapsswaps as of and for the year ended December 31, 2014:2016:

 

   Equinox Frontier Diversified Equinox Frontier Long/Short  
  Equinox Frontier
Balanced Fund
 Equinox Frontier
Diversified Fund
 Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Heritage Fund
  Equinox Frontier Balanced Fund   Fund   Commodity Fund   Equinox Frontier Heritage Fund
  Total Return Swap Total Return Swap Total Return Swap Total Return Swap  Total Return Swap Total Return Swap Total Return Swap Total Return Swap

Counterparty

   DeutscheBank AG    DeutscheBank AG    DeutscheBank AG    DeutscheBank AG   DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG

Notional Amount

  $67,610,098   $35,500,000   $13,590,513   $17,663,283   $22,580,043 $13,851,707 $1,877,692 $11,413,283

Termination Date

   8/2/2018    8/2/2018    8/7/2018    3/26/2018   8/2/2018 8/2/2018 8/7/2018 3/26/2018

Cash Collateral

  $9,600,000   $3,400,000   $2,880,000   $5,993,000   $9,600,000 $3,400,000 $3,880,000 $5,986,000

Swap Value

  $8,646,954   $3,170,408   $753,060   $1,547,465   $9,339,450 $5,237,847 $340,468 $2,405,414

Investee Returns

   Total Returns    Total Returns    Total Returns    Total Returns   Total Returns Total Returns Total Returns Total Returns

Realized Gain/(Loss)

  $0   $0   $0   $0   $0 $0 $0 $0
  

 

  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

  $8,120,996   $3,132,777   $1,176,514   $2,105,281   ($218,070) ($48,002) ($111,960) $431,146
  

 

  

 

  

 

  

 

 

Fair Value as of 12/31/2014

  $18,246,954   $6,570,408   $3,633,060   $7,540,465  
  

 

  

 

  

 

  

 

 
Fair Value as of 12/31/2016 $18,939,450 $8,637,847 $4,220,468 $8,391,414
Advance on swap appreciation ($4,926,555) ($2,500,000) ($115,000) ($1,900,000)

F-36

The Series have invested in the following Swapsswaps as of and for the year ended December 31, 2013:2015:

 

   Equinox Frontier Diversified Equinox Frontier Long/Short  
  Equinox Frontier Balanced Fund  Equinox Frontier Balanced Fund Fund Commodity Fund Equinox Frontier Heritage Fund
  Total Return Swap   Total Return Swap   Total Return Swap  Total Return Swap   Total Return Swap   Total Return Swap   Total Return Swap

Counterparty

   Societe Generale     DeutscheBank     DeutscheBank AG   DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG

Notional Amount

  $—      $—      $64,000,000   $22,580,043 $13,851,707 $1,877,692 $12,663,283

Termination Date

   11/21/2014     6/30/2016     8/2/2018   8/2/2018 8/2/2018 8/7/2018 3/26/2018

Cash Collateral

      $9,600,000   $9,600,000 $3,400,000 $3,880,000 $5,993,000

Swap Value

      $522,003   $9,557,519 $5,285,849 $452,428 $1,967,269

Investee Returns

   Total Returns     Total Returns     Total Returns   Total Returns Total Returns Total Returns Total Returns

Realized Gain/(Loss)

  $(1,645,980)    $(1,908,743  $—     $0 $0 $0 $0
  

 

   

 

   

 

 

Change in Unrealized Gain/(Loss)

  $212,146    $1,749,332    $522,003   $910,566 $2,115,441 ($300,633) $419,803
  

 

   

 

   

 

 

Fair Value as of 12/31/2013

  $—      $—      $10,122,003  
  

 

   

 

   

 

 
  Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
   Equinox Frontier
Heritage Fund
 
  Total Return Swap   Total Return Swap   Total Return Swap 

Counterparty

   DeutscheBank AG     DeutscheBank AG     DeutscheBank AG  

Notional Amount

  $25,500,000    $34,400,000    $18,663,283  

Termination Date

   8/2/2018     8/7/2018     3/26/2018  

Cash Collateral

  $3,400,000    $2,880,000    $5,996,500  

Swap Value

  $37,632  �� $(423,454  $(561,316

Investee Returns

   Total Returns     Total Returns     Total Returns  

Realized Gain/(Loss)

  $—      $—      $—    
  

 

   

 

   

 

 

Change in Unrealized Gain/(Loss)

  $37,632    $(423,454  $591,793  
  

 

   

 

   

 

 

Fair Value as of 12/31/2013

  $3,437,632    $2,456,546    $5,435,184  
  

 

   

 

   

 

 
Fair Value as of 12/31/2015 $19,157,519 $8,685,849 $4,332,428 $7,960,269

5.5. Investments in Unconsolidated Trading Companies and Private Investment Companies

Investments in unconsolidated trading companiesTrading Companies and Private Investment Companies represent cash and open trade equity invested in the Trading and Private Investment Companies as well as by each Series and cumulative trading profits or losses allocated to each Series by the Trading

Companies and Private Investment Companies. Trading Companies and Private Investment Companies allocate trading profits or losses on the basis of the proportion of each Series’ capital allocated for trading to each respective Trading Company, which bears no relationship to the amount of cash invested by a Series in the Trading Company.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.

F-37

The following table summarizes each of the Series’ investments in unconsolidated Trading and Private Investment Companies as of December 31, 20142016 and 2013:2015:

 

 As of December 31, 2016 As of December 31, 2015 
 Percentage of   Percentage of   
 Series Total   Series Total   
 As of December 31, 2014 As of December 31, 2013  Capital Invested   Capital Invested   
 Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
 Fair Value Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
 Fair Value  in Unconsolidated Trading and   in Unconsolidated Trading and   

Series

     Private Investment Companies Fair Value Private Investment Companies Fair Value 
                

Equinox Frontier Diversified Fund —

                    

Frontier Trading Companies II, VII, XXIII and XXXVIII

  9.11 $6,594,379    32.84 $20,837,272  
Frontier Trading Companies II and XXXVIII  7.44% $4,201,628   28.89% $16,094,207 
Galaxy Plus Fund - Chesapeake Feeder Fund (518)  11.33%  6,399,628       
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  6.30%  3,558,715       
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  4.27%  2,412,065       
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  7.27%  4,103,564       
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  13.85%  7,819,114       
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  15.23%  8,600,401       
Galaxy Plus Fund - Quest Feeder Fund (517)  5.31%  2,996,494       
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  3.29%  1,856,786       
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  1.95%  1,099,207       
                

Equinox Frontier Masters Fund —

                    

Frontier Trading Companies II, VII, XV and XXXVIII

  30.74  $7,901,978    27.14 $9,166,710  
Frontier Trading Companies II, XV and XXXVIII  38.79% $6,678,106   33.94% $9,409,930 
Galaxy Plus Fund - Chesapeake Feeder Fund (518)  20.12%  3,455,090       
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  12.81%  2,198,618       
                

Equinox Frontier Long/Short Commodity Fund —

                    

Frontier Trading Company VII and XXXVIII

  22.96 $3,814,854    2.31 $655,769  
Frontier Trading Company XXXVIII    $   26.08% $3,414,663 
Galaxy Plus Fund - Chesapeake Feeder Fund (518)  17.39%  1,610,890       
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  17.40%  1,611,845       
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  37.70%  3,492,407       
                

Equinox Frontier Balanced Fund —

                    

Frontier Trading Companies II, VII and XXXVIII

  16.92 $18,343,927    11.26 $13,713,315  
Frontier Trading Companies II and XXXVIII  7.25% $5,965,331   19.81% $17,623,968 
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  5.09%  4,190,798       
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  3.39%  2,786,543       
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  5.00%  4,114,892       
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  8.59%  7,071,313       
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  15.34%  12,623,819       
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  12.91%  10,626,274       
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  3.63%  2,989,088       
Galaxy Plus Fund - Quest Feeder Fund (517)  1.10%  902,546       
                

Equinox Frontier Select Fund —

                    

Frontier Trading Companies XV, XXXVIII and XXXIX

  53.06 $8,102,141    38.98 $6,864,544  
Frontier Trading Companies XXXVIII and XXXIX  24.33% $3,910,866   31.67% $4,147,840 
                

Equinox Frontier Winton Fund —

                    

Frontier Trading Company II and XXXVIII

  18.68 $7,479,658    21.24 $7,779,323  
Frontier Trading Company XXXVIII  9.96% $4,072,450   20.82% $7,274,269 
                

Equinox Frontier Heritage Fund —

                    

Frontier Trading Companies II and XXXVIII

  11.85 $1,543,386    11.39 $1,889,266    20.48% $2,744,640   13.45% $1,405,586 

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.

F-38

The following table summarizes each of the Series’ equity in earnings from unconsolidated Trading and Private Investment Companies for the years ended December 31, 2014, 20132016, 2015 and 2012:2014:

 

 Year Ended December 31, 2016 Year Ended December 31, 2015 Year Ended December 31, 2014 
 Year Ended December 31, 2014 Year Ended December 31, 2013 Year Ended December 31, 2012  Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
                                                 

Equinox Frontier Diversified Fund

                                                            

Frontier Trading Company I LLC

 $(56,592 $861,109   $(449,346 $355,167   $(383,335 $1,053,896   $1,169,622   $1,840,183   $(666,495 $379,619   $831,056   $544,181   $(260,168) $1,794,827  $(157,591) $1,377,068  $(174,766) $636,671  $(1,288,141) $(826,236) $(56,592) $861,109  $(449,346) $355,167 

Frontier Trading Company II LLC

  (18,020  3,293,893    (112,838  3,163,035    (22,917  1,744,610    380,208    2,101,901    (33,250  (318,474  (373,733  (725,457  (41,971)  375,453   (167,387)  166,096   (14,685)  1,025,202   (406,220)  604,297   (18,020)  3,293,893   (112,838)  3,163,035 

Frontier Trading Company V LLC

  —      —      —      —      (390,604  (10,536,063  735,737    (10,190,930  (72,476  (559,423  117,928    (513,972

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —      —      —      —      —    

Frontier Trading Company VII, LLC

  (411,960  202,844    (189,827  (398,943  (367,422  333,216    (574,327  (608,533  (371,733  (8,048,568  5,374,058    (3,046,243  (80,881)  (566,171)  2,065,216   1,418,164   (314,705)  4,741,557   (2,805,251)  1,621,601   (411,960)  202,844   (189,827)  (398,943)

Frontier Trading Company IX, LLC

  —      —      —      —      —      —      —      —      (12,383  (279,001  (62,409  (353,793

Frontier Trading Company XIV, LLC

  (176,563  453,928    (194,219  83,146    (188,229  1,501,029    122,929    1,435,729    (586,234  (10,276,853  (479,403  9,211,216                            (176,563)  453,928   (194,219)  83,146 

Frontier Trading Company XV, LLC

  (35,322  226,177    (719,332  (528,477  (95,562  (231,534  859,135    532,039    (138,440  (1,957,766  35,941    (2,060,266                          (35,322)  226,177   (719,332)  (528,477)

Frontier Trading Company XVIII, LLC

  —      —      —      —        —      —      (25,687  244,696    (140,804  78,204  

Frontier Trading Company XXI, LLC

  —      —      —      —      —      —      —      —      (962  13,920    410    13,368  

Frontier Trading Company XXIII, LLC

  (56,661  2,355,129    250,228    2,548,696    (28,812  (123,796  (53,712  (206,320  (35,711  (708,380  63,438    (680,653  (35,775)  705,939   (7,381)  662,782   (74,373)  591,314   (260,757)  256,184   (56,661)  2,355,129   250,228   2,548,696 

Frontier Trading Company XXXVIII, LLC

  (42,802  491,468    (534,467  (85,801  (7,648  24,276    688,890    705,518    —      —      —      —      (27,594)  (774,261)  219,387   (582,468)  (32,830)  (469,048)  (312,060)  (813,938)  (42,802)  491,468   (534,467)  (85,801)

Frontier Trading Company XXXIX, LLC

  —      —      —      —       —      (133,974  (133,974   —      3,222    3,222  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (3,869)  (34,071)  (105,274)  (143,214)                        
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  (149,772)  298,066   (250,532)  (102,238)                        
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (27,745)  85,845   9,802   67,902                         
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (183,726)  1,333,450   (536,657)  613,067                         
Galaxy Plus Fund - FORT Global Managed Futures Feeder Fund (510) LLC  (77,260)  (333,316)  (134,742)  (545,318)                        
Galaxy Plus Fund - LRR Feeder Fund (522) LLC        168,157   168,157                         
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (150,214)  1,801,432   126,477   1,777,695                         
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (187,460)  (50,960)  (3,553)  (241,973)                        
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (100,928)  (1,316,487)  181,341   (1,236,074)                        

Total

 $(797,920 $7,884,548   $(1,949,801 $5,136,823   $(1,484,529 $(6,234,366 $3,194,508   $(4,524,387 $(1,943,373 $(21,510,230 $5,366,482   $2,466,586   $(1,327,363) $3,319,746  $1,407,263  $3,399,647  $(611,359) $6,525,696  $(5,072,429) $841,908  $(797,920) $7,884,548  $(1,949,801) $5,136,823 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                                 

Equinox Frontier Masters Fund

                                                            

Frontier Trading Company I LLC

 $(29,964 $2,475,252   $846,879   $3,292,168   $—     $—     $—     $—     $—     $—     $—     $—     $(8,585) $(261,142) $(80,621) $(350,348) $(19,418) $1,409,880  $(731,212) $659,250  $(29,964) $2,475,252  $846,879  $3,292,168 

Frontier Trading Company II LLC

  (12,830  2,110,837    (41,715  2,056,292    (14,320  1,222,601    297,737    1,506,018    (15,979  (125,644  (202,314  (343,937  (47,472)  224,660   (93,987)  83,200   (9,119)  572,163   (270,658)  292,386   (12,830)  2,110,837   (41,715)  2,056,292 

Frontier Trading Company XIV, LLC

  (157,662  256,238    (220,014  (121,438  (271,557  (4,409,304  566,462    (4,114,399  (261,268  4,308,077    (386,676  3,660,133                            (157,662)  256,238   (220,014)  (121,438)

Frontier Trading Company XV, LLC

  (95,155  1,821,877    (298,358  1,428,364    (150,972  86,216    877,749    812,993    (50,834  (706,005  308,008    (448,830  (81,133)  556,129   515,821   990,817   (58,573)  672,604   (578,027)  36,004   (95,155)  1,821,877   (298,358)  1,428,364 

Frontier Trading Company XXXVIII, LLC

  (21,756  140,219    (295,159  (176,696  (4,396  8,274    417,157    421,035    —      —      —      —      (14,141)  (157,740)  (2,979)  (174,860)  (13,922)  (268,618)  (95,734)  (378,274)  (21,756)  140,219   (295,159)  (176,696)

Frontier Trading Company VII, LLC

  (7,353  (276,940  424,792    140,499            (48,485)  (371,921)  1,208,006   787,600   (173,078)  5,008,076   (3,958,426)  876,572   (7,353)  (276,940)  424,792   140,499 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  (137,582)  164,544   (213,762)  (186,800)                        
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (174,044)  803,903   (290,958)  338,901                         

Total

 $(324,720 $6,527,483   $416,425   $6,619,189   $(441,245 $(3,092,213 $2,159,105   $(1,374,353 $(328,081 $3,476,428   $(280,982 $2,867,366   $(511,443) $958,432  $1,041,519  $1,488,510  $(274,110) $7,394,105  $(5,634,057) $1,485,938  $(324,720) $6,527,483  $416,425  $6,619,189 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                                 

Equinox Frontier Long/Short Commodity Fund

                                                            

Frontier Trading Company I LLC

 $—     $—     $—     $—     $(35,831 $(778,371 $98,091   $(716,111 $(66,753 $(2,961,869 $(118,563 $(3,147,185 $(4,003) $(145,864) $(32,717) $(182,583) $(2,922) $156,796  $2,785  $156,659  $  $  $  $ 

Frontier Trading Companies VII, LLC

  (299,598  1,967,325    (225,547  1,442,177    —      —      —      —      —      —      —     $—     $(30,875) $12,784  $312,798  $294,706   (242,250)  2,483,192   (2,226,339)  14,603   (299,598)  1,967,325   (225,547)  1,442,177 

Frontier Trading Companies XVIII, LLC

  (15,497  72,295    (141,056  (84,258  —      —      —      —      (11,271  116,615    (48,976 $56,368                            (15,497)  72,295   (141,056)  (84,258)

Frontier Trading Companies XXIII, LLC

  —      —      —      —      (7,153  (263,068  (24,083  (294,304  (25,676  (271,193  44,488    (252,381

Frontier Trading Company XXXVIII, LLC

  —      —      —      —      (3,655  8,224    329,811    334,380    —      —      —      —      481   (202,254)  (106,559)  (308,333)  (7,510)  (34,498)  (63,213)  (105,221)            
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  (80,356)  76,603   (60,807)  (64,560)                        
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (144,093)  371,651   (44,364)  183,194                         
Galaxy Plus Fund - LRR Feeder Fund (522) LLC        (321,568)  (321,568)                        

Total

 $(315,095 $2,039,620   $(366,603 $1,357,919   $(46,639 $(1,033,215 $403,819   $(676,035 $(103,699 $(3,116,446 $(123,051 $(3,343,198 $(258,847) $112,919  $(253,217) $(399,144) $(252,682) $2,605,490  $(2,286,767) $66,041  $(315,095) $2,039,620  $(366,603) $1,357,919 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                                 

Equinox Frontier Balanced Fund

                                                            

Frontier Trading Company I LLC

 $(297,247 $5,035,125   $(115,047  4,622,830   $—     $—     $—     $—     $—     $—     $—     $—     $(291,912) $2,837,851  $335,254   2,881,192  $(398,418) $5,226,529  $700,620   5,528,731  $(297,247) $5,035,125  $(115,047) $4,622,830 

Frontier Trading Company II LLC

  (23,501  4,239,577    (319,850  3,896,226    (41,208  3,181,908    864,178    4,004,878    (67,249  (581,781  (1,149,111  (1,798,141  (46,423)  503,024   (202,956)  253,645   (19,305)  1,235,015   (499,116)  716,594   (23,501)  4,239,577   (319,850)  3,896,226 

Frontier Trading Company V LLC

  —      —      —      —      (13,876  1,530,385    (272,459  1,244,049    (121,345  (794,389  275,695    (640,039                                    

Frontier Trading Company VII, LLC

  (424,248  (527,556  479,923    (471,881  (466,389  (1,846,245  (70,237  (2,382,871  (688,216  (15,920,067  10,834,816    (5,773,467  (97,941)  (464,066)  2,290,012   1,728,005               (424,248)  (527,556)  479,923   (471,881)

Frontier Trading Company XIV, LLC

  (75,543  (1,180,680  610,861    (645,362  (485,436  (14,489,050  774,556    (14,199,930  —      —      —      —                  (351,880)  5,102,783   (3,041,589)  1,709,314   (75,543)  (1,180,680)  610,861   (645,362)

Frontier Trading Company XV, LLC

  (63,893  (160,880  (379,890  (604,663  (136,258  (159,393  941,482    645,831    12,378    (9  30,242    42,611                (140)  (89,150)  89,443   153   (63,893)  (160,880)  (379,890)  (604,663)

Frontier Trading Company XVIII, LLC

  (69,979  240,985    (611,413  (440,407  (9,693  (192,512  (91,675  (293,880  (15,364  (99,576  (37,208  (102,148                          (69,979)  240,985   (611,413)  (440,407)

Frontier Trading Company XXIII, LLC

  —      —      —      —      (3,526  (194,695  546    (197,675  —      —      —      —    

Frontier Trading Company XXXVIII, LLC

  —      —      —      —      (13,880  56,461    1,231,131    1,273,712    —      —      —      —      (50,346)  (933,870)  45,351   (938,865)  (50,360)  (940,340)  (356,821)  (1,347,521)            

Frontier Trading Company XXXIX, LLC

  —      —      (1,538  (1,538  (1,468  —      (426,090  (427,558  (2,804  229,730    45,494    254,420    1,439   9,370      10,809                     (1,538)  (1,538)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (4,516)  (51,106)  (157,835)  (213,457)                        
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (38,036)  146,344   14,161   122,469                         
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  (198,195)  1,635,772   (663,594)  773,983                         
Galaxy Plus Fund - FORT Global Managed Futures Feeder Fund (510) LLC  (107,226)  (573,181)  (250,610)  (931,017)                        
Galaxy Plus Fund - LRR Feeder Fund (522) LLC        475,116   475,116                         
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (190,774)  2,874,017   206,726   2,889,969                         
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (194,640)  (62,341)  (4,212)  (261,193)                        
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (25,081)  (394,581)  54,174   (365,488)                        

Total

 $(954,411 $7,646,571   $(336,954 $6,355,205   $(1,171,734 $(12,113,141 $2,951,432   $(10,333,444 $(882,600 $(17,166,092 $9,999,928   $(8,016,764 $(1,243,650) $5,527,232  $2,141,586  $6,425,168  $(820,103) $10,534,837  $(3,107,463) $6,607,271  $(954,411) $7,646,571  $(336,954) $6,355,205 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

                                                 
Equinox Frontier Select Fund                                                
Frontier Trading Company XV, LLC $  $  $  $  $(551) $(27,784) $2,173  $(25,285) $(114,984) $2,118,779  $268,057  $2,271,852 
Frontier Trading Company XXXVIII, LLC  (6,694)  107,531   15,974   116,811   (2,400)  (20,889)  2,353   (21,812)  (9,950)  48,480   (134,625)  (96,095)
Frontier Trading Company XXXIX, LLC  (3,394)     255,179   251,785         208,164   208,164   (1,556)     972,201   970,645 
Total $(10,088) $107,531  $271,153  $368,596  $(2,951) $(48,673) $212,691  $161,067  $(126,490) $2,167,259  $1,105,633  $3,146,402 
                                                
Equinox Frontier Winton Fund                                                
Frontier Trading Company II LLC $  $  $  $  $(30,241) $1,667,631  $(315,582) $1,321,808  $(56,653) $10,628,427  $(345,639) $10,226,134 
Frontier Trading Company XXXVIII, LLC  (47,781)  (149,255)  16,046   (180,989)  (29,071)  (537,770)  (197,417)  (764,258)  (35,145)  543,298   (319,714)  188,439 
Total $(47,781) $(149,255) $16,046  $(180,989) $(59,312) $1,129,861  $(512,999) $557,550  $(91,798) $11,171,725  $(665,353) $10,414,573 
                                                
Equinox Frontier Heritage Fund                                                
Frontier Trading Company II LLC $(70,018) $271,702  $(119,174) $82,510  $(9,825) $656,945  $(261,763) $385,357  $(12,408) $2,222,268  $(27,968) $2,181,892 
Frontier Trading Company XXXVIII, LLC  (10,777)  (5,851)  (10,397)  (27,026)  (6,511)  (117,306)  (41,273)  (165,090)  (9,194)  79,780   (115,037)  (44,451)
Total $(80,795) $265,851  $(129,571) $55,484  $(16,336) $539,639  $(303,036) $220,267  $(21,602) $2,302,048  $(143,005) $2,137,441 

F-39

The Series investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table:

  Year Ended December 31, 2014  Year Ended December 31, 2013  Year Ended December 31, 2012 
  Trading
Commissions
  Realized
Gain/(Loss)
  Change in
Unrealized
Gain/(Loss)
  Net Income
(Loss)
  Trading
Commissions
  Realized
Gain/(Loss)
  Change in
Unrealized
Gain/(Loss)
  Net Income
(Loss)
  Trading
Commissions
  Realized
Gain/(Loss)
  Change in
Unrealized
Gain/(Loss)
  Net Income
(Loss)
 

Equinox Frontier Select Fund

            

Frontier Trading Company V LLC

 $—     $—     $—     $—     $(12,346 $1,188,592   $(78,854 $1,097,392   $(135,567 $479,014   $(1,268,937 $(925,490

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —      —      —      —      —    

Frontier Trading Company XV, LLC

  (114,984  2,118,779    268,057    2,271,852    (99,896  135,861    532,850    568,815   $(70,871 $(950,142 $77,828   $(943,185

Frontier Trading Company XXI, LLC

  —      —      —      —      —      —      —      —      (43,270  537,591    (559,922  (65,600

Frontier Trading Company XXXVIII, LLC

  (9,950  48,480    (134,625  (96,095  (2,171  2,703    197,661    198,193    —      —      —      —    

Frontier Trading Company XXXIX, LLC

  (1,556  —      972,201    970,645    (903  —      (558  (1,461  —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(126,490 $2,167,259   $1,105,633   $3,146,402   $(115,316 $1,327,156   $651,099   $1,862,939   $(249,708 $66,463   $(1,751,031 $(1,934,275
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Winton Fund

            

Frontier Trading Company II LLC

 $(56,653 $10,628,427   $(345,639 $10,226,134   $(48,366 $4,129,621   $1,010,136   $5,091,391   $(53,999 $(424,479 $(682,973 $(1,161,451

Frontier Trading Company XXXVIII ,LLC

  (35,145  543,298    (319,714  188,439    (5,335  21,267    483,243    499,175    —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(91,798 $11,171,725   $(665,353 $10,414,573   $(53,701 $4,150,888   $1,493,379   $5,590,566   $(53,999 $(424,479 $(682,973 $(1,161,451
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Heritage Fund

            

Frontier Trading Company II LLC

 $(12,408 $2,222,268   $(27,968 $2,181,892   $(10,901 $918,667   $269,597   $1,177,363   $(17,665 $(174,117 $(48,215 $(239,998

Frontier Trading Company V LLC

  —      —      —      —      (13,268  1,404,612    (205,240  1,186,104    (160,692  (1,010,779  817,072    (354,399

Frontier Trading Company XXXVIII, LLC

  (9,194  79,780    (115,037  (44,451  (1,892  2,537    172,623    173,268    —      —      —      —    

Frontier Trading Company XXXIX, LLC

  —      —      —      —      (1,129  —      (328,473  (329,602  —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(21,602 $2,302,048   $(143,005 $2,137,441   $(27,190 $2,325,816   $(91,493 $2,207,133   $(178,357 $(1,184,896 $768,857   $(594,397
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

RedemptionsRedemptionsLiquidity
Notice PeriodPermittedRestrictions
Equinox Frontier Diversified Fund
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC24 hoursWeeklyNone
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC24 hoursWeeklyNone
Galaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursWeeklyNone
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC24 hoursWeeklyNone
Equinox Frontier Masters Fund
Trend Following
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNone
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNone
Equinox Frontier Long/Short Commodity Fund
Trend Following
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNone
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursWeeklyNone
Equinox Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC24 hoursWeeklyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursWeeklyNone
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC24 hoursWeeklyNone
Galaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursWeeklyNone
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC24 hoursWeeklyNone

F-40

6.6. 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 advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is requiredwill make contributions to the Series of the Trust necessary to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of allthe combined Series 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 Equinox Frontier Balanced Fund Class 1a1AP and 2a Units, aggregated, and each of the Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Diversified Fund and Equinox 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 Unitsgeneral units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase Limited Unitslimited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the nominal assets of such Series allocated to Trading Companies, calculated on a daily basis. 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 nominal 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 seriesSeries allocated to trading advisorsTrading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the trading advisorsTrading 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 advisorsTrading Advisors and any reference programs, is referred to herein as the “nominal assets” of the series.Series. The annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund Class 1, Class 2 and Class 3, 1.0% for the Equinox Frontier Balanced Fund Class 1a1AP, Class 2a and Class 2a,3a, 2.0% for the Equinox Frontier Winton Fund, Equinox Frontier Long/Short Commodity Fund Class 1a, Class 2a, and Class 2a3a and Equinox Frontier Masters Fund, 0.75% for Equinox Frontier Diversified Fund, 2.5% for the Equinox Frontier Heritage Fund and Equinox Frontier Select Fund, and 3.5% for the Equinox Frontier Long/Short Commodity Fund Class 1, Class 2 and Class 2.3. 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 seriesSeries by the Managing Owner. As of the date of this Form 10-K, the trading advisorTrading Advisor for a seriesSeries that has invested in a swap has not received any management fees directly from the seriesSeries for such swap, and instead the relevant trading advisorTrading Advisor receives compensation via the fees embedded in the swap.

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

Trading Fees—FeesIn connection with each Series’ trading activities, the Equinox Frontier Long/Short Commodity Fund (Classesfrom January 1, 2 and 3),2016 through October 23, 2016, the Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund payspaid to the Managing Owner a trading fee, or FCM Fee, of up to

0.75% per annum of such Series’ NAV, calculated daily. Thedaily; thereafter each of the Series pays to the Managing Owner a FCM Fee of up to 2.25% per annum of nominal 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. From January 1, 2016 through April 28, 2016, the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Classes 1a and 2a) and Equinox Frontier Masters Fund payspaid to the Managing Owner a trading fee, or FCM Fee of up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily; thereafter each of such Series pays to the Managing Owner a FCM Fee of up to 2.25% of nominal 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.

F-41

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 Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox 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 Equinox Frontier Balanced Fund and the Equinox Frontier Diversified Fund and 20% for the Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, Equinox Frontier Long/Short Commodity Fund and Equinox Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or service feesquarterly to the Managing Owner a service fee of up to 3% of NAV annually, which the Managing Owner pays to selling agents of the Trust, with respect to the Series.

F-42

The following table summarizes fees earned by the Managing Owner for the years ended December 31, 2014, 20132016, 2015 and 2012.2014.

 

For the Year Ended December 31, 2016 Incentive Fee Management Fee Service Fee Trading Fee 
                

For the Year Ended December 31, 2014

  Incentive Fee   Management Fee   Service Fee   Trading Fee 

Equinox Frontier Diversified Fund

  $4,461,365    $1,042,209    $499,021    $1,287,161   $1,144,159  $503,844  $247,399  $1,435,003 

Equinox Frontier Masters Fund

   1,123,545     903,032     309,234     603,389    245,244   452,071   151,627   537,884 

Equinox Frontier Long/Short Commodity Fund

   253,177     821,891     132,136     280,737    46,931   201,423   66,889   191,525 

Equinox Frontier Balanced Fund

   3,620,437     1,092,555     2,027,439     694,288    1,395,151   494,734   1,833,220   909,129 

Equinox Frontier Select Fund

   363,142     496,959     394,486     109,839    41,072   271,176   351,053   115,267 

Equinox Frontier Winton Fund

   1,800,488     1,172,990     724,365     263,069    99,067   1,069,141   681,308   320,680 

Equinox Frontier Heritage Fund

   370,450     327,702     270,399     88,113    9,072   242,764   254,775   104,146 
                

For the Year Ended December 31, 2013

  Incentive Fee   Management Fee   Service Fee   Trading Fee 
For the Year Ended December 31, 2015 Incentive Fee Management Fee Service Fee Trading Fee 
                

Equinox Frontier Diversified Fund

  $760,048    $1,417,230    $1,000,514    $2,113,117   $2,068,435  $983,948  $412,335  $1,394,350 

Equinox Frontier Masters Fund

   —       1,271,594     639,244     1,045,459    618,626   696,963   226,790   579,677 

Equinox Frontier Long/Short Commodity Fund

   —       2,055,684     307,350     658,060    322,090   532,836   109,284   243,193 

Equinox Frontier Balanced Fund

   1,348,994     1,556,049     3,292,195     1,153,606    1,707,167   1,029,988   2,113,776   740,451 

Equinox Frontier Select Fund

   —       626,553     575,265     163,310    158,971   304,539   395,169   110,262 

Equinox Frontier Winton Fund

   128,097     1,062,550     857,710     292,162    715,409   1,199,380   764,354   288,023 

Equinox Frontier Heritage Fund

   15,411     366,837     423,800     132,205    132,676   280,570   287,946   96,359 
                

For the Year Ended December 31, 2012

  Incentive Fee   Management Fee   Service Fee   Trading Fee 
For the Year Ended December 31, 2014 Incentive Fee Management Fee Service Fee Trading Fee 
                

Equinox Frontier Diversified Fund

  $3,269,159    $1,896,102    $1,476,222    $2,955,458   $4,461,365  $1,042,209  $499,021  $1,287,161 

Equinox Frontier Masters Fund

   488,081     1,429,284     786,529     1,312,873    1,123,545   903,032   309,234   603,389 

Equinox Frontier Long/Short Commodity Fund

   1,059,104     3,459,419     462,999     1,029,157    253,177   821,891   132,136   280,737 

Equinox Frontier Balanced Fund

   7,081,173     2,533,302     4,987,704     1,784,001    3,620,437   1,092,555   2,027,439   694,288 

Equinox Frontier Select Fund

   65,989     1,272,443     865,891     244,837    363,142   496,959   394,486   109,839 

Equinox Frontier Winton Fund

   —       1,046,035     1,046,931     342,792    1,800,488   1,172,990   724,365   263,069 

Equinox Frontier Heritage Fund

   —       1,006,221     624,024     192,557    370,450   327,702   270,399   88,113 

F-43

The following table summarizes fees payable to the Managing Owner as of December 31, 20142016 and 2013.2015.

 

As of December 31, 2016           
 Incentive Fees Management Fees Interest Fees Service Fees Trading Fees 

As of December 31, 2014

  Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 
                    

Equinox Frontier Diversified Fund

  $2,387,825    $86,486    $16,168    $34,905    $132,984   $  $23,496  $  $15,193  $147,183 

Equinox Frontier Masters Fund

   722,043     64,497     6,898     17,260     55,912       50,174      9,037   57,890 

Equinox Frontier Long/Short Commodity Fund

   158,660     45,361     3,713     10,562     24,436             3,542   23,478 

Equinox Frontier Balanced Fund

   1,793,318     101,208     84,976     167,151     66,037       25,217   21,606   129,956   203,324 

Equinox Frontier Select Fund

   185,791     27,835     13,263     32,520     10,119       21,219   3,518   25,966   18,129 

Equinox Frontier Winton Fund

   1,178,364     114,823     63,722     52,753     26,690       256,824   30,730   39,370   55,142 

Equinox Frontier Heritage Fund

   239,327     27,944     14,543     20,964     8,676       56,501   7,420   16,457   17,953 

As of December 31, 2013

  Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 

Equinox Frontier Diversified Fund

  $575,550    $101,504    $16,220    $46,263    $136,166  

Equinox Frontier Masters Fund

   —       107,027     9,587     35,858     72,687  

Equinox Frontier Long/Short Commodity Fund

   —       104,883     7,965     14,965     34,788  

Equinox Frontier Balanced Fund

   691,917     113,085     146,282     190,286     73,125  

Equinox Frontier Select Fund

   —       49,798     22,398     39,045     11,545  

Equinox Frontier Winton Fund

   128,097     100,260     59,865     53,054     23,844  

Equinox Frontier Heritage Fund

   15,411     28,615     19,767     25,485     9,212  

As of December 31, 2015               
  Incentive Fees  Management Fees  Interest Fees  Service Fees  Trading Fees 
                     
Equinox Frontier Diversified Fund $204,914  $81,940  $11,661  $17,020  $121,065 
Equinox Frontier Masters Fund  42,251   54,674   4,957   12,098   48,501 
Equinox Frontier Long/Short Commodity Fund  28,408   48,210   1,368   6,841   17,129 
Equinox Frontier Balanced Fund  106,563   80,574   77,642   145,576   57,450 
Equinox Frontier Select Fund     22,884   3,549   29,092   8,515 
Equinox Frontier Winton Fund     93,171   49,624   44,422   22,405 
Equinox Frontier Heritage Fund     21,490   11,066   18,807   7,457 

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 year ended December 31, 2014, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were ($2,794) for the Equinox Frontier Balanced Fund, ($345) for the Equinox Frontier Long/Short Commodity Fund, ($3,407) for the Equinox Frontier Diversified Fund, ($507) for the Equinox Frontier Select Fund, ($1,902) for the Equinox Frontier Heritage Fund, ($11,403) for the Equinox Frontier Winton Fund and $989 for the Equinox Frontier Masters Fund.

For the year ended December 31, 2013, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were ($8,006) for the Equinox Frontier Balanced Fund, $2,379 for the Equinox Frontier Long/Short Commodity Fund, ($7,050) for the Equinox Frontier Diversified Fund, ($158) for the Equinox Frontier Select Fund, ($544) for the Equinox Frontier Heritage Fund, ($2,653) for the Equinox Frontier Winton Fund and ($2,196) for the Equinox Frontier Masters Fund.

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 Equinox Frontier Balanced Fund (Class 1 and Class 2 only)2), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1a1AP, Class 2a and Class 2a3a only), 20% of the total interest allocated to each Series iswas paid to the Managing Owner.Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series.

F-44

The following table outlines the interestamounts paid by each Series to the Managing Owner and its ratio to average net assets for the years ended December 31, 2014, 20132016, 2015 and 2012:2014:

 

  2014  2013  2012  2014  2013  2012 
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
 

Equinox Frontier Diversified Fund Class 1

 $56,582   $181,530   $295,820    0.30  0.41  0.45

Equinox Frontier Diversified Fund Class 2

  81,752    177,826    259,145    0.28  0.40  0.45

Equinox Frontier Diversified Fund Class 3

  6,433    n/a    n/a    0.19  n/a    n/a  

Equinox Frontier Masters Fund Class 1

  42,395    131,340    191,911    0.36  0.43  0.52

Equinox Frontier Masters Fund Class 2

  25,486    61,324    95,207    0.31  0.44  0.52

Equinox Frontier Masters Fund Class 3

  6,663    (5,941  n/a    0.23  -2.42  n/a  

Equinox Frontier Long/Short Commodity Fund Class 1

  n/a    n/a    4,995    n/a    n/a    0.51

Equinox Frontier Long/Short Commodity Fund Class 2

  4,779    22,307    45,136    0.36  0.47  0.31

Equinox Frontier Long/Short Commodity Fund Class 3

  22,800    105,031    133,169    0.31  0.86  0.74

Equinox Frontier Long/Short Commodity Fund Class 1a

  18,852    70,738    104,420    0.32  0.49  0.65

Equinox Frontier Long/Short Commodity Fund Class 2a

  6,122    37,950    62,752    0.35  0.52  0.35

Equinox Frontier Long/Short Commodity Fund Class 3a

  1,454    n/a    n/a    0.27  n/a    n/a  

Equinox Frontier Balanced Fund Class 1

  846,398    2,035,387    3,014,199    1.34  1.86  1.83

Equinox Frontier Balanced Fund
Class 1AP

  3,342    n/a    n/a    0.02  n/a    n/a  

Equinox Frontier Balanced Fund
Class 1a

  n/a    n/a    2,299    n/a    n/a    0.40

Equinox Frontier Balanced Fund
Class 2

  275,448    750,916    1,051,444    1.34  1.87  1.83

Equinox Frontier Balanced Fund
Class 2a

  1,252    14,505    5,807    0.25  1.86  0.40

Equinox Frontier Balanced Fund
Class 3a

  5,429    51,031    15,256    0.26  1.84  0.40

Equinox Frontier Select Fund
Class 1

  152,289    363,902    583,720    1.22  1.90  2.01

Equinox Frontier Select Fund
Class 1AP

  223    n/a    n/a    0.00  n/a    n/a  

Equinox Frontier Select Fund
Class 2

  17,051    49,789    78,593    1.23  1.92  2.01

Equinox Frontier Winton Fund
Class 1

  418,922    551,889    697,090    1.82  1.93  2.01

  2016  2015  2014  2016  2015  2014 
  Gross Amount  Gross Amount  Gross Amount          
  Paid to the  Paid to the  Paid to the  Ratio to  Ratio to  Ratio to 
  Managing  Managing  Managing  Average Net  Average Net  Average Net 
  Owner  Owner  Owner  Assets  Assets  Assets 
                         
Equinox Frontier Diversified Fund Class 1 $9,494  $42,063  $56,582   0.12%  0.26%  0.30%
Equinox Frontier Diversified Fund Class 2  39,041   88,023   81,752   0.11%  0.26%  0.28%
Equinox Frontier Diversified Fund Class 3  12,736   20,751   6,433   0.10%  0.25%  0.19%
Equinox Frontier Masters Fund Class 1  9,336   27,443   42,395   0.14%  0.27%  0.36%
Equinox Frontier Masters Fund Class 2  9,303   22,999   25,486   0.14%  0.27%  0.31%
Equinox Frontier Masters Fund Class 3  8,976   14,793   6,663   0.13%  0.27%  0.23%
Equinox Frontier Long/Short Commodity Fund Class 2  197   2,633   4,779   0.02%  0.22%  0.36%
Equinox Frontier Long/Short Commodity Fund Class 3  1,391   15,721   22,800   0.03%  0.22%  0.31%
Equinox Frontier Long/Short Commodity Fund Class 1a  1,108   11,732   18,852   0.03%  0.22%  0.32%
Equinox Frontier Long/Short Commodity Fund Class 2a  282   3,498   6,122   0.02%  0.22%  0.35%
Equinox Frontier Long/Short Commodity Fund Class 3a  171   1,695   1,454   0.02%  0.21%  0.27%
Equinox Frontier Balanced Fund Class 1  450,536   805,984   846,398   0.74%  1.15%  1.34%
Equinox Frontier Balanced Fund Class 1AP  5,135   8,750   3,342   0.74%  1.14%  0.02%
Equinox Frontier Balanced Fund Class 2  165,519   278,159   275,448   0.73%  1.14%  1.34%
Equinox Frontier Balanced Fund Class 2a  828   1,311   1,252   0.15%  0.23%  0.25%
Equinox Frontier Balanced Fund Class 3a  3,650   5,976   5,429   0.15%  0.23%  0.26%
Equinox Frontier Select Fund Class 1  38,569   65,986   152,289   0.33%  0.50%  1.22%
Equinox Frontier Select Fund Class 1AP  135   244   223   0.32%  0.50%  0.00%
Equinox Frontier Select Fund Class 2  4,752   7,429   17,051   0.33%  0.50%  1.23%
Equinox Frontier Winton Fund Class 1  315,194   450,697   418,922   1.39%  1.77%  1.82%
Equinox Frontier Winton Fund Class 1AP  518   676   544   1.39%  1.77%  0.02%
Equinox Frontier Winton Fund Class 2  167,500   209,259   188,681   1.39%  1.62%  1.75%
Equinox Frontier Heritage Fund Class 1  76,936   113,684   121,694   0.91%  1.19%  1.45%
Equinox Frontier Heritage Fund Class 1AP  340   726   337   1.00%  1.18%  0.01%
Equinox Frontier Heritage Fund Class 2  26,337   37,732   36,285   0.91%  1.18%  1.36%
                         
Total $1,347,984  $2,237,964  $2,341,213             

  2014  2013  2012  2014  2013  2012 
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
 

Equinox Frontier Winton Fund
Class 1AP

  544    n/a    n/a    0.02  n/a    n/a  

Equinox Frontier Winton Fund
Class 2

  188,681    197,408    218,605    1.75  1.91  1.87

Equinox Frontier Heritage Fund
Class 1

  121,694    270,150    415,282    1.45  1.91  2.01

Equinox Frontier Heritage Fund
Class 1AP

  337    n/a    n/a    0.01  n/a    n/a  

Equinox Frontier Heritage Fund
Class 2

  36,285    66,778    98,559    1.36  1.91  2.01
 

 

 

  

 

 

  

 

 

    

Total

 $2,341,213   $5,133,860   $7,373,409     
 

 

 

  

 

 

  

 

 

    

The Managing Owner, under an amended contract, paid to The Bornhoft Group Corporation, an affiliate of the Trust, an annual payment of $1,100,000 for the first year of the contract and $600,000 for the second year of the contract, and $300,000 for the third and final year for investment and advisor services and 0.1% annually thereafter of the trading level with the Equinox Frontier Balanced Fund in lieu of a monthly service fee. The Managing Owner paid $268,281, $1,113,677 and 766,944, respectively under this agreement for the years ended December 31, 2014, 2013 and 2012, respectively. These amounts have no impact on the Series’ financial statements.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $1,040,000, $1,415,000$0, $955,000 and, 437,245,$1,040,000, respectively, for the years ended December 31, 2016, 2015 and 2014, 2013 and 2012, respectively. These amounts have no impact on the Series’ financial statements.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $1,136,465, $1,813,029$776,430, $623,715 and, $2,627,888,$1,136,465, respectively, for the years ended December 31, 2014, 20132016, 2015 and 2012. These amounts have no impact on the Series’ financial statements.2014.

Equinox Group Distributors LLC, an affiliate under common control of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations.

During the year, Equinox Frontier Long/Short Commodity Fund borrowed from the pooled cash management account to fund a portion of its investments in Galaxy Plus entities. As of December 31, 2016, the Equinox Frontier Long/Short Commodity Fund owes the other Series $1,608,862. Equinox Frontier Long/Short Commodity Fund is being charged an annual interest rate of 0.25% on this borrowing.

F-45

During the year ended December 31, 2016, each Series changed its administrator from BNP Paribas to Gemini Hedge Fund Services, LLC. Gemini Hedge Fund Services, LLC is an affiliate of the Sponsor.

During the year ended December 31, 2016, each Series changed its transfer agency provider from Phoenix American Financial Services, Inc. to Gemini Fund Services, LLC. Gemini Fund Services, LLC is an affiliate of the Sponsor.

7.7. Financial Highlights

The following information presents the financial highlights of the Series for the years ended December 31, 2014, 20132016, 2015 and 2012.2014. This data has been derived from the information presented in the financial statements.

 

  Equinox Frontier
Diversified Fund (5)
  Equinox Frontier Masters
Fund
  Equinox Frontier Long/Short
Commodity Fund
 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 2  Class 3  Class 1a  Class 2a  Class 3a 

Per unit operating performance (1)

           

Net asset value, December 31, 2013

 $87.10   $94.35   $84.21   $91.83   $99.46   $91.91   $125.26   $125.30   $92.73   $100.34   $100.47  

Net operating results:

           

Interest income

  0.94    1.03    1.01    1.08    1.19    1.16    1.47    1.47    1.09    1.18    1.22  

Expenses

  (13.06  (12.11  (11.89  (11.55  (10.53  (10.27  (9.22  (9.26  (8.72  (7.40  (7.64

Net gain/(loss) on investments, net of non-controlling interests

  38.11    41.40    41.70    35.25    38.41    36.26    20.79    20.83    16.02    17.23    17.72  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  25.99    30.32    30.82    24.78    29.07    27.15    13.04    13.04    8.39    11.01    11.30  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, December 31, 2014

 $113.09   $124.67   $115.03   $116.61   $128.53   $119.06   $138.30   $138.34   $101.12   $111.35   $111.77  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

           

Net investment income/(loss)

  -13.72  -11.36  -11.36  -11.32  -9.17  -9.17  -6.27  -6.27  -8.35  -6.27  -6.27

Expenses before incentive fees (4)

  6.62  4.26  4.26  8.08  5.92  5.92  6.06  6.06  8.15  6.06  6.02

Expenses after incentive fees (4)

  14.78  12.41  12.41  12.49  10.34  10.34  7.46  7.46  9.54  7.46  7.46

Total return before incentive fees (2)

  38.00  40.29  44.75  31.40  33.64  33.96  11.80  11.80  10.44  12.37  12.68

Total return after incentive fees (2)

  29.84  32.14  36.60  26.98  29.23  29.54  10.41  10.41  9.05  10.97  11.25
  Equinox Frontier Balanced Fund (6)     Equinox Frontier
Select Fund (6)
       
  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, 2013

 $106.29   $102.62   $140.49   $118.80   $118.41    $79.86   $75.53   $104.14    

Net operating results:

           

Interest income

  0.03    0.03    0.04    0.04    0.04     0.00    0.00    0.00    

Expenses

  (9.48  (6.71  (8.38  (7.17  (7.13   (7.61  (5.48  (6.93  

Net gain/(loss) on investments, net of non-controlling interests

  34.70    37.26    47.01    41.35    41.20     23.36    26.77    31.27    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

   

Net income/(loss)

  25.25    30.58    38.67    34.22    34.11     15.75    21.29    24.34    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

   

Net asset value, December 31, 2014

 $131.54   $133.20   $179.16   $153.02   $152.52    $95.61   $96.82   $128.48    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

   

Ratios to average net assets (3)

           

Net investment income/(loss)

  -8.79  -5.79  -5.79  -5.79  -5.79   -9.61  -6.61  -6.61  

Expenses before incentive fees (4)

  4.92  1.92  1.92  1.92  1.92   7.14  4.14  4.14  

Expenses after incentive fees (4)

  8.82  5.82  5.82  5.82  5.82   9.61  6.61  6.61  

Total return before incentive fees (2)

  27.65  33.69  31.42  32.70  32.70   22.20  30.66  25.85  

Total return after incentive fees (2)

  23.76  29.80  27.53  28.80  28.81   19.72  28.19  23.37  

 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox 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, 2015 $115.52  $129.60  $119.87  $112.87  $126.60  $117.57  $94.76  $132.10  $106.19  $132.14  $106.86 
Net operating results:                                            
Interest income  0.67   0.75   0.70   0.77   0.87   0.81   0.19   0.26   0.20   0.26   0.21 
Expenses  (10.13)  (7.17)  (6.64)  (9.79)  (8.07)  (7.50)  (5.68)  (5.17)  (4.17)  (5.18)  (4.21)
Net gain/(loss) on investments, net of non-controlling interests  10.37   9.76   9.34   8.95   9.38   9.01   3.50   2.37   3.46   3.58   4.64 
Net income/(loss)  0.91   3.34   3.40   (0.07)  2.18   2.32   (1.98)  (2.54)  (0.52)  (1.34)  0.64 
Net asset value, December 31, 2016 $116.43  $132.94  $123.27  $112.80  $128.78  $119.89  $92.78  $129.56  $105.67  $130.80  $107.50 
                                            
Ratios to average net assets                                            
Net investment income/(loss)  -10.07%  -5.79%  -5.79%  -9.87%  -6.84%  -6.84%  -7.65%  -4.84%  -4.84%  -4.84%  -4.83%
Expenses before incentive fees (3)(4)  8.82%  4.54%  4.54%  9.54%  6.51%  6.51%  7.49%  4.68%  4.68%  4.68%  4.63%
Expenses after incentive fees (3)(4)  10.83%  6.55%  6.55%  10.75%  7.72%  7.72%  7.91%  5.10%  5.10%  5.10%  5.09%
Total return before incentive fees (2)  2.79%  4.58%  4.84%  1.15%  2.93%  3.18%  -1.67%  -1.50%  -0.07%  -0.60%  1.05%
Total return after incentive fees (2)  0.79%  2.58%  2.84%  -0.06%  1.72%  1.97%  -2.09%  -1.92%  -0.49%  -1.01%  0.60%
                                            
  Equinox Frontier Winton
Fund (6)
   Equinox Frontier
Heritage Fund (6)
  Equinox Frontier Balanced Fund    Equinox Frontier Select Fund     
      Class 1     Class 1AP     Class 2       Class 1 Class 1AP Class 2  Class 1 Class 1AP Class 2 Class 2a Class 3a    Class 1 Class 1AP Class 2     

Per unit operating performance (1)

                                                    

Net asset value, December 31, 2013

  $139.59   $138.93   $174.17    $102.05   $98.80   $134.21  
Net asset value, December 31, 2015 $128.03  $133.59  $179.69  $154.88  $154.37      $90.35  $94.28  $125.11         

Net operating results:

                                                    

Interest income

   0.00    0.00    0.00     0.00    0.00    0.00    0.15   0.15   0.21   0.18   0.18       0.01   0.00   0.01         

Expenses

   (17.82  (13.99  (17.09   (10.02  (7.36  (9.27  (8.21)  (4.49)  (6.04)  (5.22)  (5.21)      (6.11)  (3.30)  (4.37)        

Net gain/(loss) on investments, net of non-controlling interests

   54.18    53.24    69.15     38.25    40.49    51.62    14.83   15.72   21.13   19.21   19.15       9.81   10.18   13.50         
Net income/(loss)  6.77   11.38   15.30   14.17   14.12       3.71   6.88   9.14         
Net asset value, December 31, 2016 $134.80  $144.97  $194.99  $169.05  $168.49      $94.06  $101.16  $134.25         
  

 

  

 

  

 

   

 

  

 

  

 

                                             

Net income/(loss)

   36.36    39.25    52.06     28.23    33.13    42.35  
  

 

  

 

  

 

   

 

  

 

  

 

 

Net asset value, December 31, 2014

  $175.95   $178.18   $226.23    $130.28   $131.93   $176.56  
  

 

  

 

  

 

   

 

  

 

  

 

 

Ratios to average net assets (3)

        
Ratios to average net assets                                            

Net investment income/(loss)

   -12.22  -9.22  -9.22   -9.68  -6.67  -6.67  -7.65%  -3.62%  -3.62%  -3.62%  -3.62%      -8.44%  -4.26%  -4.24%        

Expenses before incentive fees (4)

   7.09  4.09  4.09   6.53  3.53  3.53

Expenses after incentive fees (4)

   12.22  9.22  9.22   9.68  6.67  6.67
Expenses before incentive fees (3)(4)  6.20%  2.16%  2.16%  2.16%  2.16%      8.14%  3.94%  3.94%        
Expenses after incentive fees (3)(4)  7.80%  3.77%  3.77%  3.77%  3.77%      8.45%  4.26%  4.26%        

Total return before incentive fees (2)

   31.18  33.38  35.02   30.81  36.68  34.70  6.89%  10.12%  10.12%  10.75%  10.75%      4.42%  7.61%  7.62%        

Total return after incentive fees (2)

   26.05  28.25  29.89   27.66  33.53  31.56  5.29%  8.52%  8.51%  9.15%  9.15%      4.11%  7.30%  7.31%        
                                            
 Equinox Frontier Winton Fund Equinox 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, 2015 $164.17  $171.31  $217.51  $124.27  $129.67  $173.54                     
Net operating results:                                            
Interest income  0.04   0.04   0.05   0.02   0.00   0.02                     
Expenses  (12.41)  (7.86)  (9.99)  (7.76)  (4.25)  (5.60)                    
Net gain/(loss) on investments, net of non-controlling interests  2.72   2.68   3.41   3.05   3.18   4.14                     
Net income/(loss)  (9.66)  (5.14)  (6.53)  (4.69)  (1.07)  (1.44)                    
Net asset value, December 31, 2016 $154.51  $166.17  $210.98  $119.58  $128.60  $172.10                     
                                            
Ratios to average net assets                                            
Net investment income/(loss)  -9.91%  -5.88%  -5.88%  -8.17%  -4.15%  -4.14%                    
Expenses before incentive fees (3)(4)  9.66%  5.63%  5.63%  8.11%  4.07%  4.07%                    
Expenses after incentive fees (3)(4)  9.94%  5.91%  5.91%  8.19%  4.15%  4.15%                    
Total return before incentive fees (2)  -5.60%  -2.71%  -2.72%  -3.69%  -0.75%  -0.75%                    
Total return after incentive fees (2)  -5.88%  -3.00%  -3.00%  -3.77%  -0.83%  -0.83%                    

 

(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)Annualized with the exception of incentive fees.
(4)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.
(5)Class 3 began operations on February 24, 2014.
(6)Class 1AP was created as a sub-class of Class 1 as of July 31, 2014, and it has been presented separately because the fees applicable to it are different from those applicable to Class 1 generally.

  Equinox Frontier
Diversified Fund
  Equinox Frontier Masters
Fund
  Equinox Frontier Long/Short Commodity
Fund (5)
 
  Class 1  Class 2  Class 1  Class 2  Class 3  Class 2  Class 3  Class 1a  Class 2a  Class 3a 

Per unit operating performance (1)

          

Net asset value, December 31, 2012

 $94.40   $100.48   $101.11   $107.61   $88.01   $145.65   $145.69   $108.58   $115.45   $109.60  

Net operating results:

          

Interest income

  1.53    1.64    1.66    1.78    2.25    3.15    2.93    2.48    2.69    2.46  

Expenses

  (6.23  (4.55  (7.11  (5.45  (6.89  (9.03  (8.41  (9.30  (7.72  (7.06

Net gain/(loss) on investments, net of non-controlling interests

  (2.60  (3.22  (3.83  (4.48  8.54    (14.51  (14.91  (9.03  (10.08  (4.53
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  (7.30  (6.13  (9.28  (8.15  3.90    (20.39  (20.39  (15.85  (15.11  (9.13
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, December 31, 2013

 $87.10   $94.35   $91.83   $99.46   $91.91   $125.26   $125.30   $92.73   $100.34   $100.47  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

          

Net investment income/(loss)

  -5.34  -3.08  -5.63  -3.52  -3.52  -4.55  -4.55  -6.68  -4.55  -4.55

Expenses before incentive fees (4)

  6.22  3.96  7.34  5.23  5.23  6.98  6.98  9.11  6.98  6.98

Expenses after incentive fees (4)

  7.07  4.82  7.34  5.23  5.23  6.98  6.98  9.11  6.98  6.98

Total return before incentive fees (2)

  -6.88  -5.25  -9.18  -7.57  4.43  -14.00  -14.00  -14.60  -13.09  -8.33

Total return after incentive fees (2)

  -7.73  -6.10  -9.18  -7.57  4.43  -14.00  -14.00  -14.60  -13.09  -8.33
  Equinox Frontier Balanced Fund     Equinox Frontier
Select Fund
          
  Class 1  Class 2  Class 2a  Class 3a     Class 1  Class 2          

Per unit operating performance (1)

          

Net asset value, December 31, 2012

 $116.32   $149.20   $124.36   $123.96    $78.66   $99.55     

Net operating results:

          

Interest income

  0.20    0.26    0.22    0.22     0.96    1.23     

Expenses

  (6.13  (3.73  (3.13  (3.12   (5.29  (3.72   

Net gain/(loss) on investments, net of non-controlling interests

  (4.10  (5.24  (2.65  (2.65   5.53    7.08     
 

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

    

Net income/(loss)

  (10.03  (8.71  (5.56  (5.55   1.20    4.59     
 

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

    

Net asset value, December 31, 2013

 $106.29   $140.49   $118.80   $118.41    $79.86   $104.14     
 

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

    

Ratios to average net assets (3)

          

Net investment income/(loss)

  -5.47  -2.46  -2.46  -2.46   -5.43  -2.43   

Expenses before incentive fees (4)

  4.77  1.77  1.77  1.77   6.63  3.63   

Expenses after incentive fees (4)

  5.65  2.65  2.65  2.65   6.63  3.63   

Total return before incentive fees (2)

  -7.74  -4.96  -3.59  -3.60   1.53  4.61   

Total return after incentive fees (2)

  -8.62  -5.84  -4.47  -4.48   1.53  4.61   

   Equinox Frontier
Winton Fund
  Equinox Frontier
Heritage Fund (6)
 
   Class 1  Class 2  Class 1  Class 2 

Per unit operating performance (1)

     

Net asset value, December 31, 2012

  $130.73   $158.30   $94.55   $120.67  

Net operating results:

     

Interest income

   0.98    1.20    0.61    0.79  

Expenses

   (9.15  (6.29  (5.85  (3.73

Net gain/(loss) on investments, net of non-controlling interests

   17.03    20.96    12.74    16.48  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

   8.86    15.87    7.50    13.54  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, December 31, 2013

  $139.59   $174.17   $102.05   $134.21  
  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

     

Net investment income/(loss)

   -6.08  -3.08  -5.30  -2.30

Expenses before incentive fees (4)

   6.48  3.48  5.84  2.83

Expenses after incentive fees (4)

   6.81  3.81  5.92  2.92

Total return before incentive fees (2)

   7.11  10.35  8.02  11.31

Total return after incentive fees (2)

   6.78  10.03  7.93  11.22

(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)Annualized with the exception of incentive fees.
(4)(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.
(5)Class 3a operations began June 17, 2013(4)Expense ratios do not include mangement 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.
(6)Class 3 operations began December 16, 2013

F-46

  Equinox Frontier
Diversified Fund
  Equinox Frontier
Masters Fund
  Equinox Frontier Long/Short
Commodity Fund (5)
 
  Class 1  Class 2  Class 1  Class 2  Class 1  Class 2  Class 3  Class 1a ��Class 2a 

Per unit operating performance (1)

         

Net asset value, December 31, 2011

 $99.40   $103.96   $100.25   $104.83   $136.13   $161.97   $161.96   $121.71   $127.23  

Net operating results:

         

Interest income

  1.72    1.81    1.94    2.05    2.73    1.55    4.66    3.10    1.99  

Expenses

  (8.54  (6.70  (8.23  (6.36  (13.78  (6.19  (18.67  (15.65  (7.97

Net gain/(loss) on investments, net of non-controlling interests

  1.82    1.41    7.15    7.09    10.33    (11.68  (2.26  (0.58  (5.80
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  (5.00  (3.48  0.86    2.78    (0.72  (16.32  (16.27  (13.13  (11.78
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, December 31, 2012

 $94.40   $100.48   $101.11   $107.61   $135.41   $145.65   $145.69   $108.58   $115.45  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

         

Net investment income/(loss)

  -6.99  -4.76  -6.10  -3.97  -8.20  -6.09  -6.09  -8.20  -6.09

Expenses before incentive fees (6)

  6.13  3.90  7.10  4.96  8.68  6.56  6.56  8.68  6.56

Expenses after incentive fees (6)

  8.76  6.53  7.98  5.85  10.23  8.11  8.11  10.23  8.11

Total return before incentive fees (2)

  -2.40  -0.72  1.74  3.54  1.02  -8.53  -8.50  -9.24  -7.71

Total return after incentive fees (2)

  -5.03  -3.35  0.86  2.65  -0.53  -10.08  -10.05  -10.79  -9.26
  Equinox Frontier Balanced Fund  Equinox Frontier
Select Fund
       
  Class 1  Class 1a  Class 2  Class 2a  Class 3a  Class 1  Class 2       

Per unit operating performance (1)

         

Net asset value, December 31, 2011

 $124.50   $108.45   $155.02   $128.35   $128.36   $91.02   $111.84    

Net operating results:

         

Interest income

  0.15    0.13    0.19    0.15    0.15    0.70    0.86    

Expenses

  (9.74  (8.55  (7.67  (6.38  (6.36  (6.78  (5.20  

Net gain/(loss) on investments, net of non-controlling interests

  1.41    4.29    1.66    2.24    1.81    (6.28  (7.95  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Net income/(loss)

  (8.18  (4.13  (5.82  (3.99  (4.40  (12.36  (12.29  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Net asset value, December 31, 2012

 $116.32   $104.32   $149.20   $124.36   $123.96   $78.66   $99.55    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

Ratios to average net assets (3)

         

Net investment income/(loss)

  -7.86  -7.86  -4.86  -4.86  -4.86  -6.98  -4.00  

Expenses before incentive fees (6)

  4.89  4.89  1.89  1.89  1.89  7.57  4.60  

Expenses after incentive fees (6)

  7.98  7.98  4.98  4.98  4.98  7.77  4.80  

Total return before incentive fees (2)

  -3.48  -0.72  -0.66  -0.02  -0.33  -13.38  -10.79  

Total return after incentive fees (2)

  -6.57  -3.81  -3.75  -3.11  -3.43  -13.58  -10.99  

Table of Contents

   Equinox Frontier
Winton Fund
  Equinox Frontier
Heritage Fund
 
   Class 1  Class 2  Class 1  Class 2 

Per unit operating performance (1)

     

Net asset value, December 31, 2011

  $141.13   $165.82   $104.73   $129.70  

Net operating results:

     

Interest income

   1.57    1.87    0.53    0.66  

Expenses

   (8.17  (4.90  (7.77  (5.93

Net gain/(loss) on investments, net of non-controlling interests

   (3.80  (4.49  (2.94  (3.76
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

   (10.40  (7.52  (10.18  (9.03
  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, December 31, 2012

  $130.73   $158.30   $94.55   $120.67  
  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

     

Net investment income/(loss)

   -4.89  -1.88  -7.17  -4.15

Expenses before incentive fees (6)

   6.06  3.04  7.69  4.68

Expenses after incentive fees (6)

   6.06  3.04  7.69  4.68

Total return before incentive fees (2)

   -7.37  -4.54  -9.72  -6.96

Total return after incentive fees (2)

   -7.37  -4.54  -9.72  -6.96
  Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund  Equinox Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 2  Class 3  Class 1a  Class 2a  Class 3a 
Per unit operating performance (1)                                            
Net asset value, December 31, 2014 $113.09  $124.67  $115.03  $116.61  $128.53  $119.06  $138.30  $138.34  $101.12  $111.35  $111.77 
Net operating results:                                            
Interest income  1.25   1.38   1.27   1.26   1.39   1.29   1.30   1.30   0.94   1.04   1.04 
Expenses  (12.26)  (10.18)  (9.38)  (11.75)  (10.13)  (9.34)  (10.10)  (10.10)  (9.53)  (8.12)  (8.06)
Net gain/(loss) on investments, net of non-controlling interests  13.46   13.73   12.95   6.75   6.81   6.56   2.60   2.60   2.23   1.92   2.11 
Net income/(loss)  2.43   4.93   4.84   (3.74)  (1.93)  (1.49)  (6.20)  (6.20)  (6.36)  (5.16)  (4.91)
Net asset value, December 31, 2015 $115.52  $129.60  $119.87  $112.87  $126.60  $117.57  $132.10  $132.14  $94.76  $106.19  $106.86 
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -9.10%  -6.56%  -6.56%  -8.92%  -6.70%  -6.70%  -6.03%  -6.03%  -8.11%  -6.03%  -6.03%
Expenses before incentive fees (4)  6.60%  4.06%  4.06%  7.45%  5.23%  5.23%  4.89%  4.89%  6.97%  4.89%  4.78%
Expenses after incentive fees (4)  10.13%  7.59%  7.59%  9.99%  7.77%  7.77%  6.91%  6.91%  9.00%  6.91%  6.91%
Total return before incentive fees (2)  5.68%  7.49%  7.74%  -0.67%  1.03%  1.28%  -2.46%  -2.45%  -4.26%  -2.61%  -2.26%
Total return after incentive fees (2)  2.15%  3.95%  4.21%  -3.21%  -1.50%  -1.25%  -4.48%  -4.48%  -6.29%  -4.63%  -4.39%
                                             
  Equinox Frontier Balanced Fund      Equinox 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, 2014 $131.54  $133.20  $179.16  $153.02  $152.52      $95.61  $96.82  $128.48         
Net operating results:                                            
Interest income  0.04   0.04   0.06   0.05   0.05       0.00   0.00   0.00         
Expenses  (8.91)  (4.94)  (6.65)  (5.70)  (5.68)      (6.63)  (3.84)  (5.11)        
Net gain/(loss) on investments, net of non-controlling interests  5.36   5.29   7.12   7.51   7.50       1.37   1.30   1.74         
Net income/(loss)  (3.51)  0.39   0.53   1.86   1.85       (5.26)  (2.54)  (3.37)        
Net asset value, December 31, 2015 $128.03  $133.59  $179.69  $154.88  $154.37      $90.35  $94.28  $125.11         
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -6.50%  -3.50%  -3.50%  -3.50%  -3.50%      -6.91%  -3.91%  -3.91%        
Expenses before incentive fees (4)  4.80%  1.80%  1.80%  1.80%  1.80%      5.82%  2.82%  2.82%        
Expenses after incentive fees (4)  6.53%  3.53%  3.53%  3.53%  3.53%      6.91%  3.91%  3.91%        
Total return before incentive fees (2)  -0.94%  2.02%  2.03%  2.95%  2.95%      -4.42%  -1.54%  -1.54%        
Total return after incentive fees (2)  -2.67%  0.29%  0.30%  1.22%  1.21%      -5.50%  -2.62%  -2.62%        
                                             
  Equinox Frontier Winton Fund  Equinox 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, 2014 $175.95  $178.18  $226.23  $130.28  $131.93  $176.56                     
Net operating results:                                            
Interest income  0.00   0.00   0.00   0.00   0.00   0.00                     
Expenses  (15.25)  (10.28)  (13.06)  (9.27)  (5.42)  (7.26)                    
Net gain/(loss) on investments, net of non-controlling interests  3.47   3.41   4.34   3.26   3.16   4.24                     
Net income/(loss)  (11.78)  (6.87)  (8.72)  (6.01)  (2.26)  (3.02)                    
Net asset value, December 31, 2015 $164.17  $171.31  $217.51  $124.27  $129.67  $173.54                     
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -8.74%  -5.74%  -5.74%  -6.97%  -3.97%  -3.97%                    
Expenses before incentive fees (4)  6.88%  3.88%  3.88%  5.94%  2.94%  2.94%                    
Expenses after incentive fees (4)  8.74%  5.74%  5.74%  6.97%  3.97%  3.97%                    
Total return before incentive fees (2)  -4.83%  -1.99%  -1.99%  -3.58%  -0.68%  -0.68%                    
Total return after incentive fees (2)  -6.70%  -3.86%  -3.85%  -4.61%  -1.71%  -1.71%                    

 

(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)ComputedImpact 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)Annualized with the exception of incentive fees.
(4)All remaining Class 1a Units were exchanged for Class 3a Units on July 17, 2012.
(5)All remaining Class 1 Units were exchanged for Class 3 Units July 18, 2012.
(6)(4)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.

F-47

  Equinox Frontier Diversified Fund (5)  Equinox Frontier Masters Fund  Equinox Frontier Long/Short Commodity Fund 
  Class 1  Class 2  Class 3  Class 1  Class 2  Class 3  Class 2  Class 3  Class 1a  Class 2a  Class 3a 
Per unit operating performance (1)                                            
Net asset value, December 31, 2013 $87.10  $94.35  $84.21  $91.83  $99.46  $91.91  $125.26  $125.30  $92.73  $100.34  $100.47 
Net operating results:                                            
Interest income  0.94   1.03   1.01   1.08   1.19   1.16   1.47   1.47   1.09   1.18   1.22 
Expenses  (13.06)  (12.11)  (11.89)  (11.55)  (10.53)  (10.27)  (9.22)  (9.26)  (8.72)  (7.40)  (7.64)
Net gain/(loss) on investments, net of non-controlling interests  38.11   41.40   41.70   35.25   38.41   36.26   20.79   20.83   16.02   17.23   17.72 
Net income/(loss)  25.99   30.32   30.82   24.78   29.07   27.15   13.04   13.04   8.39   11.01   11.30 
Net asset value, December 31, 2014 $113.09  $124.67  $115.03  $116.61  $128.53  $119.06  $138.30  $138.34  $101.12  $111.35  $111.77 
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -13.72%  -11.36%  -11.36%  -11.32%  -9.17%  -9.17%  -6.27%  -6.27%  -8.35%  -6.27%  -6.27%
Expenses before incentive fees (4)  6.62%  4.26%  4.26%  8.08%  5.92%  5.92%  6.06%  6.06%  8.15%  6.06%  6.02%
Expenses after incentive fees (4)  14.78%  12.41%  12.41%  12.49%  10.34%  10.34%  7.46%  7.46%  9.54%  7.46%  7.46%
Total return before incentive fees (2)  38.00%  40.29%  44.75%  31.40%  33.64%  33.96%  11.80%  11.80%  10.44%  12.37%  12.68%
Total return after incentive fees (2)  29.84%  32.14%  36.60%  26.98%  29.23%  29.54%  10.41%  10.41%  9.05%  10.97%  11.25%
                                             
  Equinox Frontier Balanced Fund (6)      Equinox Frontier Select Fund (6)         
  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, 2013 $106.29  $102.62  $140.49  $118.80  $118.41      $79.86  $75.53  $104.14         
Net operating results:                                            
Interest income  0.03   0.03   0.04   0.04   0.04       0.00   0.00   0.00         
Expenses  (9.48)  (6.71)  (8.38)  (7.17)  (7.13)      (7.61)  (5.48)  (6.93)        
Net gain/(loss) on investments, net of non-controlling interests  34.70   37.26   47.01   41.35   41.20       23.36   26.77   31.27         
Net income/(loss)  25.25   30.58   38.67   34.22   34.11       15.75   21.29   24.34         
Net asset value, December 31, 2014 $131.54  $133.20  $179.16  $153.02  $152.52      $95.61  $96.82  $128.48         
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -8.79%  -5.79%  -5.79%  -5.79%  -5.79%      -9.61%  -6.61%  -6.61%        
Expenses before incentive fees (4)  4.92%  1.92%  1.92%  1.92%  1.92%      7.14%  4.14%  4.14%        
Expenses after incentive fees (4)  8.82%  5.82%  5.82%  5.82%  5.82%      9.61%  6.61%  6.61%        
Total return before incentive fees (2)  27.65%  33.69%  31.42%  32.70%  32.70%      22.20%  30.66%  25.85%        
Total return after incentive fees (2)  23.76%  29.80%  27.53%  28.80%  28.81%      19.72%  28.19%  23.37%        
                                             
  Equinox Frontier Winton Fund (6)  Equinox Frontier Heritage Fund (6)                     
  Class 1  Class 1AP  Class 2  Class 1  Class 1AP  Class 2                     
Per unit operating performance (1)                                            
Net asset value, December 31, 2013 $139.59  $138.93  $174.17  $102.05  $98.80  $134.21                     
Net operating results:                                            
Interest income  0.00   0.00   0.00   0.00   0.00   0.00                     
Expenses  (17.82)  (13.99)  (17.09)  (10.02)  (7.36)  (9.27)                    
Net gain/(loss) on investments, net of non-controlling interests  54.18   53.24   69.15   38.25   40.49   51.62                     
Net income/(loss)  36.36   39.25   52.06   28.23   33.13   42.35                     
Net asset value, December 31, 2014 $175.95  $178.18  $226.23  $130.28  $131.93  $176.56                     
                                             
Ratios to average net assets (3)                                            
Net investment income/(loss)  -12.22%  -9.22%  -9.22%  -9.68%  -6.67%  -6.67%                    
Expenses before incentive fees (4)  7.09%  4.09%  4.09%  6.53%  3.53%  3.53%                    
Expenses after incentive fees (4)  12.22%  9.22%  9.22%  9.68%  6.67%  6.67%                    
Total return before incentive fees (2)  31.18%  33.38%  35.02%  30.81%  36.68%  34.70%                    
Total return after incentive fees (2)  26.05%  28.25%  29.89%  27.66%  33.53%  31.56%                    

(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)Annualized with the exception of incentive fees.
(4)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.
(5)Class 3 began operations on February 24, 2014.
(6)Class 1AP began operations on July 31, 2014.

F-48

8.8. 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 December 31, 20142016 and 20132015 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For the Year Ended December 31, 2014

For the Year Ended December 31, 2016 
Monthly average contracts: 
  Bought  Sold 
       
Equinox Frontier Balanced Fund  3,551   3,667 
Equinox Frontier Long/Short Commodity Fund  17   7 
Equinox Frontier Select Fund  2,403   2,134 
Equinox Frontier Winton Fund  646   768 

 

Monthly average contracts:

  Bought   Sold 

Equinox Frontier Long/Short Commodity Fund

   3,583     3,892  

Equinox Frontier Balanced Fund

   8,795     8,811  

Equinox Frontier Diversified Fund

   9,017     8,941  

For the Year Ended December 31, 2013

For the Year Ended December 31, 2015 
Monthly average contracts: 
  Bought  Sold 
       
Equinox Frontier Balanced Fund  5,930   6,000 
Equinox Frontier Diversified Fund  7,657   7,698 
Equinox Frontier Select Fund  2,213   2,285 
Equinox Frontier Winton Fund  629   697 

 

Monthly average contracts:

  Bought   Sold 

Equinox Frontier Long/Short Commodity Fund (1)

   11,733     14,063  

Equinox Frontier Balanced Fund (2)

   23,157     23,954  

Equinox Frontier Diversified Fund (4)

   8     29  
For the Year Ended December 31, 2014 
Monthly average contracts: 
  Bought  Sold 
       
Equinox Frontier Long/Short Commodity Fund  3,583   3,892 
Equinox Frontier Balanced Fund  8,795   8,811 
Equinox Frontier Diversified Fund  9,017   8,941 

For the Year Ended December 31, 2012F-49

Table of Contents

Monthly average contracts:

  Bought   Sold 

Equinox Frontier Long/Short Commodity Fund (1)

   17,179     18,323  

Equinox Frontier Balanced Fund (2)

   49,988     52,353  

Equinox Frontier Masters Fund (3)

   2,814     2,573  

The following tables summarize the trading revenues for the years ended December 31, 2014, 20132016, 2015 and 20122014 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Year EndingEnded December 31, 20142016

 

 Equinox Frontier        
 Long/Short Equinox Frontier Equinox Frontier Equinox Frontier 

Type of contract

 Equinox Frontier
Long/Short Commodity
Fund
 Equinox Frontier
Balanced Fund
 Equinox Frontier
Diversified Fund
  Commodity Fund Balanced Fund Select Fund Winton Fund 
         

Metals

 $(60,704 $395,916   $(137,422 $(34,888) $182,563  $(410,694) $(2,388,858)

Currencies

  (278,672  4,230,277    2,058,953       (13,492)  900,699   2,423,468 

Energies

  (1,920,468  514,658    1,116,359    62,750   (486,968)  (341,104)  (1,997,815)

Agriculturals

  (252,807  712,902    1,285,340    (118,076)  104,957   (239,338)  (645,570)

Interest rates

  (223,175  10,131,219    7,556,999       5,052,510   1,821,479   3,484,057 

Stock indices

  154,966    (1,678,771  3,975,474       (1,061,138)  375,929   (282,419)
 

 

  

 

  

 

 

Realized trading income/(loss) (1)

 $(2,580,860 $14,306,201   $15,855,703   $(90,214) $3,778,432  $2,106,971  $592,863 
 

 

  

 

  

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Year EndingEnded December 31, 20132015

 

 Equinox Frontier Equinox Frontier Equinox Frontier Equinox Frontier 

Type of contract

  Equinox Frontier
Long/Short Commodity
Fund
 Equinox Frontier
Balanced Fund
 Equinox Frontier
Diversified Fund
  Diversified Fund Balanced Fund Select Fund Winton Fund 
         

Metals

  $(1,728,342 $3,256,726   $(630,122 $(290,825) $(1,177,902) $318,485  $1,193,164 

Currencies

   739,311    (1,612,012  1,300,655    1,383,673   (1,439,511)  (1,139,499)  (708,080)

Energies

   (5,101,842  (5,748,358  (3,465  583,688   1,689,728   2,554,163   4,578,349 

Agriculturals

   4,327    (3,966,671  8,936    (393,721)  (713,403)  (430,337)  163,315 

Interest rates

   26,985    (4,962,326  (88,186  4,591,068   2,060,482   465,975   2,023,333 

Stock indices

   2,116,530    18,929,776    146,263    2,725,801   (584,380)  (383,178)  (3,884,112)
  

 

  

 

  

 

 

Realized trading income/(loss) (1)

  $(3,943,031 $5,897,135   $734,081   $8,599,684  $(164,986) $1,385,609  $3,365,969 
  

 

  

 

  

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Year EndingEnded December 31, 20122014

 

 Equinox Frontier      
 Long/Short Equinox Frontier Equinox Frontier 

Type of contract

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

Metals

  $(22,904,111 $(6,598,240 $499,038   $(60,704) $395,916  $(137,422)

Currencies

   (4,555,951  6,700,871    381,343    (278,672)  4,230,277   2,058,953 

Energies

   (2,034,936  (11,764,811  (1,637,183  (1,920,468)  514,658   1,116,359 

Agriculturals

   (3,235,035  (5,356,166  32,119    (252,807)  712,902   1,285,340 

Interest rates

   (13,264,367  35,523,247    3,099,733    (223,175)  10,131,219   7,556,999 

Stock indices

   20,121,571    3,767,440    (569,140  154,966   (1,678,771)  3,975,474 
  

 

  

 

  

 

 

Realized trading income/(loss) (1)

  $(25,872,829 $22,272,341   $1,805,910   $(2,580,860) $14,306,201  $15,855,703 
  

 

  

 

  

 

 

 

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

F-50

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

for the Year Ended December 31, 2016

  Equinox Frontier          
  Long/Short  Equinox Frontier  Equinox Frontier  Equinox Frontier 
Type of contract Commodity Fund  Balanced Fund  Select Fund  Winton Fund 
             
Metals $40,106  $60,680  $(97,042) $(577,784)
Currencies  88,181   (568,349)  231,035   92,870 
Energies  310,673   127,622   (457,542)  (165,261)
Agriculturals  265,514   (8,243)  (47,280)  105,158 
Interest rates  6,479   88,321   435,147   699,717 
Stock indices  (17,690)  (40,687)  122,797   311,568 
Change in unrealized trading income/(loss)(1) $693,263  $(340,656) $187,115  $466,268 

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

for the Year Ended December 31, 2015

  Equinox Frontier  Equinox Frontier  Equinox Frontier  Equinox Frontier 
Type of contract Diversified Fund  Balanced Fund  Select Fund  Winton Fund 
             
Metals $826,351  $98,396  $341,471  $(258,245)
Currencies  (193,292)  326,929   68,644   (1,135,570)
Energies  147,793   (655,732)  (87,484)  (477,721)
Agriculturals  90,444   (27,073)  (193,259)  195,067 
Interest rates  (924,670)  (1,209,945)  (1,031,494)  (587,015)
Stock indices  503,775   (155,839)  (298,237)  136,082 
Change in unrealized trading income/(loss)(1) $450,401  $(1,623,264) $(1,200,359) $(2,127,402)

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

for the Year Ended December 31, 2014

 

Type of contract

  Equinox Frontier
Long/Short Commodity
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $(162,388  $(637,522  $(146,990

Currencies

   (6,439   (1,098,156   844,069  

Energies

   1,631,427     711,051     533,875  

Agriculturals

   (574,982   (445,848   17,224  

Interest rates

   322,580     1,984,817     2,428,862  

Stock indices

   (248,852   (889,661   (2,255,470
  

 

 

   

 

 

   

 

 

 

Change in unrealized trading income/(loss) (1)

  $961,346    $(375,319  $1,421,570  
  

 

 

   

 

 

   

 

 

 

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

for the Year Ended December 31, 2013

Type of contract

  Equinox Frontier
Long/Short Commodity
Fund
  Equinox Frontier
Balanced Fund
  Equinox Frontier
Diversified Fund
 

Metals

  $579,039   $4,030,402   $608,392  

Currencies

   (243,835  (1,946,654  (1,191,389

Energies

   1,460,697    (1,775,939  2,210  

Agriculturals

   (459,762  16,719    (21,226

Interest rates

   (1,213,355  (1,899,034  79,060  

Stock indices

   (455,113  4,492,038    (43,824
  

 

 

  

 

 

  

 

 

 

Change in unrealized trading income/(loss) (1)

  $(332,329 $2,917,532   $(566,777
  

 

 

  

 

 

  

 

 

 

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

for the Year Ended December 31, 2012

 Equinox Frontier      
 Long/Short Equinox Frontier Equinox Frontier 

Type of contract

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

Metals

  $4,110,832   $(57,565 $1,238,158   $(162,388) $(637,522) $(146,990)

Currencies

   17,923,206    (152,568  266,655    (6,439)  (1,098,156)  844,069 

Energies

   (3,271,763  (411,993  (374,369  1,631,427   711,051   533,875 

Agriculturals

   5,706,120    62,454    1,176,360    (574,982)  (445,848)  17,224 

Interest rates

   (4,123,443  89,904    (1,837,810  322,580   1,984,817   2,428,862 

Stock indices

   (163,136  (306,530  (365,830  (248,852)  (889,661)  (2,255,470)
  

 

  

 

  

 

 

Change in unrealized trading income/(loss) (1)

  $20,181,816   $(776,298 $103,164   $961,346  $(375,319) $1,421,570 
  

 

  

 

  

 

 

 

(1)Amounts recorded in the Statements of Operations under Net realized gain/(loss) of furutres, forwards and options.change in open trade equity/(deficit)

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

F-51

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of December 31, 20142016 and 2013.2015.

 

As of December 31, 2014 Gross Amounts
of recognized
Derivative Assets
  Gross Amounts offset
in the Statements of
Financial Condition
  Net Amounts Presented
in the Statements of
Financial Condition
 

Equinox Frontier Balanced Fund

   

Open Trade Equity/(Deficit)

 $4,281,391   $(983,842 $3,297,549  

Swap Contracts

  18,246,954    —      18,246,954  

Equinox Frontier Diversified Fund

   

Open Trade Equity/(Deficit)

 $3,215,206   $—     $3,215,206  

Options Purchased

  288,413    —      288,413  

Options Written

  —      (253,018  (253,018

Swap Contracts

 $6,570,408   $—     $6,570,408  

Equinox Frontier Long/Short Commodity Fund

   

Swap Contracts

 $3,633,060   $—     $3,633,060  

Equinox Frontier Heritage Fund

   

Swap Contracts

 $7,540,465   $—     $7,540,465  

OffsettingAs of Derivative Assets and LiabilitiesDecember 31, 2016

As of December 31, 2013 Gross Amounts
of recognized
Derivative Assets
  Gross Amounts offset
in the Statements of
Financial Condition
  Net Amounts Presented
in the Statements of
Financial Condition
 

Equinox Frontier Balanced Fund

   

Open Trade Equity/(Deficit)

 $3,935,252   $—     $3,935,252  

Options Purchased

  165,915    —      165,915  

Options Written

  —      (183,856  (183,856

Equinox Frontier Long/Short Commodity Fund

   

Open Trade Equity/(Deficit)

 $227,827   $(418,896 $(191,069

Options Purchased

  98,740    —      98,740  

Options Written

  —      (172,650  (172,650

Swap Contract

  2,879,910    (423,454  2,456,456  

        Net Amounts 
  Gross Amounts of  Gross Amounts offset  Presented in the 
  recognized  in the Statements of  Statements of 
  Derivative Assets  Financial Condition  Financial Condition 
             
Equinox Frontier Balanced Fund            
Open Trade Equity/(Deficit) $515,659  $(277,998) $237,661 
Swap Contracts  18,939,450      18,939,450 
             
Equinox Frontier Diversified Fund            
Swap Contracts $8,637,847  $  $8,637,847 
             
Equinox Frontier Long/Short Commodity Fund            
Swap Contracts $4,220,468  $  $4,220,468 
             
Equinox Frontier Heritage Fund            
Swap Contracts $8,391,414  $  $8,391,414 
             
Equinox Frontier Select Fund            
Open Trade Equity/(Deficit) $1,136,504  $(450,482) $686,022 
             
Equinox Frontier Winton Fund            
Open Trade Equity/(Deficit) $2,393,850  $(1,171,326) $1,222,524 

As of December 31, 2015

        Net Amounts 
  Gross Amounts of  Gross Amounts offset  Presented in the 
  recognized  in the Statements of  Statements of 
  Derivative Assets  Financial Condition  Financial Condition 
             
Equinox Frontier Balanced Fund            
Open Trade Equity/(Deficit) $26,882  $(15,352) $11,530 
Swap Contracts  19,157,520      19,157,520 
             
Equinox Frontier Diversified Fund            
Swap Contracts $8,685,849  $  $8,685,849 
             
Equinox Frontier Long/Short Commodity Fund            
Swap Contracts $4,332,428  $  $4,332,428 
             
Equinox Frontier Heritage Fund            
Swap Contracts $7,960,268  $  $7,960,268 
             
Equinox Frontier Select Fund            
Open Trade Equity/(Deficit) $495,020  $(32,681) $462,339 
             
Equinox Frontier Winton Fund            
Open Trade Equity/(Deficit) $768,118  $(168,539) $599,579 

F-52

9.9. Trading Activities and Related Risks

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

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

of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s margin-to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.

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

In the case of forward contracts traded on the interbank market and swaps, neither is traded on exchanges. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company will be valued each day on a mark-to-market basis. There can be no assurance that any clearing member, 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 AnalysisIndemnifications 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 or bad faith. 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 UBS Securities LLC of the referenced Series as allocated from the Trading Company. The Series have 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 guaranteed the obligations of the Trading Companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statement, as it expects any possibility of losses to be remote. As of September 2016, the Trust no longer uses UBS Securities LLC as a Clearing Broker.

F-53

11.11. Subsequent Events

On November 26, 2014, the Trust’s portfolio management team approved an allocation change in an Emil Van Essen trading program thatDecember 5, 2016, Equinox Fund Management, LLC (“Equinox”), Frontier Fund Management LLC (the “New Managing Owner”), and Wakefield Advisors, LLC (“Wakefield”) entered into a Unit Purchase Agreement (the “Agreement”). Equinox was not fully implemented as intended. As a result, certain series who invested in Emil Van Essen were not allocated sufficient gains and certain other series who invested in Emil Van Essen suffered greater losses. In January 2015, the Managing Owner determined to make a paymentof the Trust and the Series. Pursuant to the affected investors withinAgreement, Equinox agreed to transfer to the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund and Equinox Frontier Long/Short Commodity Fund,New Managing Owner such amount of Equinox’s General Units (as defined in the aggregate amount of $1,247,752Trust Agreement) as the Managing Owner shall be required to reimburse the effecthold in its capacity as managing owner of the missed gain or higher lossTrust pursuant to the Trust Agreement, and redeem the remainder of Equinox’s General Units (the “Transaction”).

The Transaction was consummated on such investorsMarch 6, 2017, and upon consummation of the Transaction, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of operational control in respect of the Trust and each Series.

In connection with the foregoing, the Trust Agreement was amended to effect certain changes to replace Equinox as the Managing Owner and to reflect the New Managing Owner as the new managing owner. Also, the New Managing Owner has temporarily suspended the sale of Units (as defined in the series,Trust Agreement) while the Managing Owner engages with the Securities and such amountExchange Commission to have declared effective a post-effective amendment to the Series’ registration statements, as well as approval by the NFA. The Series will file Form 8-K to announce the resumption of the sale of Units, which the New Managing Owner expects will occur shortly.

The New Managing Owner is seeking to cause the suspension to be recordedlifted as promptly as practicable.

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

F-54

Report of Independent Registered Public Accounting Firm

To the Executive Committee

Equinox Frontier Funds

We have audited the accompanying consolidated statements of financial condition, including the consolidated condensed schedules of investments, of Equinox Frontier Funds (the Trust) as of December 31, 20142016 and 2013,2015, and the related consolidated statements of operations, changes in owners’ capital, and cash flows for each of the three years in the period ended December 31, 2014.then ended. These consolidated financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the auditaudits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trust is not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of Equinox Frontier Funds as of December 31, 20142016 and 2013,2015, and the results of their operations and their cash flows for each of the three years in the period then ended, December 31, 2014, in conformity with U.S. generally accepted accounting principles.

As discussed in Note 10 to the consolidated financial statements, on March 6, 2017 a unit purchase agreement between Frontier Fund Management LLC (New Managing Owner) and Equinox Fund Management (Equinox) was consummated whereby Equinox’s general units were transferred to the New Managing Owner. Upon consummation, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox.

/s/ McGladreyRSM US LLP

Denver, Colorado

March 31, 20152017

F-55

Equinox Frontier Funds

Consolidated Statements of Financial Condition

December 31, 20142016 and 20132015

 

 12/31/16 12/31/15 
  12/31/14   12/31/13      
ASSETS         
        

Cash and cash equivalents

  $18,977,844    $9,302,857   $4,747,043  $13,975,625 

U.S. Treasury securities, at fair value

   139,953,516     193,678,360    42,757,604   117,478,438 

Receivable from futures commission merchants

   65,911,348     61,142,898    32,852,013   72,731,570 

Open trade equity, at fair value

   14,824,422     15,674,650    2,146,207    

Options purchased, at fair value

   9,075,883     3,033,870       526,288 

Swap contracts, at fair value

   35,990,887     21,455,529    40,189,178   40,136,065 
Investments in private investment companies, at fair value  107,717,118    

Prepaid service fees

   16,042     20,052       24,251 

Interest receivable

   2,151,018     2,652,967    798,053   2,039,516 

Receivables from related parties

   5,661     6,051    87,670   3,120 

Other assets

   500,010     55       17 
  

 

   

 

         

Total Assets

  $287,406,631    $306,967,289   $231,294,886  $246,914,890 
  

 

   

 

         
LIABILITIES & CAPITAL            
        

LIABILITIES

            

Open trade deficit, at fair value

  $—      $—     $  $4,348,870 

Written options, at fair value

   8,963,838     1,222,522       165,760 

Pending owner additions

   41,954     34,112       36,462 

Owner redemptions payable

   159,066     1,604,951    1,137,772   612,170 

Incentive fees payable to Managing Owner

   6,665,328     1,411,260       382,136 

Management fees payable to Managing Owner

   468,154     605,219    433,430   402,943 

Interest payable to Managing Owner

   203,086     281,562    63,275   162,121 

Trading fees payable to Managing Owner

   324,854     361,397    523,099   282,522 

Service fees payable to Managing Owner

   336,115     405,034    239,520   273,856 
Risk analysis fees payable  15,673    

Payables to related parties

   37,927     18,949    85,078   63,744 
Advance on unrealized Swap Appreciation  9,441,555    

Other liabilities

   —       —      144,049   7 
  

 

   

 

         

Total Liabilities

   17,200,322     5,945,006    12,083,451   6,730,591 
  

 

   

 

         

CAPITAL

    
OWNERS CAPITAL        

Managing Owner Units

   5,672,261     4,801,516    2,276,211   5,798,155 

Limited Owner Units

   264,534,048     296,220,767    216,935,224   234,386,144 
  

 

   

 

         

Total Capital

   270,206,309     301,022,283  
Total Owners Capital  219,211,435   240,184,299 
  

 

   

 

         

Total Liabilities and Capital

  $287,406,631    $306,967,289  
  

 

   

 

 
Total Liabilities and Owners Capital $231,294,886  $246,914,890 

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

F-56

Equinox Frontier FundsFund

Consolidated Condensed Schedule of Investments

December 31, 20142016

 

Description

  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

   

Various base metals futures contracts (Europe)

  $(4,211,885  -1.56

Various base metals futures contracts (U.S.)

   (61,850  -0.02

Various currency futures contracts (U.S.)

   300,870    0.11

Various energy futures contracts (Europe)

   (12,920  0.00

Various energy futures contracts (Far East)

   (2,738  0.00

Various energy futures contracts (U.S.)

   (24,310,145  -9.00

Various interest rates futures contracts (Canada)

   184,352    0.07

Various interest rates futures contracts (Europe)

   3,676,039    1.36

Various interest rates futures contracts (Far East)

   585,956    0.22

Various interest rates futures contracts (Oceanic)

   558,353    0.21

Various interest rates futures contracts (U.S.)

   278,768    0.10

Various precious metal futures contracts (Far East)

   6,195    0.00

Various precious metal futures contracts (U.S.)

   (113,453  -0.04

Various soft futures contracts (Canada)

   (1,360  0.00

Various soft futures contracts (Europe)

   33,841    0.01

Various soft futures contracts (Oceanic)

   (864  0.00

Various soft futures contracts (U.S.)

   (2,494,615  -0.92

Various stock index futures contracts (Canada)

   63,167    0.02

Various stock index futures contracts (Europe)

   569,188    0.21

Various stock index futures contracts (Far East)

   26,010    0.01

Various stock index futures contracts (Oceanic)

   44,530    0.02

Various stock index futures contracts (U.S.)

   1,412,847    0.52
  

 

 

  

 

 

 

Total Long Futures Contracts

  $(23,469,714  -8.68
  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

   

Various base metals futures contracts (Europe)

  $3,745,111    1.39

Various base metals futures contracts (U.S.)

   101,600    0.04

Various currency futures contracts (Far East)

   (3,383  0.00

Various currency futures contracts (U.S.)

   2,737,797    1.01

Various energy futures contracts (Europe)

   49,517    0.02

Various energy futures contracts (Far East)

   5,389    0.00

Various energy futures contracts (U.S.)

   12,381,217    4.58

Brent Crude Oil Last Day Settling 2/12/2015 (Number of Contracts: 229)

   2,871,660    1.06

Crude Oil Settling 12/1/2015 (Number of Contracts: 718)

   11,036,122    4.08

NYH RBOB Unleaded Gas Settling 12/30/2015 (Number of Contracts: 388)

   4,267,957    1.58

Various interest rates futures contracts (Canada)

   6,583    0.00

Various interest rates futures contracts (Europe)

   (351,916  -0.13

Various interest rates futures contracts (Far East)

   (28,461  -0.01

Various interest rates futures contracts (Oceanic)

   (6,445  0.00

Various interest rates futures contracts (U.S.)

   (602,696  -0.22

Various precious metal futures contracts (Far East)

   (1,052  0.00

Various precious metal futures contracts (U.S.)

   275,350    0.10

Various soft futures contracts (Canada)

   (194  0.00

Various soft futures contracts (Europe)

   117,563    0.04

Various soft futures contracts (Far East)

   (4,709  0.00

Various soft futures contracts (U.S.)

   2,823,283    1.04

Various stock index futures contracts (Africa)

   (8,891  0.00

Various stock index futures contracts (Europe)

   (37,839  -0.01

Various stock index futures contracts (Far East)

   6,134    0.00

Various stock index futures contracts (Mexico)

   (4,380  0.00

Various stock index futures contracts (Oceanic)

   (9,866  0.00

Various stock index futures (U.S.)

   (138,941  -0.05
  

 

 

  

 

 

 

Total Short Futures Contracts

  $39,226,510    14.52
  

 

 

  

 

 

 
     Fair  % of Total Capital 
Description Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *        
    Various base metals futures contracts (U.S.) $(20,244)  -0.01%
    Various currency futures contracts (Europe)  73,909   0.03%
    Various currency futures contracts (Far East)  1,360   0.00%
    Various currency futures contracts (Oceanic)  (41,946)  -0.02%
    Various currency futures contracts (U.S.)  50,242   0.02%
    Various energy futures contracts (U.S.)  218,762   0.10%
    Various energy futures contracts (Europe)  4,150   0.00%
    Various energy futures contracts (Far East)  8,788   0.00%
    Various interest rates futures contracts (Canada)  (503)  0.00%
    Various interest rates futures contracts (Europe)  255,450   0.12%
    Various interest rates futures contracts (Oceanic)  103   0.00%
    Various interest rates futures contracts (U.S.)  25,285   0.01%
    Various precious metal futures contracts (U.S.)  (3,860)  0.00%
    Various precious metal futures contracts (Far East)  1,950   0.00%
    Various soft futures contract (Europe)  1,956   0.00%
    Various soft futures contract (Canada)  (1,115)  0.00%
    Various soft futures contract (Far East)  111   0.00%
    Various soft futures contract (U.S.)  (178,253)  -0.08%
    Various soft futures contracts (Far East)  2,808   0.00%
    Various stock index futures contracts (Canada)  925   0.00%
    Various stock index futures contracts (Europe)  302,352   0.14%
    Various stock index futures contracts (Far East)  362,606   0.17%
    Various stock index futures contracts (Oceanic)  61,876   0.03%
    Various stock index futures contracts (U.S.)  (284,324)  -0.13%
    Total Long Futures Contracts $842,388   0.38%
SHORT FUTURES CONTRACTS *        
    Various base metals futures contracts (U.S.) $(200,612)  -0.09%
    Various currency futures contracts (Canada)  11,735   0.01%
    Various currency futures contracts (Europe)  358,276   0.16%
    Various currency futures contracts (Far East)  187,929   0.09%
    Various currency futures contracts (Oceanic)  7,603   0.00%
    Various currency futures contracts (U.S.)  1,130   0.00%
    Various energy futures contracts (U.S.)  (82,280)  -0.04%
    Various interest rates futures contracts (Canada)  5,396   0.00%
    Various interest rates futures contracts (Europe)  (17,617)  -0.01%
    Various interest rates futures contracts (Far East)  (16,393)  -0.01%
    Various interest rates futures contracts (Oceanic)  22,526   0.01%
    Various interest rates futures contracts (U.S.)  172,279   0.08%
    Various precious metal futures contracts (U.S.)  208,285   0.10%
    Various soft futures contract (U.S.)  401,926   0.18%
    Various soft futures contracts (Europe)  111,769   0.05%
    Various soft futures contracts (U.S.)  62,055   0.03%
    Various stock index futures contracts (Africa)  4,459   0.00%
    Various stock index futures contracts (Canada)     0.00%
    Various stock index futures contracts (Europe)  (2,802)  0.00%
    Various stock index futures contracts (Far East)  (2,456)  0.00%
    Various stock index futures contracts (Oceanic)     0.00%
    Various stock index futures contracts (U.S.)  16,027   0.01%
    Total Short Futures Contracts $1,249,235   0.57%
CURRENCY FORWARDS *        
    Various currency forwards contracts (NA) $54,584   0.02%
    Total Currency Forwards $54,584   0.02%
    Total Open Trade Equity (Deficit) $2,146,207   0.97%
SWAPS (1)        
    Frontier Brevan Howard swap (U.S.) $8,391,414   3.83%
    Frontier XXXIV Balanced select swap (U.S.)  18,939,450   8.65%
    Frontier XXXV Diversified select swap (U.S.)  8,637,847   3.94%
    Frontier XXXVII L/S select swap (U.S.)  4,220,467   1.93%
    Total Swaps $40,189,178   18.35%
PRIVATE INVESTMENT COMPANIES (2)        
    Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC $11,559,976   5.28%
    Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  11,465,608   5.23%
    Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  6,526,957   2.98%
    Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  11,174,877   5.10%
    Galaxy Plus Fund - QIM Feeder Fund (526) LLC  20,442,933   9.33%
    Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  19,226,675   8.78%
    Galaxy Plus Fund - Quest Feeder Fund (517) LLC  3,899,040   1.78%
    Galaxy Plus Fund - Quest Fit Feeder Fund (517) LLC  11,197,020   5.11%
    Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  4,643,329   2.12%
    Galaxy Plus Fund - LRR Feeder Fund (522) LLC  7,580,703   3.46%
    Total Private Investment Companies $107,717,118   49.17%
         
  Fair Value  Fair Value 
U.S. TREASURY SECURITIES        
             
FACE VALUE      
             
$16,400,000  US Treasury Note 6.000% due 02/15/2026 (Cost $22,970,250) $22,193,498   10.13%
$15,900,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)  20,564,106   9.39%
    Total U.S. Treasury Securities $42,757,604   19.52%

Description

  Fair
Value
  % of Total Capital
(Net Asset Value)
 

CURRENCY FORWARDS *

   

Various currency forwards contracts (NA)

  $(932,374  -0.35
  

 

 

  

 

 

 

Total Currency Forwards

  $(932,374  -0.35
  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

  $14,824,422    5.49
  

 

 

  

 

 

 

OPTIONS PURCHASED *

   

Various energy futures contracts (U.S.)

  $8,407,670    3.11

Various soft futures contracts (U.S.)

   379,800    0.14

Various stock index futures contracts (U.S.)

   288,413    0.11
  

 

 

  

 

 

 

Total Options Purchased

  $9,075,883    3.36
  

 

 

  

 

 

 

OPTIONS WRITTEN *

   

Various energy futures contracts (U.S.)

  $(8,234,010  -3.05

Various soft futures contracts (U.S.)

   (476,810  -0.18

Various stock index futures contracts (U.S.)

   (253,018  -0.09
  

 

 

  

 

 

 

Total Options Written

  $(8,963,838  -3.32
  

 

 

  

 

 

 

SWAPS (1)

   

Frontier XXXIV Balanced select swap (U.S.)

  $7,540,466    2.79

Frontier Brevan Howard swap (U.S.)

   18,246,952    6.75

Frontier XXXV Diversified select swap (U.S.)

   6,570,409    2.43

Frontier XXXVII L/S select swap (U.S.)

   3,633,060    1.34
  

 

 

  

 

 

 

Total Swaps

  $35,990,887    13.31
  

 

 

  

 

 

 

U.S. TREASURY SECURITIES

   

FACE VALUE

  Fair Value  Fair Value 

$15,000,000 US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $15,101,953    5.59

$75,000,000 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   95,954,688    35.51

$20,000,000 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   28,896,875    10.69
  

 

 

  

 

 

 

Total U.S. Treasury Securities

  $139,953,516    51.79
  

 

 

  

 

 

 

 

*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.

F-57

Equinox Frontier FundsFund

Consolidated Condensed Schedule of Investments

December 31, 20132015

 

Description

  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

   

Various base metals futures contracts (Europe)

  $5,652,154    1.88

Various base metals futures contracts (U.S.)

   185,236    0.06

Various currency futures contracts (Far East)

   —      0.00

Various currency futures contracts (U.S.)

   1,221,239    0.41

Various energy futures contracts (U.S.)

   121,939    0.04

Various energy futures contracts (Europe)

   (155,110  -0.05

Various energy futures contracts (Far East)

   3,805    0.00

Various interest rates futures contracts (Canada)

   (52,871  -0.02

Various interest rates futures contracts (Europe)

   (1,090,717  -0.36

Various interest rates futures contracts (Far East)

   (395,361  -0.13

Various interest rates futures contracts (Oceanic)

   61,708    0.02

Various interest rates futures contracts (U.S.)

   (1,287,953  -0.43

Various precious metal futures contracts (Far East)

   —      0.00

Various precious metal futures contracts (U.S.)

   (11,609  0.00

Various soft futures contracts (Canada)

   —      0.00

Various soft futures contracts (Europe)

   (11,836  0.00

Various soft futures contracts (Far East)

   —      0.00

Various soft futures contracts (U.S.)

   (3,830,479  -1.27

Various stock index futures contracts (Africa)

   38,295    0.01

Various stock index futures contracts (Canada)

   282,928    0.09

Various stock index futures contracts (Europe)

   2,767,531    0.92

Various stock index futures contracts (Far East)

   1,399,122    0.46

Various stock index futures contracts (Mexico)

   413    0.00

Various stock index futures contracts (Oceanic)

   279,932    0.09

Various stock index futures contracts (U.S.)

   3,224,823    1.07
  

 

 

  

 

 

 

Total Long Futures Contracts

  $8,403,189    2.79
  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

   

Various base metals futures contracts (Europe)

  $(4,388,603  -1.46

Various base metals futures contracts (U.S.)

   (12,775  0.00

Various currency futures contracts (Far East)

   (1,135  0.00

Various currency futures contracts (U.S.)

   2,433,370    0.81

Various energy futures contracts (Europe)

   172,634    0.06

Various energy futures contracts (U.S.)

   (137,428  -0.05

Various interest rates futures contracts (Canada)

   36,440    0.01

Various interest rates futures contracts (Europe)

   686,134    0.23

Various interest rates futures contracts (Far East)

   101,244    0.03

Various interest rates futures contracts (Oceanic)

   (77,260  -0.03

Various interest rates futures contracts (U.S.)

   1,339,742    0.45

Various precious metal futures contracts (U.S.)

   906,216    0.30

Various soft futures contracts (Canada)

   1,489    0.00

Various soft futures contracts (Europe)

   5,433    0.00

Various soft futures contracts (U.S.)

   4,912,131    1.63

Various stock index futures contracts (Africa)

   —      0.00

Various stock index futures contracts (Canada)

   —      0.00

Various stock index futures contracts (Europe)

   (1,174  0.00

Various stock index futures contracts (Far East)

   (1,806  0.00

Various stock index futures contracts (Oceanic)

   —      0.00

Various stock index futures contracts (U.S.)

   48,849    0.02
  

 

 

  

 

 

 

Total Short Futures Contracts

  $6,023,501    2.00
  

 

 

  

 

 

 

CURRENCY FORWARDS *

   

Various currency forwards contracts

  $1,247,960    0.41
  

 

 

  

 

 

 

Total Currency Forwards

  $1,247,960    0.41
  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

  $15,674,650    5.20
  

 

 

  

 

 

 
     Fair  % of Total Capital 
Description Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *        
    Various base metals futures contracts (Europe) $(96,596)  -0.04%
    Various base metals futures contracts (U.S.)  (1,250,449)  -0.52%
    Various currency futures contracts (Singapore)  6,824   0.00%
    Various currency futures contracts (U.S.)  54,431   0.02%
    Various energy futures contracts (Europe)  13,493   0.01%
    Various energy futures contracts (Far East)  605   0.00%
    Various energy futures contracts (U.S.)  (2,605,923)  -1.08%
    Brent Crude Oil Settling 1/29/2016 (Number of Contracts: 546)  (3,709,735)  -1.54%
    WTI Crude Oil Settling 5/31/2016 (Number of Contracts: 925)  (7,677,427)  -3.20%
    Heating Oil Settling 1/29/2016 (Number of Contracts: 314)  (4,145,156)  -1.73%
    Various interest rates futures contracts (Canada)  111,674   0.05%
    Various interest rates futures contracts (Europe)  (686,234)  -0.29%
    Various interest rates futures contracts (Far East)  304,974   0.13%
    Various interest rates futures contracts (Oceanic)  (19,910)  -0.01%
    Various interest rates futures contracts (U.S.)  (568,406)  -0.24%
    Various precious metal futures contracts (U.S.)  (2,773,754)  -1.15%
    Various soft futures contracts (Canada)  513   0.00%
    Various soft futures contracts (Europe)  73,103   0.03%
    Various soft futures contracts (Oceanic)  5,505   0.00%
    Various soft futures contracts (U.S.)  349,981   0.15%
    Various stock index futures contracts (Canada)  (43,551)  -0.02%
    Various stock index futures contracts (Europe)  100,955   0.04%
    Various stock index futures contracts (Far East)  (184,632)  -0.08%
    Various stock index futures contracts (Oceanic)  (2,642)  0.00%
    Various stock index futures contracts (U.S.)  135,830   0.06%
    Total Long Futures Contracts $(22,606,527)  -9.41%
SHORT FUTURES CONTRACTS *        
    Various base metals futures contracts (Europe) $402,411   0.17%
    Various base metals futures contracts (U.S.)  113,542   0.05%
    Various currency futures contracts (U.S.)  1,304,853   0.54%
    Various energy futures contracts (Europe)  29,608   0.01%
    Various energy futures contracts (Far East)  1,430   0.00%
    Various energy futures contracts (U.S.)  3,963,547   1.65%
    WTI Crude Oil Settling 4/30/2016 (Number of Contracts: 845)  4,039,571   1.68%
    WTI Crude Oil Settling 6/29/2016 (Number of Contracts: 756)  3,923,021   1.63%
    Heating Oil Settling 8/1/2016 (Number of Contracts: 210)  3,342,927   1.39%
    Various interest rates futures contracts (Canada)  912   0.00%
    Various interest rates futures contracts (Europe)  130,658   0.05%
    Various interest rates futures contracts (Far East)  (18,300)  -0.01%
    Various interest rates futures contracts (Oceanic)  (171,001)  -0.07%
    Various interest rates futures contracts (U.S.)  148,445   0.06%
    Various precious metal futures contracts (Far East)  4,492   0.00%
    Various precious metal futures contracts (U.S.)  1,320,899   0.55%
    Various precious metal futures contracts (Far East)  (2,639)  0.00%
    Various soft futures contract (Europe)  (10,130)  0.00%
    Various soft futures contracts (Canada)  (1,321)  0.00%
    Various soft futures contracts (Europe)  49,202   0.02%
    Various soft futures contracts (Far East)  (1,348)  0.00%
    Various soft futures contracts (Singapore)  930   0.00%
    Various soft futures contracts (U.S.)  (364,588)  -0.15%
    Various stock index futures contracts (Africa)  (10,962)  0.00%
    Various stock index futures contracts (Canada)  (23,117)  -0.01%
    Various stock index futures contracts (Europe)  (23,385)  -0.01%
    Various stock index futures contracts (Far East)  87,447   0.04%
    Various stock index futures contracts (Mexico)  790   0.00%
    Various stock index futures contracts (Oceanic)  (12,679)  -0.01%
    Various stock index futures contracts (U.S.)  (39,052)  -0.02%
    Various stock index futures contracts (Warsaw)  (3,926)  0.00%
    Total Short Futures Contracts $18,182,237   7.57%
CURRENCY FORWARDS *        
    Various currency forwards contracts (NA) $75,418   0.03%
    Total Currency Forwards $75,418   0.03%
    Total Open Trade Equity (Deficit) $(4,348,872)  -1.81%
OPTIONS PURCHASED *        
    Various energy futures contracts (U.S.) $154,530   0.06%
    Various stock index futures contracts (U.S.)  371,758   0.15%
    Total Options Purchased $526,288   0.21%
OPTIONS WRITTEN *        
    Various energy futures contracts (U.S.) $(165,760)  -0.07%
    Total Options Written $(165,760)  -0.07%
SWAPS (1)        
    Frontier Brevan Howard swap (U.S.) $7,960,269   3.31%
    Frontier XXXIV Balanced select swap (U.S.)  19,157,519   7.98%
    Frontier XXXV Diversified select swap (U.S.)  8,685,849   3.62%
    Frontier XXXVII L/S select swap (U.S.)  4,332,428   1.80%
    Total Swaps $40,136,065   16.71%
             
      Fair Value  Fair Value 
U.S. TREASURY SECURITIES        
             
FACE VALUE      
             
$67,000,000  US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) $89,465,938   37.25%
$20,000,000  US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)  28,012,500   11.66%
    Total U.S. Treasury Securities $117,478,438   48.91%

Description

  Fair
Value
  % of Total Capital
(Net Asset Value)
 

OPTIONS PURCHASED *

   

Various base metals futures contracts (Europe)

  $1,839,592    0.61

Various currency futures contracts (U.S.)

   386,410    0.13

Various energy futures contracts (U.S.)

   75,490    0.03

Various interest rates futures contracts (U.S.)

   528,751    0.18

Various precious metal futures contracts (U.S.)

   —      0.00

Various soft futures contracts (U.S.)

   37,644    0.01

Various stock index futures contracts (U.S.)

   165,983    0.06
  

 

 

  

 

 

 

Total Options Purchased

  $3,033,870    1.02
  

 

 

  

 

 

 

OPTIONS WRITTEN *

   

Various base metals futures contracts (Europe)

  $(703,619  -0.23

Various currency futures contracts (U.S.)

   (34,820  -0.01

Various energy futures contracts (U.S.)

   (152,500  -0.05

Various interest rates futures contracts (U.S.)

   (127,500  -0.04

Various precious metal futures contracts (U.S.)

   —      0.00

Various soft futures contracts (U.S.)

   (20,150  -0.01

Various stock index futures contracts (U.S.)

   (183,933  -0.06
  

 

 

  

 

 

 

Total Options Written

  $(1,222,522  -0.40
  

 

 

  

 

 

 

SWAPS (1)

   

Frontier XXXIV Balanced select swap (U.S.)

  $10,126,168    3.36

Frontier Brevan Howard swap (U.S.)

   5,435,184    1.81

Frontier XXXV Diversified select swap (U.S.)

   3,437,632    1.14

Frontier XXXVII L/S select swap (U.S.)

   2,456,545    0.82
  

 

 

  

 

 

 

Total Swaps

  $21,455,529    7.13
  

 

 

  

 

 

 

U.S. TREASURY SECURITIES

   

FACE VALUE

  Fair Value  Fair Value 

$11,500,000 US Treasury Note 1.125% due 12/31/2019 (Cost $11,178,122)

  $10,853,125    3.61

$11,500,000 US Treasury Note 2.000% due 09/30/2020 (Cost $11,611,497)

   11,228,672    3.75

$25,000,000 US Treasury Note 2.500% due 08/15/2023 (Cost $25,034,823)

   23,957,031    8.04

$13,000,000 US Treasury Note 2.125% due 08/15/2021 (Cost $13,066,678)

   12,575,469    4.21

$13,000,000 US Treasury Note 2.000% due 11/15/2021 (Cost $12,945,421)

   12,390,625    4.13

$75,000,000 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   95,507,813    32.29

$20,000,000 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   27,165,625    9.20
  

 

 

  

 

 

 

Total U.S. Treasury Securities

  $193,678,360    65.23
  

 

 

  

 

 

 

*NoExcept 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.

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

F-58

Equinox Frontier Funds

Consolidated StatementsTable of OperationsContents

For the Years Ended December 31, 2014, 2013 and 2012

Equinox Frontier Funds
Consolidated Statements of Operations
For the Years Ended December 31, 2016, 2015 and 2014

 

 2016 2015 2014 
  2014 2013 2012        

Investment income:

                

Interest—net

  $1,121,287   $4,195,527   $5,824,751  
Interest - net $585,952  $1,034,549  $1,121,287 
  

 

  

 

  

 

             

Total Income

   1,121,287    4,195,527    5,824,751    585,952   1,034,549   1,121,287 
  

 

  

 

  

 

             

Expenses:

                

Incentive Fees

   11,993,289    2,300,285    12,198,317    2,980,696   5,723,374   11,993,289 

Management Fees

   5,857,792    8,403,814    12,850,471    3,235,153   5,028,224   5,857,792 

Service Fees—Class 1

   4,357,428    7,118,910    10,354,157  
Risk analysis Fees  89,265       
Service Fees - Class 1  3,586,271   4,309,654   4,357,428 

Trading Fees

   3,327,096    5,588,902    7,888,010    3,613,634   3,452,315   3,327,096 
  

 

  

 

  

 

             

Total Expenses

   25,535,605    23,411,911    43,290,955    13,505,019   18,513,567   25,535,605 
  

 

  

 

  

 

             

Investment income/(loss)—net

   (24,414,318  (19,216,384  (37,466,204
Investment income/(loss) - net  (12,919,067)  (17,479,018)  (24,414,318)
  

 

  

 

  

 

             

Realized and unrealized gain/(loss) on investments:

                

Net realized gain/(loss) on futures, forwards and options

   56,215,423    (12,444,197  (4,787,818  4,588,561   34,717,764   56,215,423 
Net unrealized gain/(loss) on private investment companies  4,405,026       
Net realized gain/(loss) on private investment companies  776,630       

Net change in open trade equity/(deficit)

   (1,839,399  13,437,427    17,630,808    6,811,181   (19,985,903)  (1,839,399)

Net realized gain/(loss) on swap contracts

   —      (3,555,134  (525,237

Net unrealized gain/(loss) on swap contracts

   14,535,358    1,539,551    (1,386,497  53,113   3,145,177   14,538,860 

Net realized gain/(loss) on U.S. Treasury securities

   (429,638  1,078,008    2,245,136    7,709,486   1,146,411   (429,638)

Net unrealized gain/(loss) on U.S. Treasury securities

   13,833,243    (7,106,104  (3,482,576  (5,181,917)  (2,972,057)  13,833,243 

Trading commissions

   (3,828,682  (4,862,596  (7,746,611  (732,436)  (2,741,423)  (3,832,184)

Net realized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC

   —      —      (2,172,987

Net unrealized gain/(loss) on investment in Berkeley Quantitative Colorado Fund LLC

   —      —      2,084,880  
  

 

  

 

  

 

             

Net gain/(loss) on investments

   78,486,305    (11,913,045  1,859,098    18,429,644   13,309,969   78,486,305 
  

 

  

 

  

 

             

NET INCREASE/(DECREASE) IN CAPITAL

    

RESULTING FROM OPERATIONS

  $54,071,987   $(31,129,429 $(35,607,106
  

 

  

 

  

 

 
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $5,510,577  $(4,169,049) $54,071,987 

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

F-59

Equinox Frontier Funds

Consolidated StatementTable of Changes in Owners’ CapitalContents

For the Years Ended December 31, 2014, 2013 and 2012

Equinox Frontier Funds
Consolidated Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 2014

 

 Managing Limited    
  Managing
Owner
 Limited Owners Total  Owner Owners Total 

Owners’ Capital, December 31, 2011

  $6,538,575   $631,407,968   $637,946,543  
       
Owners’ Capital, December 31, 2013 $4,801,516  $296,220,779  $301,022,295 
            

Sale of Units

   —      46,946,971    46,946,971    23,159   15,657,259   15,680,418 

Redemption of Units

   —      (129,300,685  (129,300,685  (317,674)  (100,250,717)  (100,568,391)

Net increase/(decrease) in Capital resulting from operations

   (250,809  (35,356,297  (35,607,106
  

 

  

 

  

 

 

Owners’ Capital, December 31, 2012

   6,287,766    513,697,957    519,985,723  

Sale of Units

   586,202    12,172,842    12,759,044  

Redemption of Units

   (1,586,194  (199,006,861  (200,593,055

Net increase/(decrease) in Capital resulting from operations

   (486,258  (30,643,171  (31,129,429
  

 

  

 

  

 

 

Owners’ Capital, December 31, 2013

   4,801,516    296,220,767    301,022,283  

Sale of Units

   23,159    15,657,271    15,680,430  

Redemption of Units

   (317,674  (100,250,717  (100,568,391

Net increase/(decrease) in Capital resulting from operations

   1,165,260    52,906,727    54,071,987  
Net increase/(decrease) in Owners’            
Capital resulting from operations  1,165,260   52,906,727   54,071,987 
  

 

  

 

  

 

             

Owners’ Capital, December 31, 2014

  $5,672,261   $264,534,048   $270,206,309    5,672,261   264,534,048   270,206,309 
  

 

  

 

  

 

             
Sale of Units     19,606,202   19,606,202 
Redemption of Units     (46,670,773)  (46,670,773)
Payment made by Managing Owner     1,211,610   1,211,610 
Net increase/(decrease) in Owners’            
Capital resulting from operations  125,894   (4,294,943)  (4,169,049)
            
Owners’ Capital, December 31, 2015  5,798,155   234,386,144   240,184,299 
            
Sale of Units  4,923   11,272,734   11,277,657 
Redemption of Units  (3,732,623)  (34,028,475)  (37,761,098)
Net increase/(decrease) in Owners’            
Capital resulting from operations  205,756   5,304,821   5,510,577 
            
Owners’ Capital, December 31, 2016 $2,276,211  $216,935,224  $219,211,435 

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

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

Equinox Frontier Funds

Consolidated Statements of Cash Flows

For the Years Ended December 31, 2014, 2013 and 2012

   2014  2013  2012 

Cash Flows from Operating Activities:

  

 

Net increase/(decrease) in capital resulting from operations

  $54,071,987   $(31,129,429 $(35,607,106

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

   850,228    (17,493,114  (16,671,374

Net change in options purchased

   (6,042,013  10,901,243    (2,001,975

Net change in options written

   7,741,316    (2,976,676  862,872  

Net change in allocation of total return swaps

   —      —      —    

Net unrealized (gain)/loss on swap contracts

   (14,535,358  (1,539,551  1,386,497  

Net realized (gain)/loss on swap contracts

   —      3,555,134    525,237  

Net unrealized (gain)/loss on U.S. Treasury securities

   (13,833,243  7,106,104    3,482,576  

Net realized (gain)/loss on U.S. Treasuries securities

   429,638    (1,078,008  (2,245,136

Net realized (gain)/loss on investment in Berkeley Colorado Quantitative Fund LLC

   —      —      2,172,987  

Net unrealized (gain)/loss on investment in Berkeley Colorado Quantitative Fund LLC

   —      —      (2,084,880

(Purchases) sales of:

    

Sales of swap contracts

   —      20,698,367    —    

(Purchases) of swap contracts

   —      (21,880,000  —    

(Purchases) of U.S. Treasury securities

   (14,984,410  (199,626,688  —    

Sales of U.S. Treasury securities

   82,112,859    17,921,554    59,521,241  

Sales of custom time deposits

   —      311,468,033    46,818,526  

Sales of Berkeley Colorado Quantitative Fund LLC

  

  —      6,182,737  

Increase and/or decrease in:

    

Receivable from futures commission merchants

   (4,768,450  86,886,331    12,337,706  

Distributions from trading companies

   —      —      —    

Prepaid service fees

   4,010    120,151    170,227  

Interest receivable

   501,949    (2,401,337  837,094  

Receivable from related parties

   390    (6,051  —    

Other assets

   (499,955  34,989    61,203  

Incentive fees payable to Managing Owner

   5,254,068    679,141    (1,111,997

Management fees payable to Managing Owner

   (137,065  (398,444  (116,832

Interest payable to Managing Owner

   (78,476  (287,553  (148,735

Trading fees payable to Managing Owner

   (36,543  (240,936  (112,780

Service fees payable to Managing Owner

   (68,919  (247,466  (154,190

Payables to related parties

   18,978    (19,976  37,192  

Other liabilities

   —      (51,485  34,876  
  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   96,001,003    179,994,333    74,175,966  
  

 

 

  

 

 

  

 

 

 

Cash Flows from Financing Activities:

    

Proceeds from sale of capital

   15,680,430    12,759,044    46,946,971  

Payment for redemption of capital

   (100,568,391  (200,593,055  (129,300,685

Pending owner additions

   7,842    (126,560  (223,785

Redemptions payable

   (1,445,885  174,313    (1,956,488
  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (86,326,004  (187,786,258  (84,533,987
  

 

 

  

 

 

  

 

 

 

Net increase (decrease) in cash and cash equivalents

   9,674,987    (7,791,925  (10,358,021

Cash and cash equivalents, beginning of period

   9,302,857    17,094,782    27,452,803  
  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

  $18,977,844   $9,302,857   $17,094,782  
  

 

 

  

 

 

  

 

 

 

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

F-60

Equinox Frontier Funds
Consolidated Statements of Cash Flows
For the Years Ended December 31, 2016, 2015 and 2014

  2016  2015  2014 
          
Cash Flows from Operating Activities:            
Net increase/(decrease) in capital resulting from operations $5,510,577  $(4,169,049) $54,071,987 
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  (7,171,709)  19,173,292   850,228 
Net change in options purchased  526,288   8,549,595   (6,042,013)
Net change in options written  (165,760)  (8,798,078)  7,741,316 
Net unrealized (gain)/loss on swap contracts  (53,113)  (3,145,177)  (14,535,358)
Net unrealized (gain)/loss on U.S. Treasury securities  5,181,917   2,972,057   (13,833,243)
Net realized (gain)/loss on U.S. Treasuries securities  (7,709,486)  (1,146,411)  429,638 
Net unrealized gain/(loss) on private investment companies  (4,405,026)      
Net realized gain/(loss) on private investment companies  (776,630)      
(Purchases) sales of:            
(Purchases) of swap contracts     (1,000,000)   
(Purchases) of U.S. Treasury securities  (25,877,151)  (21,196,875)  (14,984,410)
Sales of U.S. Treasury securities  102,379,233   39,359,391   82,112,859 
(Purchases) of Private Investment Companies  (107,326,025)      
Sales of Private Investment Companies  5,467,195       
U.S. Treasury interest and premium paid/amortized  746,321   2,486,916    
Increase and/or decrease in:            
Receivable from futures commission merchants  39,879,557   (6,820,222)  (4,768,450)
Prepaid service fees  24,251   (8,209)  4,010 
Interest receivable  1,241,463   111,502   501,949 
Receivable from related parties  (84,550)  2,541   390 
Other assets  29   499,993   (499,955)
Interest payable         
Incentive fees payable to Managing Owner  (382,136)  (6,283,192)  5,254,068 
Management fees payable to Managing Owner  30,487   (65,211)  (137,065)
Interest payable to Managing Owner  (98,846)  (40,965)  (78,476)
Trading fees payable to Managing Owner  240,577   (42,332)  (36,543)
Service fees payable to Managing Owner  (34,336)  (62,259)  (68,919)
Risk analysis fees payable  15,673       
Payables to related parties  21,334   25,817   18,978 
Other liabilities  144,042   (6)   
             
Net cash provided by operating activities  7,324,176   20,403,118   96,000,991 
Cash Flows from Financing Activities:            
             
Proceeds from sale of capital  11,277,657   19,606,202   15,680,430 
Payment for redemption of capital  (37,761,098)  (46,670,773)  (100,568,391)
Payment from the Managing Owner     1,211,610    
Pending owner additions  (36,462)  (5,492)  7,842 
Advance on unrealized Swap Appreciation  9,441,555       
Redemptions payable  525,602   453,104   (1,445,885)
             
Net cash used in financing activities  (16,552,746)  (25,405,349)  (86,326,004)
             
Net increase (decrease) in cash and cash equivalents  (9,228,570)  (5,002,231)  9,674,987 
             
Cash and cash equivalents, beginning of period  13,975,613   18,977,844   9,302,857 
Cash and cash equivalents, end of period $4,747,043  $13,975,613  $18,977,844 

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

F-61

Equinox Frontier Funds
Notes to Consolidated Financial Statements

1.Equinox Frontier Funds

Notes to Consolidated Financial Statements

1. Organization and Purpose

Equinox Frontier Funds, which is referred to in this report as “the Trust”the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust.trust and is set to expire on December 31, 2053. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (the “CFTC”)CFTC Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series of units of beneficial interest (the “Units”)Units pursuant to the requirements of the Delaware Statutory Trust Act, as amended (the “Trust Act”).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”).Act. It is managed by its managing owner, Equinox Fund Management, LLC (the “Managing Owner”).the Managing Owner.

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

The Trust has been organized to pool investor funds for the purpose of trading in the 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 (“Swaps”).contracts.

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

The Trust, with respect to each Series:

 

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

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

 

allocates funds to a limited liability trading company or companies (“Trading Company” or “Trading Companies”). Except as otherwise described in these notes, each Trading Company 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 assets and make the trading decisions for the assets of each Series vested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

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

 

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

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

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

 

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

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

 

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

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Table of Units in between two to six sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV 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 NAV 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 Equinox Frontier Diversified Fund, and Equinox Frontier Masters Fund or Class 2a Units of the Equinox 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. 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; andContents

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

 

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

all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund or Equinox 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. 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.

As of December 9, 2013, the Balanced Series of the Trust became known as the Equinox Frontier Balanced Fund, the Frontier Diversified Series became known as the Equinox Frontier Diversified Fund, the Frontier Heritage Series became known as Equinox Frontier Heritage Fund, the Frontier Long/Short Commodity Series became known as the Equinox Frontier Long/Short Commodity Fund, the Frontier Masters Series became known as the Equinox Frontier Masters Fund, the Frontier Select Series became known as the Equinox Frontier Select Fund, and the Winton Series became known as the Equinox Frontier Winton Fund.

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

As of December 31, 2014,2016, the Trust, with respect to the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage

Fund separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Equinox Frontier BalancedSelect Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund separates Units into three separate Classes—Class 1, Class 2, and Class 1AP. The Trust, with respect to the Equinox Frontier Long/Short Commodity Fund separates Units into a maximum of sixfive separate Classes—Class 1,1a, Class 2, Class 3, Class 1a,2a and Class 3a. The Trust, with respect to the Equinox Frontier Balanced Fund separates Units into a maximum of five Classes—Class 1, Class 1AP, Class 2, Class 2a and Class 3a. ItBetween April 15, 2016 and December 31, 2016, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, and Frontier Trading Company XXIII, LLC held by Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Balanced Fund, and Equinox Frontier Long/Short Commodity Fund were exchanged for equivalent interests in Galaxy Plus. 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, 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 Master Funds in Galaxy Plus. Each Master Fund is expectedsponsored and operated by Gemini Alternative Funds, LLC. 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 between 10% and 30%invest in Galaxy Plus, approximately 30-70% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of eachthose Series’ assets are maintained atused to support the Trust level for cash management. Eachmargin requirements of the respectiveMaster Funds. The remaining assets of the Series has invested monies intoare split between investments in Trading Companies and a pooled cash management assets which have included purchases ofaccount that invests primarily in U.S. Treasury Securities. Each Series’ ownershipsecurities. For those Series that do not invest in theseGalaxy Plus, their assets are split between investments is based on its percentage ownershipin Trading Companies and investments in the pooled cash management assets on the reporting date.account.

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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 or bad faith.

2.2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Trust follow U.S. Generally Accepted Accounting Principles (“GAAP”),follows 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.

ConsolidationEach The Series, ofthrough investing in the Trust invests in Trading Companies whoand Galaxy Plus, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and the risk analysis fee, all of which is allocated to the 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. Investments 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 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.

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

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

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

Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasury securitiesTreasuries and assets held at a futures commission merchants (each, an “FCM”merchant (“FCM”), of up to the first two percentage points or 20% of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner.Owner by the Equinox Frontier Balanced Fund (Class 1, and Class 2 only), Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016, thereafter 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Trust,Series, and shown net on the consolidated statement of operations.

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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 Fromfrom Futures Commission MerchantsMerchants—The Trust deposits assets with a 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, 2016 included restricted cash for margin requirements of $2,631,477 for the Frontier Trading Company I LLC, $3,623,496 for the Frontier Trading Company XV LLC, and $14,604,203 for the Frontier Trading Company II 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—Currency Transactions—The Series of the Trust’s functional currency is the U.S. dollar,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 between twothree to sixseven classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a Class 3a and Class 3a.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 3a1AP 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 SwapsSwaps—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. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps,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,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 basisbased upon daily reports from the counterparty. The Managing Owner values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index

performance, that is used to determine a daily fair value NAV for the swap contracts. This fair value is corroborated by valuations provided by a third party pricing service on a daily basis. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail

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Income TaxesTaxes—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 yearsyear ended December 31, 2014,2016. The 2013 and 2012. The 2011 through 20142016 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 (ii)(iii) the discussion set forth in the Prospectus under the heading “Federal“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 ExpensesExpenses—All management fees, incentive fees, service fees 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 as expenses on the Statement of Operations. The Series are all charge 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.

Service Fees—The Trust may maintain each Series of Units in between twothree to sixseven 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 Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, and Equinox 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 Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 orand 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 NAVpurchase 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 Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund or Class 2a Units of the Equinox 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.

These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are bornborne 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.

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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.

Recently Adopted Accounting PronouncementsPronouncements—In September of 2013,May 2015, the FASB issued ASU 2013-08No. 2015-07, “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).” ASU No. 2015-07 removes the requirement to (i) modify Topic 946include investments in the fair value hierarchy for determining whether an entitywhich the fair value is an investment company; (ii) updatemeasured at NAV using the measurement requirements for noncontrolling interests in other investment companies;practical expedient under “Fair Value Measurements and (iii) require additional disclosures for investment companies under GAAP. This guidanceDisclosures (Topic 820).” ASU No. 2015-07 is effective for annual and interimreporting periods beginning on or after December 15, 2013. An entity should provide2015, including interim periods within that reporting period. ASU No. 2015-07 is required to be applied retrospectively to all periods presented beginning in the year of adoption. Since ASU No. 2015-07 will only impact the Trust’s disclosures, required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance diddoes not have a material impact onaffect the Trust’s financial position orcondition, results of operations.operations, or cash flows.

Recently Issued Accounting Pronouncements—

In February, 2015, the FASB issued Accounting Standards Update (ASU) No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis. ASU 2015-02 provides guidance on the consolidation evaluation for reporting organizations that are required to evaluate whether they should consolidate certain legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). ASU 2015-02 is effective for periods beginning after December 15, 2015. The adoption of ASU 2015-02 isdoes not expected to have a material effect on the Trust’s consolidatedTrust financial statements. Early adoption is permitted. In May 2014 the FASB issued a final standard on revenue from contracts with customers. The standard, issued as FASB ASU 2014-09, “Revenue from Contracts with Customers” (“ASU 2014-09”), outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. The ASU is effective for interim and annual reporting periods beginning after December 15, 2016. Early adoption is not permitted. A full retrospective or modified retrospective approach may be taken to adopt the guidance in the ASU. The Trust is currently evaluating the impact of the provisions of ASU 2014-09 on its consolidated financial position, results of operations and related disclosures.

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. No events or transactions requiring recognition or disclosure have been identified.

3.3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

Trading Securities. These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include tradingopen trade equity positions (trading options and currency forwardsforwards) 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.

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Swap ContractsContracts.. Certain Series of the Trust strategically invest a portion or all of their assets in total return Swaps,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,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. Swap contracts are reported at fair value based upon daily reports from the counterparty. In addition, a third party takes receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The Managing Owner valuesfair value measurements of the investments based on the CTA’s estimated position information on a same-trading day basis.swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is usedas well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to determine a daily fair value NAV for the swap contracts. The fair value is corroborated through the use of a third party pricing service. The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the valuation committee charted by the Executive Committee of the Trust, engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and it’s subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by a senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing

Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Valuation Committee for evaluation and resolution.

Investments in Private Investment Oversight and Risk Committee andCompanies. Investments in private investment companies are valued utilizing the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricing valuationnet asset values provided by the swap counterpartyunderlying Private Investment Companies as a practical expedient. The Fund applies the practical expedient to its investments in Private Investment Companies on an investment-by-investment basis, and daily valuation provided byconsistently with the third party pricing service to ensureFund’s entire position in a particular investment, unless it is probable that the changeFund will sell a portion of an investment at an amount different from the net asset value of the investment. Management has adopted Accounting Standards Update (“ASU”) ASU 2015-07,Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) — a consensus of the Emerging Issues Task Force issued, on May 1, 2015. The guidance in this standard was effective for interim and annual periods beginning after December 15, 2015. In accordance with Subtopic 820-10, certain investments that are measured at fair value is reasonable and valuations areusing the net asset value per share (or its equivalent) have not been classified in accordance with current regulations and best practices. The committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.fair value hierarchy below.

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series,in aggregate, measured at fair value on a recurring basis as of December 31, 20142016 and 2013,2015, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

 

        Total 

December 31, 2014

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 
December 31, 2016 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value 
         
Open Trade Equity (Deficit) $2,091,623  $54,584  $  $2,146,207 
Swap Contracts        40,189,178   40,189,178 
U.S. Treasury Securities  42,757,604         42,757,604 
                
  Total 
December 31, 2015 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value 
                

Open Trade Equity (Deficit)

  $15,756,796    $(932,374  $—      $14,824,422   $(4,424,290) $75,418  $  $(4,348,872)

Swap Contracts

   —       —       35,990,887     35,990,887          40,136,065   40,136,065 

U.S. Treasury Securities

   139,953,516     —       —       139,953,516    117,478,438         117,478,438 

Purchased Options

   —       9,075,883     —       9,075,883       526,288      526,288 

Written Options

   —       (8,963,838   —       (8,963,838     (165,760)     (165,760)

 

December 31, 2013

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Open Trade Equity (Deficit)

  $14,426,691    $1,247,959    $—      $15,674,650  

Swap Contracts

   —       —       21,455,529     21,455,529  

U.S. Treasury Securities

   193,678,360     —       —       193,678,360  

Purchased options

   —       3,033,870     —       3,033,870  

Written Options

   —       (1,222,522   —       (1,222,522

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 realized and net unrealized gain/(loss) on swap contracts” on the statements of operations.

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  For the Year ended 
  December 31, 2016 
Balance of recurring Level 3 assets as of January 1, 2016 $40,136,065 
Total gains or losses (realized/unrealized):    
Included in earnings-realized   
Included in earnings-unrealized  53,113 
Purchases of investments   
Sales of investments   
Transfers in and/or out of Level 3   
Balance of recurring Level 3 assets as of December 31, 2016 $40,189,178 
     
  For the Year ended 
  December 31, 2015 
Balance of recurring Level 3 assets as of January 1, 2015 $35,990,887 
Total gains or losses (realized/unrealized):    
Included in earnings-realized   
Included in earnings-unrealized  3,145,178 
Purchases of investments  1,000,000 
Sales of investments   
Transfers in and/or out of Level 3   
Balance of recurring Level 3 assets as of December 31, 2015 $40,136,065 

 

   For the Year ended
December 31, 2014
 

Balance of recurring Level 3 assets as of January 1, 2014

  $21,455,529  

Total gains or losses (realized/unrealized):

  

Included in earnings-realized

   —    

Included in earnings-unrealized

   14,535,358  

Purchases of investments

   —    

Sales of investments

   —    

Transfers in and/or out of Level 3

   —    
  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $35,990,887  
  

 

 

 

   For the Year Ended
December 31, 2013
 

Balance of recurring Level 3 assets as of January 1, 2013

  $22,289,479  

Total gains or losses (realized/unrealized):

  

Included in earnings-realized

   (3,555,134

Included in earnings-unrealized

   1,539,551  

Purchases of investments

   21,880,000  

Sales of investments

   (20,698,367

Transfers in and/or out of Level 3

   —    
  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $21,455,529  
  

 

 

 

The Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the years ended December 31, 20142016 and 2013,2015, the Trust did not transfer any assets between Levels 1, 2 and 3.

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2016:

Swaps$53,113

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2015:

Swaps$3,145,177

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2014.

 

   2014 

Swaps

  $14,535,358  

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2013.

Swaps$14,535,358

 

   2013 

Swaps

  $(420,970

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2012.

4.Swap Contracts

 

   2012 

Swaps

  $(1,265,968

4. Swaps

In addition to authorizing Trading Advisors to manage pre-determined investment levels of futures and forward contracts, certain Series of the Trust will strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Total return Swapsswaps 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 Swapsswaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The Swapsswaps 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.

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The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 20142016 and 2013,2015, approximately 12.5%10.2% and $22,866,000 and 9.3% or $35,990,887 and 7.0% or $21,455,529,$22,873,000, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swapsswaps and is recorded as Swapswap 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.

The Trust had invested in the following swaps as of and for the year ended December 31, 2014:

   Brevan Howard
Total Return Swap
  XXXIV Balanced
select swap Total
Return Swap
  XXXV Diversified
select swap Total
Return Swap
  XXXVII L/S select
swap Total Return
Swap
 

Counterparty

   DeutscheBank AG    DeutscheBank AG    DeutscheBank AG    DeutscheBank AG  

Notional Amount

  $17,663,283   $67,610,098   $35,500,000   $13,590,513  

Termination Date

   3/26/2018    8/2/2018    8/2/2018    8/7/2018  

Cash Collateral

  $5,993,000   $9,600,000   $3,400,000   $2,880,000  

Swap Value

  $1,547,465   $8,646,954   $3,170,408   $753,060  

Investee Returns

   Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

  $0   $0   $0   $0  
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in Unrealized Gain/(Loss)

  $2,105,282   $8,120,784   $3,132,777   $1,176,515  
  

 

 

  

 

 

  

 

 

  

 

 

 

Fair Value as of 12/31/2014

  $7,540,465   $18,246,954   $6,570,408   $3,633,060  
  

 

 

  

 

 

  

 

 

  

 

 

 

The Trust had invested in the following swaps as of and for the year ended December 31, 2013:2016:

 

  Total Return Swap Total Return Swap Total Return Swap 

Counterparty

   Societe Generale    DeutscheBank    DeutscheBank AG  

Notional Amount

  $—     $—     $64,000,000  

Termination Date

   11/21/2014    6/30/2016    8/2/2018  

Cash Collateral

    $9,600,000  

Swap Value

    $526,168  

Investee Returns

   Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

  $(1,646,391 $(1,908,743 $—    
  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

  $214,265   $1,746,258   $526,168  
  

 

  

 

  

 

 

Fair Value as of 12/31/13

  $—     $—     $10,126,168  
  

 

  

 

  

 

  Brevan Howard XXXIV Balanced select swap XXXV Diversified select swap XXXVII L/S select swap
 Total Return Swap Total Return Swap Total Return Swap Total Return Swap
  Total Return Swap Total Return Swap Total Return Swap         

Counterparty

   DeutscheBank AG    DeutscheBank AG    DeutscheBank AG     DeutscheBank AG    DeutscheBank AG    DeutscheBank AG    DeutscheBank AG

Notional Amount

  $34,400,000   $25,500,000   $18,663,283   $11,413,283 $22,580,043 $13,851,707 $1,877,692

Termination Date

   8/7/2018    8/2/2018    3/26/2018   3/26/2018 8/2/2018 8/2/2018 8/7/2018

Cash Collateral

  $2,880,000   $3,400,000   $5,996,500   $5,986,000 $9,600,000 $3,400,000 $3,880,000

Swap Value

  $(423,455  37,632   $(561,316 $2,405,414 $9,339,450 $5,237,847 $340,468

Investee Returns

   Total Returns    Total Returns    Total Returns   Total Returns Total Returns Total Returns Total Returns

Realized Gain/(Loss)

  $—     $—     $—     $0 $0 $0 $0
  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

  $(423,455 $37,632   $(561,316 $431,146 ($218,070) ($48,002) ($111,960)
  

 

  

 

  

 

 

Fair Value as of 12/31/13

  $2,456,545   $3,437,632   $5,435,184  
  

 

  

 

  

 

 
Fair Value as of 12/31/2016 $8,391,414 $18,939,450 $8,637,847 $4,220,468
Advance on swap appreciation ($1,900,000) ($4,926,555) ($2,500,000) ($115,000)

The Trust had invested in the following swaps as of and for the year ended December 31, 2015:

  Brevan Howard XXXIV Balanced Select Swap XXXV Diversified Select Swap XXXVII L/S Select Swap
  Total Return Swap Total Return Swap Total Return Swap Total Return Swap
                 
Counterparty DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG
Notional Amount $12,663,283 $22,580,043 $13,851,707 $1,877,592
Termination Date 3/26/2018 8/2/2018 8/2/2018 8/7/2018
Cash Collateral $5,993,000 $9,600,000 $3,400,000 $3,880,000
Swap Value $1,967,269 $9,557,519 $5,285,749 $452,428
Investee Returns Total Returns Total Returns Total Returns Total Returns
Realized Gain/(Loss) $0 $0 $0 $0
Change in Unrealized Gain/(Loss) $419,803 $910,566 $2,115,441 ($300,633)
Fair Value as of 12/31/2015 $7,960,269 $19,157,519 $8,685,749 $4,332,428

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.

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The following table summarizes each of the Trust’s investments in Private Investment Companies as of December 31, 2016:

  As of December 31, 2016 
  Percentage of Trust Total    
  Capital Invested in    
  Private Investment Companies  Fair Value 
         
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC  5.28% $11,559,976 
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  5.23%  11,465,608 
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  2.98%  6,526,957 
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  5.10%  11,174,877 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  9.33%  20,442,933 
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  8.78%  19,226,675 
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  1.78%  3,899,040 
Galaxy Plus Fund - Quest Fit Feeder Fund (517) LLC  5.11%  11,197,020 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  2.12%  4,643,329 
Galaxy Plus Fund - LRR Feeder Fund (522) LLC  3.46%  7,580,703 

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

The following table summarizes each of the Trust’s equity in earnings from Private Investment Companies for the year ended December 31, 2016:

  Year Ended December 31, 2016 
        Change in     
  Trading  Realized  Unrealized  Net Income 
  Commissions  Gain/(Loss)  Gain/(Loss)  (Loss) 
                 
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC  (8,385)  (85,177)  (263,109)  (356,671)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC  (367,710)  539,213   (525,101)  (353,598)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC  (65,781)  232,189   23,963   190,371 
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC  (700,058)  4,144,776   (1,535,573)  1,909,145 
Galaxy Plus Fund - FORT Global Managed Futures Feeder Fund (510) LLC  (184,486)  (906,497)  (385,352)  (1,476,335)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC        321,705   321,705 
Galaxy Plus Fund - QIM Feeder Fund (526) LLC  (340,988)  4,675,449   333,203   4,667,664 
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC  (382,100)  (113,301)  (7,765)  (503,166)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC  (126,009)  (1,711,068)  235,515   (1,601,562)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC  (27,048)  2,328,567   134,141   2,435,659 
Total $(2,202,565) $9,104,151  $(1,668,373) $5,233,212 

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The Trust’s investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table:

RedemptionsRedemptionsLiquidity
Notice PeriodPermittedRestrictions
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNone
Galaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC24 hoursWeeklyNone
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC24 hoursWeeklyNone
Galaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursWeeklyNone
Galaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursWeeklyNone
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC24 hoursWeeklyNone

6.5. 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 Equinox Frontier Balanced Fund Class 1a1AP Units and Equinox Frontier Balanced Fund Class 2a Units, aggregated, and each of the Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Diversified Fund, and Equinox 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 nominal assets of such Series allocated to Trading Companies, calculated on a daily basis. 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 seriesSeries allocated to trading advisorsTrading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the trading advisorsTrading 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 advisorsTrading Advisors and any reference programs, is referred to herein as the “nominal assets” of the series.Series. The annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund Class 1, Class 2 and Class 3, 1.0% for the Equinox Frontier Balanced Fund Class 1a1AP, Class 2a and Class 2a,3a, 2.0% for the Equinox Frontier Winton Fund, Equinox Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 2a3a and Equinox Frontier Masters Fund, 0.75% for Equinox Frontier Diversified Fund, 2.5% for the Equinox Frontier Heritage Fund and Equinox Frontier Select Fund, and 3.5% for the Equinox Frontier Long/Short Commodity Fund Class 1, Class 2 and Class 2.3. 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 seriesSeries by the Managing Owner. As of the date of this Form 10-K, the trading advisorTrading Advisor for a seriesSeries that has invested in a swap has not received any management fees directly from the seriesSeries for such swap, and instead the relevant trading advisorTrading Advisor receives compensation via the fees embedded in the swap.

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

Trading Fees—In connection with each Series’ trading activities, offrom January 1, 2016 through October 23, 2016, the Trust, the Equinox Frontier Long/Short Commodity Fund (Classes 1, 2 and 3), Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund payspaid to the Managing Owner a trading fee, or FCM Fee, of up to 0.75% per annum of such Series’ NAV, calculated daily. The Equinox Frontier Diversified Fund, Equinox

Frontier Long/Short Commodity Fund (Classes 1a and 2a) and Equinox Frontier Masters Funddaily; thereafter each of the Series pays to the Managing Owner a FCM Fee of up to 2.25% per annum of nominal assets allocated to the trading fee, oradvisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. From January 1, 2016 through April 28, 2016, the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund and Equinox Frontier Masters Fund paid to the Managing Owner a FCM Fee of up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily; thereafter each of such Series pays to the Managing Owner a FCM Fee of up to 2.25% of nominal 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 of the Trust 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 Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox 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 Equinox Frontier Balanced Fund and the Equinox Frontier Diversified Fund and 20% for the Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, Equinox Frontier Long/Short Commodity Fund and Equinox Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Service Fees—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% annually, which the Managing Owner pays to selling agents of the Trust.

As of December 31, 2014,2016, the Trust has a payable to the Managing Owner in the amounts of $6,665,328, $468,154, $203,086, $324,854,$0, $433,430, $63,275, $523,099, and $336,115$239,520 for incentive fees, management fees, interest, trading fees, and service fees, respectively. As of December 31, 2015, the Trust has a payable to the Managing Owner in the amounts of $382,136, $402,943, $162,121, $282,522 and $273,856 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of

For the year ended December 31, 2013,2016, the Trust has a payable topaid the Managing Owner in the amounts of $1,411,260, $605,219, $281,562, $361,397$2,980,696, $3,235,153, $3,586,271 and $405,034$3,613,634 for incentive fees, management fees, interest,service fees, and trading fees, respectively.

For the year ended December 31, 2015, the Trust paid the Managing Owner $5,723,374, $5,028,224, $4,309,654 and $3,452,315 for incentive fees, management fees, service fees, and trading fees, respectively.

For the year ended December 31, 2014, the Trust paid the Managing Owner $11,993,289, $5,857,792, $4,357,428 and $3,327,096 for incentive fees, management fees, service fees, and trading fees, respectively.

For the year ended December 31, 2013, the Trust paid the Managing Owner $2,300,285, $8,403,814, $7,118,910 and $5,588,902 for incentive fees, management fees, service fees, and trading fees, respectively.

For the year ended December 31, 2012, the Trust paid the Managing Owner $12,198,317, $12,850,471, $10,354,157 and $7,888,010 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.

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For the years ended December 31, 20142016, 2015 and 20132014 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $87, $28,202, and ($19,369) and ($18,328), 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 Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1a1AP, Class 2a and Class 2a3a only), 20% of the total interest allocated to each Series iswas paid to the Managing Owner. Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series.During the years ended December 31, 2014, 20132016, 2015 and 2012,2014, the Trust paid

$2,341,214, $5,133,860 $1,347,984, $2,237,965 and $7,373,409,$2,341,213, respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of operations.

The Managing Owner, under an amended contract, paid to The Bornhoft Group Corporation, an affiliate of the Trust, an annual payment of $1,100,000 for the first year of the contract and $600,000 for the second year of the contract, and $300,000 for the third and final year for investment and advisor services and 0.1% annually thereafter of the trading level with the Equinox Frontier Balanced Fund in lieu of a monthly service fee. The Managing Owner paid $268,281, $1,113,677 and 766,944, respectively under this agreement for the years ended December 31, 2014, 2013 and 2012, respectively. These amounts do not impact the Trust’s financial statements.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $1,040,000, $1,415,000$0, $955,000 and, 437,245,$1,040,000, respectively, for the years ended December 31, 2016, 2015 and 2014, 2013 and 2012, respectively. These amounts do not impact the Trust’s financial statements.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $1,136,465, $1,813,029$776,430, $623,715 and, $2,627,888,$1,136,465, respectively, for the years ended December 31, 2014, 20132016, 2015 and 2012. These amounts do not impact the Trust’s financial statements.2014.

Equinox Group Distributors LLC, an affiliate under common control of the Managing Owner, serves as wholesaler of the Trust by marketing to broker/dealer organizations.

During the year ended December 31, 2016 each Series changed its administrator from BNP Paribas to Gemini Hedge Fund Services, LLC. Gemini Hedge Fund Services, LLC is an affiliate of the Sponsor.

During the year ended December 31, 2016, each Series changed its transfer agency provider from Phoenix American Financial Services, Inc. to Gemini Fund Services, LLC. Gemini Fund Services, LLC is an affiliate of the Sponsor.

7.6. Financial Highlights

The following information presents the financial highlights of the Trust for the year ended December 31, 2014, 20132016, 2015 and 2012.2014. This data has been derived from the information presented in the consolidated financial statements.

 

 2016 2015 2014 
  2014 2013 2012        

Ratios to average net assets(1)

                

Net investment gain/(loss)(1)

   -9.32  -4.72  -6.41  -5.50%  -6.70%  -9.32%

Expenses before incentive fees (1)(4)

   5.17  5.18  5.32  4.48%  4.90%  5.17%

Expenses after incentive fees (1)(4)

   9.75  5.75  7.41  5.75%  7.10%  9.75%

Total return before incentive fees

   25.23  -7.08  -4.01

Total return after incentive fees

   20.65  -7.64  -6.09
            
Total return before incentive fees (2)  3.62%  0.60%  25.23%
Total return after incentive fees (2)  2.35%  -1.60%  20.65%

 

(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 5.6.
(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.

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.

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8.7. Derivative Instruments and Hedging Activities

The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of December 31, 20142016 and 20132015 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the years ended December 31, 2014, 20132016, 2015 and 2012,2014, the monthly average of futures contracts bought was approximately 28,999, 75,20031,405, 40,214, and 69,300,28,999, respectively and sold was approximately 31,157, 40,589, and 28,961 and 81,900, 68,200, respectively.

The following tables summarize the trading revenues for the years ended December 31, 2014, 20132016, 2015 and 20122014 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2016(1)

for the Year Ended December 31, 2014 (1)

Type of contract   
    
Metals $(6,470,215)
Currencies  (325,860)
Energies  (1,704,062)
Agriculturals  (1,356,271)
Interest rates  15,051,999 
Stock indices  (607,029)
     
Realized trading income/(loss)(1) $4,588,561 

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2016(2)

Type of contract   
    
Metals $2,214,634 
Currencies  (833,869)
Energies  2,892,066 
Agriculturals  419,663 
Interest rates  1,370,283 
Stock indices  748,403 
     
Change in unrealized trading income/(loss)(2) $6,811,181 

(1)In the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options.
(2)In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

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Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2015(1)

Type of contract   
    
Metals $2,815,290 
Currencies  20,181 
Energies  24,010,764 
Agriculturals  (1,076,371)
Interest rates  7,698,430 
Stock indices  1,249,470 
     
Realized trading income/(loss)(1) $34,717,764 

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2015(2)

Type of contract   
    
Metals $(2,022,111)
Currencies  (661,383)
Energies  (11,513,437)
Agriculturals  (220,936)
Interest rates  (5,067,720)
Stock indices  (500,317)
     
Change in unrealized trading income/(loss)(2) $(19,985,903)

(1)In the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options.
(2)In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

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Realized Trading Revenue from Futures, Forwards and Options
for the Year Ended December 31, 2014(1)

 

Type of contract   
    
Metals $(256,981)
Currencies  17,899,627 
Energies  3,916,742 
Agriculturals  1,567,689 
Interest rates  29,064,075 
Stock indices  4,024,271 
     
Realized trading income/(loss)(1) $56,215,423 

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

for the Year Ended December 31, 2014 (2)

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Year Ended December 31, 2014(2)

 

Type of contract   
    
Metals $(1,062,356)
Currencies  (3,251,824)
Energies  2,821,849 
Agriculturals  385,834 
Interest rates  4,804,024 
Stock indices  (5,536,926)
     
Change in unrealized trading income/(loss)(2) $(1,839,399)

 

(1)In the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2013 (1)

Type of contract

    

Metals

  $5,462,839  

Currencies

   (12,769,910

Energies

   (16,450,880

Agriculturals

   (2,150,189

Interest rates

   (31,078,862

Stock indices

   44,542,805  
  

 

 

 

Realized trading income/(loss) (1)

  $(12,444,197
  

 

 

 

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

for the Year Ended December 31, 2013 (2)

Type of contract

    

Metals

  $6,511,874  

Currencies

   3,826,678  

Energies

   (238,494

Agriculturals

   654,420  

Interest rates

   (3,278,656

Stock indices

   5,961,605  
  

 

 

 

Change in unrealized trading income/(loss) (2)

  $13,437,427  
  

 

 

 

(1)In the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (1)

Type of contract

    

Metals

  $(22,838,438

Currencies

   (2,494,663

Energies

   (27,005,365

Agriculturals

   3,256,857  

Interest rates

   35,056,534  

Stock indices

   9,237,257  
  

 

 

 

Realized trading income/(loss) (1)

  $(4,787,818
  

 

 

 

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

for the Year Ended December 31, 2012 (2)

Type of contract

    

Metals

  $1,556,325  

Currencies

   18,010,199  

Energies

   (3,566,647

Agriculturals

   (2,041,315

Interest rates

   2,248,451  

Stock indices

   1,423,795  
  

 

 

 

Change in unrealized trading income/(loss) (2)

  $17,630,808  
  

 

 

 

(1)In the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

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

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The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the consolidated statements of financial condition as of December 31, 20142016 and 2013:2015:

As of December 31, 2016       Net Amounts 
     Gross Amounts  Presented in the 
  Gross Amounts  offset in the  Statements of 
  of recognized  Statements of  Financial 
  Derivative Assets  Financial Condition  Condition 
             
Open Trade Equity/(Deficit) $2,998,612  $(852,405) $2,146,207 
Swap Contracts  40,189,178      40,189,178 

Offsetting of Derivative Assets and Liabilities

As of December 31, 2015       Net Amounts 
     Gross Amounts  Presented in the 
  Gross Amounts  offset in the  Statement of 
  of recognized  Statement of  Financial 
  Derivative Assets  Financial Condition  Condition 
             
Open Trade Equity/(Deficit) $2,101,541  $(6,450,411) $(4,348,870)
Options Purchased  526,288      526,288 
Options Written     (165,760)  (165,760)
Swap Contracts  40,136,065      40,136,065 

8.Offsetting of Derivative Assets and Liabilities

As of December 31, 2014

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

Open Trade Equity/(Deficit)

 $17,120,111   $(2,295,689 $14,824,422  

Options Purchased

  9,075,883    —      9,075,883  

Options Written

  —      (8,963,838  (8,963,838

Swap Contracts

  35,990,887    —      35,990,887  

Offsetting of Derivative Assets and Liabilities

As of December 31, 2013

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

Open Trade Equity/(Deficit)

 $16,274,437   $(599,787 $15,674,650  

Options Purchased

  3,033,870    —      3,033,870  

Options Written

  —      (1,222,522  (1,222,522

Swap Contracts

  21,879,883    (424,354  21,455,529  

8. Trading Activities and Related Risks

The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act 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.

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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.Company or Galaxy Plus entity. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in

contrast to U.S. exchanges, are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction, and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

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

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

9.9. Indemnifications and Guarantees

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. 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 UBS.UBS Securities 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 guaranteed the obligations of the trading companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

10.10. Subsequent Events

On November 26, 2014, the Trust’s portfolio management team approved an allocation change in an Emil Van Essen trading program thatDecember 5, 2016, Equinox Fund Management, LLC (“Equinox”), Frontier Fund Management LLC (the “New Managing Owner”), and Wakefield Advisors, LLC (“Wakefield”) entered into a Unit Purchase Agreement (the “Agreement”). Equinox was not fully implemented as intended. As a result, certain series who invested in Emil Van Essen were not allocated sufficient gains and certain other series who invested in Emil Van Essen suffered greater losses. In January 2015, the Managing Owner determined to make a paymentof the Trust and the Series. Pursuant to the affected investors withinAgreement, Equinox agreed to transfer to the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund and Equinox Frontier Long/Short Commodity Fund,New Managing Owner such amount of Equinox’s General Units (as defined in the aggregate amount of $1,247,752Trust Agreement) as the Managing Owner shall be required to reimburse the effecthold in its capacity as managing owner of the missed gain or higher lossTrust pursuant to the Trust Agreement, and redeem the remainder of Equinox’s General Units (the “Transaction”).

The Transaction was consummated on such investorsMarch 6, 2017, and upon consummation of the Transaction, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of operational control in respect of the Trust and each Series.

In connection with the foregoing, the Trust Agreement was amended to effect certain changes to replace Equinox as the Managing Owner and to reflect the New Managing Owner as the new managing owner. Also, the New Managing Owner has temporarily suspended the sale of Units (as defined in the series,Trust Agreement) while the Managing Owner engages with the Securities and such amountExchange Commission to have declared effective a post-effective amendment to the Series’ registration statements, as well as approval by the NFA. The Series will file Form 8-K to announce the resumption of the sale of Units, which the New Managing Owner expects will occur shortly.

The New Managing Owner is seeking to cause the suspension to be recordedlifted as promptly as practicable.

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

F-79

Report of Independent Registered Public Accounting Firm

To the Executive Committee and Equinox Frontier Funds,

as sole membermembers of the Frontier Trading Companies

We have audited the accompanying statements of financial condition, including the condensed schedules of investments, of the Frontier Trading Company I, LLC, Frontier Trading Company II, LLC, Frontier Trading Company V, LLC, Frontier Trading Company VII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC, Frontier Trading Company XXIII, LLC, Frontier Trading Company XXIX, LLC, Frontier Trading Company XXXIV, LLC, Frontier Trading Company XXXV, LLC, Frontier Trading Company XXXVII, LLC, Frontier Trading Company XXXVIII, LLC, and Frontier Trading Company XXXIX, LLC (collectively, the Trading Companies) as of December 31, 20142016 and 2013,2015, and the related statements of operations, changes in members’ equity, and cash flows for each of the three years in the period ended December 31, 2014.periods then ended. These financial statements are the responsibility of the Trading Companies’trading companies’ management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the auditaudits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trading Companiestrading companies are not required to have, nor were we engaged to perform an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trading Companies’trading companies’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Frontier Trading Company I, LLC, Frontier Trading Company II, LLC, Frontier Trading Company V, LLC, Frontier Trading Company VII, LLC, Frontier Trading Company IX, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, LLC, Frontier Trading Company XVII, LLC, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC, Frontier Trading Company XXIII, LLC, Frontier Trading Company XXIX, LLC, Frontier Trading Company XXXIV, LLC, Frontier Trading Company XXXV, LLC, Frontier Trading Company XXXVII, LLC, Frontier Trading Company XXXVIII, LLC, and Frontier Trading Company XXXIX, LLC as of December 31, 20142016 and 2013,2015, and the results of their operations and their cash flows for each of the three years in the period then ended, December 31, 2014, in conformity with U.S. generally accepted accounting principles.

As discussed in Note 9 to the financial statements, on March 6, 2017 a unit purchase agreement between Frontier Fund Management LLC (New Managing Owner) and Equinox Fund Management (Equinox) was consummated whereby Equinox’s general units were transferred to the New Managing Owner. Upon consummation, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox.

/s/ McGladreyRSM US LLP

Denver, Colorado

March 31, 20152017

F-80

The Trading CompaniesTable of Equinox Frontier FundsContents

Statements of Financial Condition

December 31, 2014 and 2013

The Trading Companies of the Frontier Fund
Statements of Financial Condition
December 31, 2016 and 2015

 

 Frontier Trading Frontier Trading Frontier Trading 
 Company I, LLC Company II, LLC Company VII, LLC (1) 
 Frontier Trading
Company I, LLC
 Frontier Trading
Company II, LLC
 Frontier Trading
Company VII, LLC
  12/31/2016 12/31/2015    12/31/2016 12/31/2015     12/31/2016 12/31/2015 
 12/31/2014 12/31/2013 12/31/2014 12/31/2013 12/31/2014 12/31/2013              
ASSETS                              
                        

Receivable from futures commission merchants

 $22,731,131   $16,469,042   $10,851,264   $13,212,581   $6,694,318   $7,268,432   $6,647,098  $22,187,113  $17,996,697  $12,744,570  $  $14,330,819 

Open trade equity, at fair value

  3,215,205    3,162,843    3,473,284    4,321,293    3,469,339    0    237,661   755,452   1,222,524   599,579       

Options purchased, at fair value

  288,413    165,983    —      —      8,787,472    98,740       371,758            154,380 

Interest receivable

  —      —      421    155    —      —               217       
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Assets

 $26,234,749   $19,797,868   $14,324,969   $17,534,029   $18,951,129   $7,367,172   $6,884,759  $23,314,323  $19,219,221  $13,344,366  $  $14,485,199 
 

 

  

 

  

 

  

 

  

 

  

 

                         
LIABILITIES & MEMBERS’ EQUITY                              
                        

LIABILITIES

                              

Payable to futures commission merchants

 $—     $—     $—     $—     $—     $—    

Interest payable

  2,027    2,361    0    —      170    164   $  $1,816  $  $  $  $238 
Risk analysis fee payable  1,155      12,215          

Options written, at fair value

  253,017    183,932    —      —      8,710,817    172,650       165,760             

Open trade deficit, at fair value

  —      —      —      —      0    191,069                   6,482,499 
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities

  255,044    186,293    0    —      8,710,987    363,883    1,155   167,576   12,215         6,482,737 
 

 

  

 

  

 

  

 

  

 

  

 

 

MEMBERS’ EQUITY (Net Asset Value)

  25,979,705    19,611,575    14,324,969    17,534,029    10,240,142    7,003,289    6,883,604   23,146,747   19,207,006   13,344,366      8,002,462 
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities and Members’ Equity

 $26,234,749   $19,797,868   $14,324,969   $17,534,029   $18,951,129   $7,367,172   $6,884,759  $23,314,323  $19,219,221  $13,344,366  $  $14,485,199 
 

 

  

 

  

 

  

 

  

 

  

 

                         
 Frontier Trading Frontier Trading Frontier Trading 
 Frontier Trading
Company XIV, LLC
 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XVIII, LLC
  Company XIV, LLC (2) Company XV, LLC Company XXIII, LLC (3) 
 12/31/2014 12/31/2013 12/31/2014 12/31/2013 12/31/2014 12/31/2013  12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 
             
ASSETS                              
                        

Receivable from futures commission merchants

 $3,682,543   $2,822,890    13,741,985   $13,257,812   $—     $568,376   $  $3,409,216  $8,207,387  $13,281,153  $  $3,093,791 

Open trade equity, at fair value

  1,024,868    706,184    1,658,917    4,087,038    —      —         34,484   642,494   462,340       

Options Purchased, at fair value

  —      —      —      2,769,147    —      —    

Interest receivable

  —      —      68    657    —      —         211             
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Assets

 $4,707,411   $3,529,074   $15,400,970   $20,114,654   $—     $568,376   $  $3,443,911  $8,849,881  $13,743,493  $  $3,093,791 
 

 

  

 

  

 

  

 

  

 

  

 

                         
LIABILITIES & MEMBERS’ EQUITY                              
                        

LIABILITIES

                              

Payable to futures commission merchants

 $—     $—     $—     $—     $—     $—    

Interest payable

  389    1,377    0    —      —      1   $  $  $304  $156  $  $ 

Options written, at fair value

  —      —      —      865,940    —      —    
Risk analysis fee payable        2,303          

Open trade deficit, at fair value

  —      —      —      —      —      —                     27,706 
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities

  389    1,377    0    865,940    —      1          2,607   156      27,706 
 

 

  

 

  

 

  

 

  

 

  

 

 

MEMBERS’ EQUITY (Net Asset Value)

  4,707,022    3,527,697    15,400,970    19,248,714    0    568,375       3,443,911   8,847,274   13,743,337      3,066,085 
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities and Members’ Equity

 $4,707,411   $3,529,074   $15,400,970   $20,114,654   $0   $568,376   $  $3,443,911  $8,849,881  $13,743,493  $  $3,093,791 
 

 

  

 

  

 

  

 

  

 

  

 

                         
 Frontier Trading Frontier Trading Frontier Trading 
 Company XXIX, LLC (4) Company XXXIV LLC Company XXXV LLC 
 12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 
             
ASSETS                        
                        
Receivable from futures commission merchants $  $1,014,896  $  $  $  $ 
Open trade equity, at fair value     4,750             
Swap contracts, at fair value        18,939,450   19,157,522   8,637,847   8,685,850 
Total Assets $  $1,019,646  $18,939,450  $19,157,522  $8,637,847  $8,685,850 
                        
LIABILITIES & MEMBERS’ EQUITY                        
                        
LIABILITIES                        
Advance on unrealized swap appreciations $  $  $4,926,555  $  $2,500,000  $ 
Total Liabilities        4,926,555      2,500,000    
MEMBERS’ EQUITY (Net Asset Value)     1,019,646   14,012,895   19,157,522   6,137,847   8,685,850 
Total Liabilities and Members’ Equity $  $1,019,646  $18,939,450  $19,157,522  $8,637,847  $8,685,850 
                        
 Frontier Trading Frontier Trading Frontier Trading 
 Company XXXVII LLC Company XXXVIII LLC Company XXXIX LLC 
 12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 
             
ASSETS             
                        
Receivable from futures commission merchants $  $  $  $2,670,015  $  $ 
Open trade equity, at fair value           304,878       
Investments in private investment companies, at fair value        11,184,103          
Swap contracts, at fair value  4,220,468   4,332,427         8,391,414   7,960,269 
Total Assets $4,220,468  $4,332,427  $11,184,103  $2,974,893  $8,391,414  $7,960,269 
                        
LIABILITIES & MEMBERS’ EQUITY                        
                        
LIABILITIES                        
Advance on unrealized swap appreciations $115,000  $  $  $  $1,900,000  $ 
Interest payable           198       
Total Liabilities  115,000         198   1,900,000    
MEMBERS’ EQUITY (Net Asset Value)  4,105,468   4,332,427   11,184,103   2,974,695   6,491,414   7,960,269 
Total Liabilities and Members’ Equity $4,220,468  $4,332,427  $11,184,103  $2,974,893  $8,391,414  $7,960,269 

  Frontier Trading
Company XXIII, LLC (1)
  Frontier Trading
Company XXIX, LLC (6)
  Frontier Trading
Company XXXIV LLC (3)
 
  12/31/2014  12/31/2013  12/31/2014  12/31/2013  12/31/2014  12/31/2013 
ASSETS      

Receivable from futures commission merchants

 $2,631,364   $4,183,822   $1,946,362   $—     $687,693   $—    

Open trade equity, at fair value

  893,605    67,845    —      —      —      —    

Swap contracts, at fair value

  —      —      —      —      18,246,955    10,126,168  

Interest receivable

  —      —      23    —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Assets

 $3,524,969   $4,251,667   $1,946,385   $—     $18,934,648   $10,126,168  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
LIABILITIES & MEMBERS’ EQUITY      

LIABILITIES

      

Payable to futures commission merchants

 $—     $—     $—     $—     $—     $—    

Interest payable

  —      —      0    —      601    —    

Options written, at fair value

  —      —      —      —      —      —    

Open trade deficit, at fair value

  —      —      279,840    —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Liabilities

  —      —      279,840    —      601    —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

MEMBERS’ EQUITY (Net Asset Value)

  3,524,969    4,251,667    1,666,545    —      18,934,047    10,126,168  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Liabilities and Members’ Equity

 $3,524,969   $4,251,667   $1,946,385   $—     $18,934,648   $10,126,168  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company XXXV LLC (3)
  Frontier Trading
Company XXXVII LLC (5)
  Frontier Trading
Company XXXVIII LLC (4)
 
  12/31/2014  12/31/2013  12/31/2014  12/31/2013  12/31/2014  12/31/2013 
ASSETS      

Receivable from futures commission merchants

 $—     $—     $—     $—     $2,944,692   $3,359,991  

Open trade equity, at fair value

  —      —      —      —      1,369,043    3,520,515  

Swap contracts, at fair value

  6,570,409    3,437,632    3,633,060    2,456,545    —      —    

Interest receivable

  —      —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Assets

 $6,570,409   $3,437,632   $3,633,060   $2,456,545   $4,313,735   $6,880,506  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
LIABILITIES & MEMBERS’ EQUITY      

LIABILITIES

      

Payable to futures commission merchants

 $—     $—     $—     $—     $—     $—    

Interest payable

  —      —      —      —      52    227  

Options written, at fair value

  —      —      —      —      —      —    

Open trade deficit, at fair value

  —      —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Liabilities

  —      —      —      —      52    227  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

MEMBERS’ EQUITY (Net Asset Value)

  6,570,409    3,437,632    3,633,060    2,456,545    4,313,683    6,880,279  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Liabilities and Members’ Equity

 $6,570,409   $3,437,632   $3,633,060   $2,456,545   $4,313,735   $6,880,506  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company XXXIX LLC (2)
     
  12/31/2014  12/31/2013         
ASSETS      

Receivable from futures commission merchants

 $—     $—        

Open trade equity, at fair value

  —      —        

Swap contracts, at fair value

  7,543,966    5,435,184      

Interest receivable

  —      —        
 

 

 

  

 

 

     

Total Assets

 $7,543,966   $5,435,184      
 

 

 

  

 

 

     
LIABILITIES & MEMBERS’ EQUITY      

LIABILITIES

      

Payable to futures commission merchants

 $3,500   $—        

Interest payable

  —      —        

Other liabilities

  —      —        

Open trade deficit, at fair value

  —      —        
 

 

 

  

 

 

     

Total Liabilities

 $3,500    —        
 

 

 

  

 

 

     

MEMBERS’ EQUITY (Net Asset Value)

  7,540,466    5,435,184      
 

 

 

  

 

 

     

Total Liabilities and Members’ Equity

 $7,543,966   $5,435,184      
 

 

 

  

 

 

     

 

(1)Trading Company XXIII commencedVII ceased trading operations in January 2012.April 28, 2016
(2)Trading Company XXXIX commencedXIV ceased trading operations in March 2013.April 21, 2016
(3)Trading Company XXXIV and XXXV commencedXXIII ceased trading operations in July 2013.22, 2016
(4)Trading Company XXXVII commencedXXIX ceased trading operations in August 2013.January 29, 2016
(5)Trading Company XXXVIII commenced trading operations in November 2013.
(6)Trading Company XXIX commenced trading operations in November 2014

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

F-81

The Trading CompaniesTable of the Equinox Frontier FundsContents

Condensed Schedule of Investments

December 31, 2014

The Trading Companies of the Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2016

 

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $(312,320  -1.20 $(391,586  -2.73 $(14,354  -0.14 $(443,923  -9.43

Various base metals futures contracts (U.S.)

  (48,075  -0.19  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  560,666    2.16  11,440    0.08  42,799    0.42  15,844    0.34

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  10,206    0.04  (379,300  -2.65  (22,534,214  -220.06  (972,835  -20.67

Various interest rates futures contracts (Canada)

  79,701    0.31  20,360    0.14  —      0.00  8,018    0.17

Various interest rates futures contracts (Europe)

  676,493    2.60  1,587,953    11.09  56,709    0.55  290,958    6.18

Various interest rates futures contracts (Far East)

  208,691    0.80  159,563    1.11  —      0.00  37,736    0.80

Various interest rates futures contracts (Oceanic)

  299,804    1.15  94,126    0.66  —      0.00  30,873    0.66

Various interest rates futures contracts (U.S.)

  289,361    1.11  (166,778  -1.16  (142,799  -1.39  26,385    0.56

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  (60,655  -0.23  —      0.00  4,582    0.04  1,115    0.02

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  2,809    0.01  23,018    0.16  —      0.00  3,085    0.07

Various soft futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  (89,038  -0.34  (122,345  -0.85  (2,042,234  -19.94  (73,935  -1.57

Various stock index futures contracts (Canada)

  33,439    0.13  11,810    0.08  —      0.00  18,623    0.40

Various stock index futures contracts (Europe)

  (44,720  -0.17  278,820    1.95  —      0.00  34,226    0.73

Various stock index futures contracts (Far East)

  14,786    0.06  (82,139  -0.57  —      0.00  (11,078  -0.24

Various stock index futures contracts (Oceanic)

  35,072    0.13  10,846    0.08  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  370,308    1.43  646,554    4.51  8,732    0.09  112,478    2.39
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $2,026,528    7.80 $1,702,342    11.90 $(24,620,779  -240.43 $(922,430  -19.59
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

  251,789    0.97  302,951    2.11 $25,336    0.25 $305,976    6.50

Various base metals futures contracts (U.S.)

  50,963    0.20  20,375    0.14  10,300    0.10  9,325    0.20

Various currency futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  360,124    1.39  893,008    6.23  158,136    1.54  34,431    0.73

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  356,351    1.37  891,223    6.22  2,818,105    27.52  332,080    7.05

Brent Crude Settling 3/1/2015 (number of contracts: -661)

  —      0.00  —      0.00  1,956,120    19.10  —      0.00

Crude Oil Settling 12/1/2015 (number of contracts:-714)

  —      0.00  —      0.00  10,987,452    107.30  —      0.00

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

Heat Oil Settling 5/28/2015 (number of contracts:-372)

  —      0.00  —      0.00  1,015,720    9.92  —      0.00

Brent Crude Oil Last Day Settling 2/12/2015 (number of contracts:-229)

  —      0.00  —      0.00  2,871,660    28.04  —      0.00

Brent Crude Settling 7/1/2015 (number of contracts: -74)

  —      0.00  —      0.00  590,890    5.77  —      0.00

NYH RBOB Unleaded Gas Settling 12/30/2015 (number of contracts:-388)

  —      0.00  —      0.00  4,267,957    41.68  —      0.00

NYH RBOB Unleaded Gas Settling 7/30/2015 (number of contracts:-130)

  —      0.00  —      0.00  2,097,900    20.49  —      0.00

Gas Oil Settling 3/31/2015 (number of contracts: -54)

  —      0.00  —      0.00  —      0.00  394,875    8.39

Brent Crude Settling 2/1/2015 (number of contracts: -77)

  —      0.00  —      0.00  —      0.00  655,530    13.93

Crude Oil Settling 2/1/2015 (number of contracts: -54)

  —      0.00  —      0.00  —      0.00  452,980    9.62

Various interest rates futures contracts (Canada)

  12,112    0.05  215    0.00  —      0.00  —      0.00

Various interest rates futures contracts (Europe)

  (14,958  -0.06  (342  0.00  (75,159  -0.73  (13,206  -0.28

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  (28,461  -0.28  —      0.00

Various interest rates futures contracts (Oceanic)

  —      0.00  (4,773  -0.03  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  (128  0.00  —      0.00  (548,940  -5.36  1,353    0.03

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  7,685    0.03  92,540    0.65  10,480    0.10  27,230    0.58

Various soft futures contracts (Canada)

  —      0.00  (194  0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  92,535    0.36  5,215    0.04  —      0.00  6,020    0.13

Various soft futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  78,930    0.30  186,922    1.30  851,899    8.32  72,236    1.53

Coffee Settling 5/29/2015 (number of contracts:-370)

  —      0.00  —      0.00  1,080,724    10.55  —      0.00

Various stock index futures contracts (Africa)

  —      0.00  (4,710  -0.03  —      0.00  —      0.00

Various stock index futures contracts (Europe)

  (24,501  -0.09  —      0.00  —      0.00  (7,126  -0.15

Various stock index futures contracts (Far East)

  (28,299  -0.11  34,304    0.24  —      0.00  —      0.00

Various stock index futures contracts (Mexico)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  (1,348  -0.03

Various stock index futures contracts (U.S.)

  2,837    0.01  (89,920  -0.63  —      0.00  (6,875  -0.15
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $1,145,440    4.42 $2,326,814    16.24 $28,090,117    274.31 $2,263,481    48.08
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

        

Various currency forwards contracts (NA)

 $43,237    0.17 $(555,872  -3.88 $—      0.00 $(316,183  -6.72
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $43,237    0.17 $(555,872  -3.88 $—      0.00 $(316,183  -6.72
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $3,215,205    12.39 $3,473,284    24.26 $3,469,339    33.88 $1,024,868    21.77
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

OPTIONS PURCHASED *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $474,932    4.64 $—      0.00

Crude Oil Settling 1/16/2015 (number of contracts: 1438)

  —      0.00  —      0.00  549,890    5.37  —      0.00

Crude Oil Settling 5/18/2015 (number of contracts: 1044)

 ��—      0.00  —      0.00  751,680    7.34  —      0.00

Crude Oil Settling 6/19/2015 (number of contracts: 2034)

  —      0.00  —      0.00  668,760    6.53  —      0.00

Crude Oil Settling 3/19/2015 (number of contracts: 1044)

  —      0.00  —      0.00  783,000    7.65  —      0.00

Crude Oil Settling 2/19/2015 (number of contracts: 1438)

  —      0.00  —      0.00  732,870    7.16  —      0.00

Crude Oil Settling 9/21/2015 (number of contracts: 2034)

  —      0.00  —      0.00  777,380    7.59  —      0.00

Crude Oil Settling 10/19/2015 (number of contracts: 2034)

  —      0.00  —      0.00  774,350    7.56  —      0.00

Crude Oil Settling 11/19/2015 (number of contracts: 2034)

  —      0.00  —      0.00  670,780    6.55  —      0.00

Crude Oil Settling 8/19/2015 (number of contracts: 2034)

  —      0.00  —      0.00  730,140    7.13  —      0.00

Crude Oil Settling 4/20/2015 (number of contracts: 1044)

  —      0.00  —      0.00  798,660    7.80  —      0.00

Crude Oil Settling 7/20/2015 (number of contracts: 2034)

  —      0.00  —      0.00  695,230    6.79  —      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  379,800    3.71  —      0.00

Various stock index futures contracts (U.S.)

  288,413    1.11  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $288,413    1.11 $—      0.00 $8,787,472    85.82 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $(8,234,007  -80.41 $—      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  (476,810  -4.66  —      0.00

Various stock index futures contracts (U.S.)

  (253,017  -0.97  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $(253,017  -0.97 $—      0.00 $(8,710,817  -85.07 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1)

        

Frontier XXXIV Balanced select swap (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Frontier Brevan Howard swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Frontier XXXV Diversified select swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Frontier XXXVII L/S select swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
  Company I LLC  Company II LLC  Company XV LLC  Company XXXVIII LLC 
     % of Total Capital     % of Total Capital     % of Total Capital     % of Total Capital 
Description Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe) $11,675   0.17% $   0.00% $73,909   0.84% $   0.00%
Various base metals futures contracts (U.S.)     0.00%  (88,088)  -0.46%  56,169   0.63%     0.00%
Various currency futures contracts (Far East)     0.00%     0.00%  1,360   0.02%     0.00%
Various currency futures contracts (Oceanic)     0.00%     0.00%  (41,946)  -0.47%     0.00%
Various currency futures contracts (U.S.)  39,959   0.58%     0.00%  10,283   0.12%     0.00%
Various energy futures contracts (Europe)     0.00%     0.00%  4,150   0.05%     0.00%
Various energy futures contracts (Far East)  (10,780)  -0.16%     0.00%  8,788   0.10%     0.00%
Various energy futures contracts (U.S.)     0.00%  65,612   0.34%  163,930   1.85%     0.00%
Various interest rates futures contracts (Canada)     0.00%     0.00%  (503)  -0.01%     0.00%
Various interest rates futures contracts (Europe)     0.00%  88,638   0.46%  123,279   1.39%     0.00%
Various interest rates futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various interest rates futures contracts (Oceanic)     0.00%  (341)  0.00%  444   0.01%     0.00%
Various interest rates futures contracts (U.S.)     0.00%  7,094   0.04%  18,191   0.21%     0.00%
Various precious metal futures contracts (Far East)     0.00%     0.00%  1,950   0.02%     0.00%
Various precious metal futures contracts (U.S.)     0.00%  (3,860)  -0.02%     0.00%     0.00%
Various soft futures contracts (Canada)     0.00%  (2,131)  -0.01%     0.00%     0.00%
Various soft futures contracts (Europe)     0.00%     0.00%  1,956   0.02%     0.00%
Various soft futures contracts (Far East)     0.00%     0.00%  111   0.00%     0.00%
Various soft futures contracts (Oceanic)     0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (U.S.)  (54,314)  -0.79%  (84,938)  -0.44%  (39,001)  -0.44%     0.00%
Various stock index futures contracts (Canada)     0.00%  (969)  -0.01%  1,894   0.02%     0.00%
Various stock index futures contracts (Europe)  3,375   0.05%  242,128   1.26%  56,849   0.64%     0.00%
Various stock index futures contracts (Far East)  25,750   0.37%  305,316   1.59%  31,540   0.36%     0.00%
Various stock index futures contracts (Oceanic)     0.00%  57,116   0.30%  4,760   0.05%     0.00%
Various stock index futures contracts (U.S.)  (29,115)  -0.42%  (201,831)  -1.05%  (50,565)  -0.57%     0.00%
Total Long Futures Contracts $(13,450)  -0.20% $383,746   2.00% $427,548   4.83% $   0.00%
SHORT FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe)  81,563   1.18%     0.00%     0.00%     0.00%
Various base metals futures contracts (U.S.)     0.00%  (252,279)  -1.31%  (29,896)  -0.34%     0.00%
Various currency futures contracts (Canada)     0.00%  11,540   0.06%  195   0.00%     0.00%
Various currency futures contracts (Europe)     0.00%  272,806   1.42%  85,470   0.97%     0.00%
Various currency futures contracts (Far East)     0.00%  168,888   0.88%  19,041   0.22%     0.00%
Various currency futures contracts (Oceanic)     0.00%  2,980   0.02%  4,623   0.05%     0.00%
Various currency futures contracts (U.S.)     0.00%  9,590   0.05%  (8,460)  -0.10%     0.01%
Various energy futures contracts (Europe)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (U.S.)     0.00%  (82,280)  -0.43%     0.00%     0.00%
Various interest rates futures contracts (Canada)  6,253   0.09%  (1,012)  -0.01%  155   0.00%     0.00%
Various interest rates futures contracts (Europe)     0.00%  (8,794)  -0.05%  (8,823)  -0.10%     0.01%
Various interest rates futures contracts (Far East)  686   0.01%  (11,060)  -0.06%  (6,019)  -0.07%     0.00%
Various interest rates futures contracts (Oceanic)  26,568   0.39%  (2,831)  -0.01%  (1,211)  -0.01%     0.00%
Various interest rates futures contracts (U.S.)     0.00%  127,078   0.66%  45,201   0.52%     0.00%
Various precious metal futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various precious metal futures contracts (U.S.)  4,790   0.07%  174,345   0.91%  29,150   0.34%     0.00%
Various precious metal futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various soft futures contract (Europe)     0.00%     0.00%  14,154   0.16%     0.00%
Various soft futures contracts (Canada)     0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (Europe)  53,851   0.78%  44,780   0.23%     0.00%     0.00%
Various soft futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (Singapore)     0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (U.S.)  125,946   1.83%  291,378   1.52%  46,657   0.53%     0.00%
Various stock index futures contracts (Africa)  2,440   0.04%  2,019   0.01%     0.00%     0.00%
Various stock index futures contracts (Canada)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (Europe)     0.00%     0.00%  (2,802)  -0.03%     0.00%
Various stock index futures contracts (Far East)     0.00%     0.00%  (2,456)  -0.03%     0.00%
Various stock index futures contracts (Mexico)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (Oceanic)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (U.S.)     0.00%  (7,228)  -0.04%  23,255   0.26%     0.00%
Various stock index futures contracts (Warsaw)     0.00%     0.00%     0.00%     0.00%
Total Short Futures Contracts $302,097   4.39% $739,920   3.85% $208,234   2.35% $   0.00%
CURRENCY FORWARDS *                                
Various currency forwards contracts (NA) $(50,986)  -0.74% $98,858   0.51% $6,712   0.08% $   0.00%
Total Currency Forwards $(50,986)  -0.74% $98,858   0.51% $6,712   0.08% $   0.00%
Total Open Trade Equity (Deficit) $237,661   3.45% $1,222,524   6.36% $642,494   7.26% $   0.00%
PRIVATE INVESTMENT COMPANIES                                
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC     0.00%     0.00%     0.00%  11,184,103   100.00%
Total Private Investment Companies $   0.00% $   0.00% $   0.00% $11,184,103   100.00%
                                 
  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXXIV LLC  Company XXXV LLC  Company XXXVII LLC  Company XXXIX LLC 
     % of Total Capital     % of Total Capital     % of Total Capital     % of Total Capital 
  Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
SWAPS                                
Frontier XXXIV Balanced select swap (U.S.) $18,939,450   135.16% $   0.00% $   0.00% $   0.00%
Frontier XXXVII L/S select swap (U.S.)     0.00%      0.00%  4,220,468   102.80%     0.00%
Frontier XXXVII Heritage select swap (U.S.)     0.00%      0.00%      0.00%  8,391,414   129.27%
Frontier XXXV Diversified select swap (U.S.)     0.00%  8,637,847   140.73%     0.00%     0.00%
  $18,939,450   135.16% $8,637,847   140.73% $4,220,468   102.80% $8,391,414   129.27%

 

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

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

The Trading Companies of the Equinox Frontier Funds (1)

Condensed Schedule of Investments

December 31, 2014

  Frontier Trading
Company XV LLC
  Frontier Trading
Company XXIII LLC (2)
  Frontier Trading
Company XXIX LLC
  Frontier Trading
Company XXXIV LLC (3)
 

Description

 Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $(3,049,702  -19.80 $—      0.00 $—      0.00 $—      0.00

Various base metals futures contracts (U.S.)

  (13,775  -0.09  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  (15,506  -0.10  (86,913  -2.47  (167,835  -10.07  —      0.00

Various energy futures contracts (Europe)

  (12,920  -0.08  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  (2,738  -0.16  —      0.00

Various energy futures contracts (U.S.)

  1,561    0.01  (65,774  -1.87  (369,788  -22.19  —      0.00

Various interest rates futures contracts (Canada)

  40,078    0.26  35,722    1.01  473    0.03  —      0.00

Various interest rates futures contracts (Europe)

  427,782    2.78  373,410    10.59  37,578    2.25  —      0.00

Long GILT Bond Settling 3/31/2015 (number of contracts: 63)

  —      0.00  182,329    5.17  —      0.00  —      0.00

Various interest rates futures contracts (Far East)

  15,988    0.10  156,631    4.44  7,347    0.44  —      0.00

Various interest rates futures contracts (Oceanic)

  56,954    0.37  70,277    1.99  6,318    0.38  —      0.00

Various interest rates futures contracts (U.S.)

  159,627    1.04  94,395    2.68  18,578    1.11  —      0.00

Various precious metal futures contracts (Far East)

  2,521    0.02  —      0.00  3,673    0.22  —      0.00

Various precious metal futures contracts (U.S.)

  (2,840  -0.02  —      0.00  (55,655  -3.34  —      0.00

Various soft futures contracts (Canada)

  (282  0.00  —      0.00  (1,077  -0.06  —      0.00

Various soft futures contracts (Europe)

  2,476    0.02  —      0.00  2,453    0.15  —      0.00

Various soft futures contracts (Oceanic)

  (864  -0.01  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  (19,677  -0.13  —      0.00  (115,022  -6.90  —      0.00

Various stock index futures contracts (Canada)

  (706  0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Europe)

  157,864    1.03  21,484    0.61  17,720    1.06  —      0.00

Various stock index futures contracts (Far East)

  261    0.00  (9,451  -0.27  13,774    0.83  —      0.00

Various stock index futures contracts (Oceanic)

  (1,389  -0.01  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  161,383    1.05  58,582    1.66  5,253    0.32  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $(2,091,166  -13.56 $830,692    23.54 $(598,948  -35.93 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

  2,859,059    18.56  —      0.00 $—      0.00 $—      0.00

Various base metals futures contracts (U.S.)

  —      0.00  2,113    0.06  8,525    0.51  —      0.00

Various currency futures contracts (Far East)

  (3,383  -0.02  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  45,753    0.30  204,629    5.81  177,804    10.67  —      0.00

Various energy futures contracts (Europe)

  49,517    0.32  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  5,389    0.32  —      0.00

Various energy futures contracts (U.S.)

  679,539    4.41  42,725    1.21  44,955    2.70  —      0.00

Various interest rates futures contracts (Canada)

  11    0.00  —      0.00  —      0.00  —      0.00

  Frontier Trading
Company XV LLC
  Frontier Trading
Company XXIII LLC (2)
  Frontier Trading
Company XXIX LLC
  Frontier Trading
Company XXXIV LLC (3)
 

Description

 Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
 

Various interest rates futures contracts (Europe)

  (318  0.00  (247,934  -7.03  —      0.00  —      0.00

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  —      0.00  (1,673  -0.05  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  (15,224  -0.10  1,900    0.05  (8,728  -0.52  —      0.00

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  (1,052  -0.06  —      0.00

Various precious metal futures contracts (U.S.)

  12,770    0.08  69,055    1.96  3,100    0.19  —      0.00

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  2,800    0.02  —      0.00  10,993    0.66  —      0.00

Various soft futures contracts (Far East)

  —      0.00  —      0.00  (4,709  -0.28  —      0.00

Various soft futures contracts (U.S.)

  276,836    1.80  —      0.00  89,356    5.36  —      0.00

Various stock index futures contracts (Africa)

  (2,270  -0.01  —      0.00  (1,911  -0.11  —      0.00

Various stock index futures contracts (Europe)

  —      0.00  472    0.01  (6,684  -0.40  —      0.00

Various stock index futures contracts (Far East)

  —      0.00  —      0.00  129    0.01  —      0.00

Various stock index futures contracts (Mexico)

  (1,093  -0.01  —      0.00  (3,286  -0.20  —      0.00

Various stock index futures contracts (Oceanic)

  —      0.00  (8,374  -0.24  (143  -0.01  —      0.00

Various stock index futures contracts (U.S.)

  (50,353  -0.33  —      0.00  5,370    0.32  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $3,853,644    25.02 $62,913    1.78 $319,108    19.16 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

        

Various currency forwards contracts (NA)

 $(103,561  -0.67 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $(103,561  -0.67 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $1,658,917    10.79 $893,605    25.32 $(279,840  -16.77 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (3)

        

Frontier XXXIV Balanced select swap (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $18,246,955    96.37

Frontier Brevan Howard swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Frontier XXXV Diversified select swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Frontier XXXVII L/S select swap (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $—      0.00 $—      0.00 $—      0.00 $18,246,955    96.37
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)Formerly The Frontier Fund.
(2)Trading Company XXIII commenced trading operations in January 2012
(3)Trading Company XXXIV and XXXV commenced trading operations in July 2013.

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

The Trading Companies of the Equinox Frontier Funds (1)

Condensed Schedule of Investments

December 31, 2014

  Frontier Trading
Company XXXV LLC
  Frontier Trading
Company XXXVII LLC
  Frontier Trading
Company XXXVIII LLC
  Frontier Trading
Company XXXIX LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various base metals futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  —      0.00  —      0.00  (59,625  -1.38  —      0.00

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Europe)

  —      0.00  —      0.00  42,827    0.99  —      0.00

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  (32,365  -0.75  —      0.00

Various stock index futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Europe)

  —      0.00  —      0.00  103,795    2.41  —      0.00

Various stock index futures contracts (Far East)

  —      0.00  —      0.00  99,857    2.31  —      0.00

Various stock index futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  49,558    1.15  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $—      0.00 $—      0.00 $204,047    4.73 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various base metals futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  —      0.00  —      0.00  380,145    8.81  —      0.00

Euro FX Settling 3/1/2015 (number of contracts: -54)

  —      0.00  —      0.00  232,994    5.40  —      0.00

CHF Settling 3/18/2015 (number of contracts: -72)

  —      0.00  —      0.00  250,775    5.81  —      0.00

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  100,893    2.34  —      0.00

Various interest rates futures contracts (Canada)

  —      0.00  —      0.00  (5,755  -0.13  —      0.00

Various interest rates futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

  Frontier Trading
Company XXXV LLC
  Frontier Trading
Company XXXVII LLC
  Frontier Trading
Company XXXVIII LLC
  Frontier Trading
Company XXXIX LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  (32,928  -0.76  —      0.00

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  52,490    1.22  —      0.00

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  186,382    4.32  —      0.00

Various stock index futures contracts (Africa)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Mexico)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Oceanic)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $—      0.00 $—      0.00 $1,164,996    27.01 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

        

Various currency forwards contracts (NA)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $—      0.00 $—      0.00 $1,369,043    31.74 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN *

        

Various energy futures contracts (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1)

        

Frontier XXXIV Balanced select swap (U.S.)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Frontier Brevan Howard swap (U.S.)

  —      0.00  —      0.00  —      0.00  7,540,466    100.00

Frontier XXXV Diversified select swap (U.S.)

  6,570,409    100.00  —      0.00  —      0.00  —      0.00

Frontier XXXVII L/S select swap (U.S.)

  —      0.00  3,633,060    100.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

 $6,570,409    100.00 $3,633,060    0.00 $—      0.00 $7,540,466    100.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

*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 Financial Statements, Note 4.

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

The Trading Companies of the Equinox Frontier Funds

Condensed Schedules of Investments

December 31, 2013

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS*

        

Various base metals futures contracts (Europe)

 $(56,174  -0.29 $6,814    0.04 $(70,059  -1.00 $132,615    3.76

Copper (LME) settling 1/1/2014 (number of contracts: 32)

  —      0.00  —      0.00  —      0.00  198,216    5.62

Various base metals futures contracts (U.S.)

  44,938    0.23  325    0.00  123,274    1.76  25    0.00

Various currency futures contracts (U.S.)

  370,968    1.89  449,531    2.56  (19,944  -0.28  7,079    0.20

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  (21,831  -0.11  63,950    0.36  520,393    7.43  8,679    0.25

Natural Gas settling 3/1/2014 (number of contracts: 228)

  —      0.00  —      0.00  (353,048  -5.04  —      0.00

Natural Gas settling 11/1/2014 (number of contracts: 621)

  —      0.00  —      0.00  629,139    8.98  —      0.00

NYH RBOB Unleaded Gas settling 3/1/2014 (number of contracts: 530)

  —      0.00  —      0.00  (783,703  -11.19  —      0.00

Various interest rates futures contracts (Canada)

  (51,671  -0.26  682    0.00  —      0.00  (1,930  -0.05

Various interest rates futures contracts (Europe)

  (232,754  -1.19  (481,947  -2.75  —      0.00  (13,724  -0.39

Various interest rates futures contracts (Far East)

  (31,051  -0.16  (171,268  -0.98  —      0.00  (12,641  -0.36

Various interest rates futures contracts (Oceanic)

  49,673    0.25  4,623    0.03  —      0.00  (1,281  -0.04

Various interest rates futures contracts (U.S.)

  (88,015  -0.45  (89,578  -0.51  (202,474  -2.89  (35,141  -1.00

90 Day Euro Time Deposit settling 12/1/2017 (number of contracts: 539)

  —      0.00  —      0.00  (372,810  -5.32  —      0.00

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  (10,009  -0.14  (1,600  -0.05

Various soft futures contracts (Europe)

  (4,923  -0.03  (7,698  -0.04  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  (47,575  -0.24  (136,308  -0.78  (1,081,485  -15.44  (31,343  -0.89

Corn settling 3/1/2014 (number of contracts: 383)

  —      0.00  —      0.00  (691,457  -9.87  —      0.00

Corn settling 7/1/2014 (number of contracts: 300)

  —      0.00  —      0.00  (496,709  -7.09  —      0.00

Sugar #11 settling 3/1/2014 (number of contracts: 861)

  —      0.00  —      0.00  (820,017  -11.71  —      0.00

Cocoa settling 5/1/2014 (number of contracts: 608)

  —      0.00  —      0.00  (420,759  -6.01  —      0.00

Various stock index futures contracts (Africa)

  2,059    0.01  27,927    0.16  —      0.00  —      0.00

Various stock index futures contracts (Canada)

  171,251    0.87  41,612    0.24  —      0.00  37,080    1.05

Various stock index futures contracts (Europe)

  862,096    4.40  1,226,128    6.99  16,272    0.23  181,455    5.14

Various stock index futures contracts (Far East)

  462,428    2.36  525,266    3.00  —      0.00  39,836    1.13

Various stock index futures contracts (Mexico)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Oceanic)

  204,288    1.04  64,924    0.37  —      0.00  4,992    0.14

Various stock index futures contracts (U.S.)

  733,317    3.74  1,286,092    7.33  77,870    1.11  192,860    5.47
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $2,367,024    12.06 $2,811,075    16.02 $(3,955,526  -56.48 $705,177    19.98
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $(4,721  -0.02 $(52,878  -0.30 $34,183    0.49 $(145,048  -4.11

Copper (LME) settling 1/1/2014 (number of contracts: -32)

  —      0.00  —      0.00  —      0.00  (298,731  -8.47

Copper (LME) settling 2/1/2014 (number of contracts: -34)

  —      0.00  —      0.00  —      0.00  (179,725  -5.09

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

Various base metals futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  227,357    1.16  566,379    3.23  77,986    1.11  11,248    0.32

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  (934  0.00  (78,477  -0.45  (96,753  -1.38  (19,495  -0.55

NYH RBOB Unleaded Gas settling 2/1/2014 (number of contracts: -509)

  —      0.00  —      0.00  820,130    11.71  —      0.00

Natural Gas settling 10/1/2014 (number of contracts: -636)

  —      0.00  —      0.00  (751,854  -10.74  —      0.00

Various interest rates futures contracts (Canada)

  7,512    0.04  4,575    0.03  —      0.00  8,284    0.23

Various interest rates futures contracts (Europe)

  141,423    0.72  32,183    0.18  51,261    0.73  43,140    1.22

Various interest rates futures contracts (Far East)

  13,959    0.07  —      0.00  45,124    0.64  —      0.00

Various interest rates futures contracts (Oceanic)

  (9,391  -0.05  (14,869  -0.08  —      0.00  (120  0.00

Various interest rates futures contracts (U.S.)

  174,002    0.89  67,938    0.39  86,363    1.23  24,481    0.69

Various precious metal futures contracts (U.S.)

  17,291    0.09  449,520    2.56  13,635    0.19  29,795    0.84

Various soft futures contracts (Canada)

  —      0.00  1,489    0.01  —      0.00  —      0.00

Various soft futures contracts (Europe)

  550    0.00  3,120    0.02  —      0.00  1,763    0.05

Various soft futures contracts (U.S.)

  226,671    1.16  513,112    2.93  722,443    10.32  65,236    1.85

Cocoa settling 3/1/2014 (number of contracts: -616)

  —      0.00  —      0.00  484,646    6.92  —      0.00

Corn settling 5/1/2014 (number of contracts: -383)

  —      0.00  —      0.00  1,111,467    15.87  —      0.00

Sugar #11 settling 5/1/2014 (number of contracts: -861)

  —      0.00  —      0.00  752,965    10.75  —      0.00

Wheat settling 7/1/2014 (number of contracts: -439)

  —      0.00  —      0.00  412,861    5.90  —      0.00

Various stock index futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Far East)

  —      0.00  (465  0.00  —      0.00  (4,466  -0.13

Various stock index futures contracts (U.S.)

  2,100    0.01  —      0.00  —      0.00  5,100    0.14
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

 $795,819    4.07 $1,491,627    8.52 $3,764,457    53.74 $(458,538  -13.01
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS *

        

Various currency forwards contracts (NA)

 $—      0.00 $18,591    0.11 $—      0.00 $459,545    13.03
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

 $—      0.00 $18,591    0.11%�� $—      0.00 $459,545    13.03
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

 $3,162,843    16.13 $4,321,293    24.65 $(191,069  -2.74 $706,184    19.99
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED *

        

Various base metals futures contracts (Europe)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various currency futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  75,490    1.08  —      0.00

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  23,250    0.33  —      0.00

Various stock index futures contracts (U.S.)

  165,983    0.85  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

 $165,983    0.85 $—      0.00 $98,740    1.41 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN *

        

Various base metals futures contracts (Europe)

 $—      0.00 $—      0.00 $—      0.00 $—      0.00

Various currency futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  (152,500  -2.18  —      0.00

Various interest rates futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  (20,150  -0.29  —      0.00

Various stock index futures contracts (U.S.)

  (183,932  -0.94  —      0.00  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

 $(183,932  -0.94 $—      0.00 $(172,650  -2.47 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company VII LLC
  Frontier Trading
Company XIV LLC
 

Description

 Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
  Fair
Value
  % of Total Capital
(Net Asset Value)
 

Swaps (1)

        
 $—      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

  —      0.00 $—      0.00 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

 

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

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

F-82

The Trading Companies of the Equinox Frontier Funds

Condensed SchedulesSchedule of Investments

December 31, 20132015

 

  Frontier Trading
Company XV LLC
  Frontier Trading
Company XXIII
LLC (2)
  Frontier Trading
Company
XXXIV LLC (3)
  Frontier Trading
Company XXXV
LLC (3)
 

Description

 Fair
Value
  % of Total
Capital
(Net Asset
Value)
  Fair
Value
  % of Total
Capital
(Net Asset
Value)
  Fair
Value
  % of Total
Capital
(Net Asset
Value)
  Fair
Value
  % of Total
Capital
(Net Asset
Value)
 

LONG FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $(2,088,524  -10.85 $—      0.00 $—      0.00 $—      0.00

Copper (LME) Settling 1/1/2014 (Number of Contracts: 372)

  2,517,561    13.08  —      0.00  —      0.00  —      0.00

Copper (LME) Settling 2/1/2014 (Number of Contracts: 335)

  2,238,732    11.63  —      0.00  —      0.00  —      0.00

Copper (LME) Settling 3/1/2014 (Number of Contracts: 210)

  1,070,949    5.56  —      0.00  —      0.00  —      0.00

Copper (LME) Settling 6/1/2014 (Number of Contracts: 248)

  1,702,024    8.84  —      0.00  —      0.00  —      0.00

Various base metals futures contracts (U.S.)

  —      0.00  16,675    0.39  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  196,221    1.02  (43,538  -1.02  —      0.00  —      0.00

Various energy futures contracts (Europe)

  (155,110  -0.81  —      0.00  —      0.00  —      0.00

Various energy futures contracts (Far East)

  3,805    0.02  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  40,873    0.21  (17,593  -0.41  —      0.00  —      0.00

Various interest rates futures contracts (Canada)

  47    0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Europe)

  2,277    0.01  (364,569  -8.57  —      0.00  —      0.00

Various interest rates futures contracts (Far East)

  (3,494  -0.02  (176,906  -4.16  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  (1,996  -0.01  10,688    0.25  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  (35,255  -0.18  (220,306  -5.18  —      0.00  —      0.00

5 Year Note settling 3/1/2014 (number of contracts: 164)

  —      —      (244,375  -5.75  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  784    0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  (67,481  -0.35  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Africa)

  8,310    0.04  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Canada)

  12,878    0.07  20,107    0.47  —      0.00  —      0.00

Various stock index futures contracts (Europe)

  145,868    0.76  158,289    3.72  —      0.00  —      0.00

Various stock index futures contracts (Far East)

  38,835    0.20  110,492    2.60  —      0.00  —      0.00

Various stock index futures contracts (Mexico)

  413    0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (Oceanic)

  (936  0.00  6,664    0.16  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  204,043    1.06  339,249    7.98  —      0.00  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

 $5,830,824    30.28 $(405,123  -9.52 $—      0.00 $—      0.00
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

        

Various base metals futures contracts (Europe)

 $(1,864,518  -9.69 $—      0.00 $—      0.00 $—      0.00

Copper (LME) Settling 2/1/2014 (Number of Contracts: 223)

  (1,877,162  -9.75  —      0.00  —      0.00  —      0.00

Various base metals futures contracts (U.S.)

  (12,775  -0.07  —      0.00  —      0.00  —      0.00

Various currency futures contracts (Far East)

  (1,135  -0.01  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  281,441    1.46  10,070    0.24  —      0.00  —      0.00

JPY settling 3/1/2014 (number of contracts: -152)

  —      0.00  430,094    10.12  —      0.00  —      0.00

Various energy futures contracts (Europe)

  172,634    0.90  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  (1,773  -0.01  (8,273  -0.19  —      0.00  —      0.00

Various interest rates futures contracts (Canada)

  9,197    0.05  6,872    0.16  —      0.00  —      0.00

Various interest rates futures contracts (Europe)

  59,050    0.31  (3,648  -0.09  —      0.00  —      0.00

Various interest rates futures contracts (Far East)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (Oceanic)

  239    0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  101,452    0.53  4,238    0.10  —      0.00  —      0.00

Various precious metal futures contracts (U.S.)

  256,385    1.33  33,615    0.79  —      0.00  —      0.00

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00  —      0.00

Various soft futures contracts (Europe)

  —      0.00  —      0.00  —      0.00  —      0.00

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 
 Company I LLC Company II LLC Company VII LLC Company XIV LLC 
 Frontier Trading
Company XV LLC
 Frontier Trading
Company XXIII
LLC (2)
 Frontier Trading
Company
XXXIV LLC (3)
 Frontier Trading
Company XXXV
LLC (3)
    %of Total Capital    % of Total Capital     % of Total Capital     % of Total Capital 

Description

 Fair
Value
 % of Total
Capital
(Net Asset
Value)
 Fair
Value
 % of Total
Capital
(Net Asset
Value)
 Fair
Value
 % of Total
Capital
(Net Asset
Value)
 Fair
Value
 % of Total
Capital
(Net Asset
Value)
  Value (Net Asset Value) Value (Net Asset Value) Value (Net Asset Value) Value (Net Asset Value) 
LONG FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe) $(91,615)  -0.39% $(1,294)  -0.01% $   0.00% $46,701   1.36%
Various base metals futures contracts (U.S.)     0.00%     0.00%  (114,553)  -1.43%     0.00%
Copper Settling 12/30/2016 (number of contracts: 93)     0.00%     0.00%  (1,141,221)  -14.26%     0.00%
Various currency futures contracts (Singapore)     0.00%     0.00%     0.00%     0.00%
Various currency futures contracts (U.S.)  104,988   0.45%  (26,609)  -0.20%  6,605   0.08%  4,514   0.13%
Various energy futures contracts (Europe)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (U.S.)  (20,148)  -0.09%     0.00%  (389,699)  -4.87%  (237,865)  -6.91%
Brent Crude Oil Settling 1/26/2016 (number of contracts: 546)     0.00%     0.00%  (3,709,735)  -46.36%     0.00%
WTI Crude Oil Settling 6/29/2016 (number of contracts: 158)     0.00%     0.00%  (965,247)  -12.06%     0.00%
WTI Crude Oil Settling 5/31/2016 (number of contracts: 925)     0.00%     0.00%  (7,677,427)  -95.94%     0.00%
Gas Oil Settling 2/29/2016 (number of contracts: 68)     0.00%     0.00%     0.00%  217,500   6.32%
Gas Oil Settling 4/30/2016 (number of contracts: 71)     0.00%     0.00%  (993,661)  -12.42%     0.00%
Natural Gas Settling 2/29/2016 (number of contracts: 201)     0.00%     0.00%     0.00%  (227,570)  -6.61%
Heat Oil Settling 6/29/2016 (number of contracts: 314)     0.00%     0.00%  (4,145,156)  -51.80%     0.00%
Various interest rates futures contracts (Canada)  33,854   0.15%  10,868   0.08%     0.00%  32,546   0.95%
Various interest rates futures contracts (Europe)  (46,509)  -0.20%  (126,797)  -0.95%     0.00%  (54,219)  -1.57%
Various interest rates futures contracts (Far East)  119,681   0.51%  68,874   0.52%     0.00%  16,803   0.49%
Various interest rates futures contracts (Oceanic)  (29,899)  -0.13%  (3,134)  -0.02%     0.00%  377   0.01%
Various interest rates futures contracts (U.S.)  (20,922)  -0.09%  (317,169)  -2.38%  (30,915)  -0.39%  (70,806)  -2.06%
Various precious metal futures contracts (U.S.)     0.00%     0.00%  (557,610)  -6.96%     0.00%
Silver Settling 7/29/2016 (number of contracts: 142)     0.00%     0.00%  (943,552)  -11.79%     0.00%
Silver Settling 5/31/2016 (number of contracts: 175)     0.00%     0.00%  (1,266,412)  -15.83%     0.00%
Various soft futures contracts (Canada)  445   0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (Europe)  72,472   0.31%     0.00%     0.00%     0.00%
Various soft futures contracts (Oceanic)     0.00%     0.00%     0.00%     0.00%

Various soft futures contracts (U.S.)

  319,756    1.66  —      0.00  —      0.00  —      0.00  (25,856)  -0.11%  4,274   0.03%  772,345   9.65%  (44,679)  -1.30%
Live Cattle Settling 7/15/2016 (number of contracts: 213)     0.00%     0.00%  417,732   5.22%     0.00%
Corn Settling 7/18/2016 (number of contracts: 733)     0.00%     0.00%  (747,836)  -9.35%     0.00%
Various stock index futures contracts (Canada)  (41,549)  -0.18%     0.00%     0.00%  (4,336)  -0.13%

Various stock index futures contracts (Europe)

  (1,174  -0.01  —      0.00  —      0.00  —      0.00  16,565   0.07%  36,783   0.28%     0.00%  (3,962)  -0.12%

Various stock index futures contracts (Far East)

  3,125    0.02  —      0.00  —      0.00  —      0.00  (28,958)  -0.12%  (83,141)  -0.62%     0.00%  (7,766)  -0.23%
Various stock index futures contracts (Oceanic)  (8,890)  -0.04%     0.00%     0.00%  (747)  -0.02%

Various stock index futures contracts (U.S.)

  41,649    0.22  —      0.00  —      0.00  —      0.00  (7,871)  -0.03%  148,532   1.11%     0.00%  82,379   2.39%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 
Total Long Futures Contracts $25,788   0.11% $(288,813)  -2.16% $(21,486,342)  -268.49% $(251,130)  -7.30%
SHORT FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe)  163,241   0.70%  134,930   1.01%     0.00%  (5,389)  -0.16%
Various base metals futures contracts (U.S.)  (32,430)  -0.14%  (11,450)  -0.09%  173,147   2.16%  (8,500)  -0.25%
Various currency futures contracts (U.S.)  262,509   1.13%  466,490   3.50%  28,025   0.35%  37,249   1.08%
Various energy futures contracts (Europe)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various energy futures contracts (U.S.)  (100,304)  -0.43%  142,483   1.07%  667,184   8.34%  170,240   4.94%
Natural Gas Settling 2/29/2016 (number of contracts: 201)     0.00%     0.00%     0.00%  (227,570)  -6.61%
Crude Oil Settling 4/30/2016 (number of contracts: -837)     0.00%     0.00%  4,035,371   50.43%     0.00%
Crude Oil Settling 3/31/2016 (number of contracts: -223)     0.00%     0.00%  739,030   9.24%     0.00%
WTI Crude Settling 2/19/2016 (number of contracts: -505)     0.00%     0.00%  3,923,021   49.02%     0.00%
Heat Oil Settling 9/29/2016 (number of contracts: -104)     0.00%     0.00%  1,838,928   22.98%     0.00%
Heat Oil Settling 8/1/2016 (number of contracts: -210)     0.00%     0.00%  3,342,927   41.77%     0.00%
Gas Oil Settling 2/29/2016 (number of contracts: -73)     0.00%     0.00%     0.00%  217,500   6.32%
Various interest rates futures contracts (Canada)     0.00%     0.00%     0.00%     0.00%
Various interest rates futures contracts (Europe)  36,447   0.16%     0.00%  55,138   0.69%  (220)  -0.01%
Various interest rates futures contracts (Far East)  (250)  0.00%     0.00%  (18,050)  -0.23%     0.00%
Various interest rates futures contracts (Oceanic)  (20,207)  -0.09%  (3,043)  -0.02%     0.00%  (551)  -0.02%
Various interest rates futures contracts (U.S.)  (11,364)  -0.05%  (266)  0.00%  (3,900)  -0.05%  20,302   0.59%
Various precious metal futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various precious metal futures contracts (U.S.)  75,381   0.32%  244,230   1.83%     0.00%  1,530   0.04%
Silver Settling 3/31/2016 (number of contracts: -373)     0.00%     0.00%  851,818   10.64%     0.00%
Various precious metal futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various soft futures contract (Europe)  (9,290)  -0.04%  (1,140)  -0.01%     0.00%     0.00%
Various soft futures contracts (Canada)     0.00%  (16)  0.00%     0.00%     0.00%
Various soft futures contracts (Europe)  36,938   0.16%  3,608   0.03%     0.00%     0.00%
Various soft futures contracts (Far East)  (4,138)  -0.02%     0.00%     0.00%     0.00%
Various soft futures contracts (Singapore)     0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (U.S.)  42,680   0.18%  137,220   1.03%  (1,077,773)  -13.47%  47,438   1.38%
Corn Settling 5/17/2016 (number of contracts: -210)     0.00%     0.00%  490,875   6.13%     0.00%
Various stock index futures contracts (Africa)  (1,238)  -0.01%  (7,124)  -0.05%     0.00%     0.00%
Various stock index futures contracts (Canada)  (20,773)  -0.09%  (2,344)  -0.02%     0.00%     0.00%
Various stock index futures contracts (Europe)  (25,518)  -0.11%  (1,191)  -0.01%     0.00%  (4,712)  -0.14%
Various stock index futures contracts (Far East)  29,546   0.13%  22,625   0.17%     0.00%  626   0.02%
Various stock index futures contracts (Mexico)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (Oceanic)  (12,679)  -0.05%     0.00%     0.00%     0.00%
Various stock index futures contracts (U.S.)  71,361   0.31%  (68,081)  -0.51%  (42,048)  -0.53%  10,790   0.31%
Various stock index futures contracts (Warsaw)     0.00%     0.00%     0.00%     0.00%

Total Short Futures Contracts

 $(2,513,609  -13.06 $472,968    11.12 $—      0.00 $—      0.00 $479,912   2.06% $1,056,931   7.93% $15,003,693   187.47% $258,733   7.50%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

CURRENCY FORWARDS *

                                        

Various currency forwards contracts (NA)

 $769,823    4.00 $—      0.00 $—      0.00 $—      0.00 $249,752   1.07% $(168,539)  -1.26% $   0.00% $26,881   0.78%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Currency Forwards

 $769,823    4.00 $—      0.00 $—      0.00 $—      0.00 $249,752   1.07% $(168,539)  -1.26% $   0.00% $26,881   0.78%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Open Trade Equity (Deficit)

 $4,087,038    21.22 $67,845    1.60 $—      0.00 $—      0.00 $755,452   3.24% $599,579   4.51% $(6,482,649)  -81.02% $34,484   0.98%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS PURCHASED *

                                        

Various base metals futures contracts (Europe)

 $137,568    0.71 $—      0.00 $—      0.00 $—      0.00

Copper (LME) Settling 6/4/2014 (Number of Contracts: 248)

  1,702,024    8.85  —      0.00  —      0.00  —      0.00

Various currency futures contracts (U.S.)

  386,410    2.01  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00 $   0.00% $   0.00% $154,530   1.93% $   0.00%

Various interest rates futures contracts (U.S.)

  528,751    2.75  —      0.00  —      0.00  —      0.00

Various soft futures contracts (U.S.)

  14,394    0.07  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00  371,758   1.59%     0.00%     0.00%     0.00%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Options Purchased

 $2,769,147    14.39 $—      0.00 $—      0.00 $—      0.00 $371,758   1.59% $   0.00% $154,530   1.93% $   0.00%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS WRITTEN *

                                        

Various base metals futures contracts (Europe)

 $(703,620  -3.66 $—      0.00 $—      0.00 $—      0.00

Various currency futures contracts (U.S.)

  (34,820  -0.18  —      0.00  —      0.00  —      0.00

Various energy futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various interest rates futures contracts (U.S.)

  (127,500  -0.66  -    0.00  -    0.00  -    0.00

Various soft futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00

Various stock index futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00  —      0.00 $(165,760)  -0.71% $   0.00% $   0.00% $   0.00%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Options Written

 $(865,940  -4.50 $—      0.00 $—      0.00 $—      0.00 $(165,760)  -0.71% $   0.00% $   0.00% $   0.00%
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Swaps (1)

        

Frontier XXXIV Balanced select swap (U.S.)

 $—      0.00 $—      0.00 $10,126,168    100.00 $—      0.00

Frontier XXXV Diversified select swap (U.S.)

  —      0.00  —      0.00  —      0.00  3,437,632    100.00
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Swaps

  —      0.00 $—      0.00 $10,126,168    100.00 $3,437,632    100.00
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Notes to Financial Statements, Note 4.
(2)Trading Company XXIII commenced trading operations in January 2012.
(3)Trading Company XXXIV and XXXV commenced trading operations in July 2013.

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

F-83

The Trading CompaniesTable of the Equinox Frontier FundsContents

Condensed Schedules of Investments

December 31, 2013

The Trading Companies of the Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2015

 

   Frontier Trading
Company XXXVII
LLC (2)
  Frontier Trading
Company XXXVIII
LLC (2)
  Frontier Trading
Company XXXIX
LLC (2)
 

Description

  Fair
Value
   % of Total
Capital
(Net Asset
Value)
  Fair
Value
  % of Total
Capital
(Net Asset
Value)
  Fair
Value
   % of Total
Capital
(Net Asset
Value)
 

LONG FUTURES CONTRACTS *

         

Various base metals futures contracts (Europe)

  $—       0.00 $—      0.00 $—       0.00

Various base metals futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00

Various currency futures contracts (U.S.)

   —       0.00  260,920    3.79  —       0.00

Various energy futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various energy futures contracts (Far East)

   —       0.00  —      0.00  —       0.00

Various energy futures contracts (U.S.)

   —       0.00  35,080    0.51  —       0.00

Various interest rates futures contracts (Canada)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (Far East)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (Oceanic)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00

Various precious metal futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00

Various soft futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various soft futures contracts (U.S.)

   —       0.00  (37,345  -0.54  —       0.00

Various stock index futures contracts (Africa)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (Canada)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (Europe)

   —       0.00  177,422    2.58  —       0.00

Various stock index futures contracts (Far East)

   —       0.00  222,264    3.23  —       0.00

Various stock index futures contracts (Mexico)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (Oceanic)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (U.S.)

   —       0.00  391,392    5.69  —       0.00
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

 

 

 

Total Long Futures Contracts

  $—       0.00 $1,049,733    15.26 $—       0.00
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

 

 

 

SHORT FUTURES CONTRACTS *

         

Various base metals futures contracts (Europe)

  $—       0.00 $—      0.00 $—       0.00

Various base metals futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00

Various currency futures contracts (Far East)

   —       0.00  —      0.00  —       0.00

Various currency futures contracts (U.S.)

   —       0.00  131,140    1.91  —       0.00

JPY settling 3/1/2014 (number ofcontracts: -235)

   —       0.00  697,656    10.14  —       0.00

Various energy futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various energy futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (Canada)

   —       0.00  —      0.00  —       0.00

Various interest rates futures contracts (Europe)

   —       0.00  362,727    5.27  —       0.00

Various interest rates futures contracts (Far East)

   —       0.00  42,161    0.61  —       0.00

Various interest rates futures contracts (Oceanic)

   —       0.00  (53,119  -0.77  —       0.00

Various interest rates futures contracts (U.S.)

   —       0.00  524,230    7.62  —       0.00

10 Year Note settling 3/1/2014 (number of contracts: -226)

   —       0.00  357,038    5.19  —       0.00

Various precious metal futures contracts (U.S.)

   —       0.00  105,975    1.54  —       0.00

Various soft futures contracts (Canada)

   —       0.00  —      0.00  —       0.00

Various soft futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various soft futures contracts (U.S.)

   —       0.00  302,974    4.40  —       0.00

Various stock index futures contracts (Europe)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (Far East)

   —       0.00  —      0.00  —       0.00

Various stock index futures contracts (U.S.)

   —       0.00  —      0.00  —       0.00
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

 

 

 

Total Short Futures Contracts

  $—       0.00 $2,470,782    35.90 $—       0.00
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

 

 

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 
 Company XV LLC Company XXIII LLC Company XXIX LLC Company XXXIV LLC 
  Frontier Trading
Company XXXVII
LLC (2)
 Frontier Trading
Company XXXVIII
LLC (2)
 Frontier Trading
Company XXXIX
LLC (2)
    %of Total Capital    % of Total Capital     % of Total Capital     % of Total Capital 

Description

  Fair
Value
   % of Total
Capital
(Net Asset
Value)
 Fair
Value
   % of Total
Capital
(Net Asset
Value)
 Fair
Value
   % of Total
Capital
(Net Asset
Value)
  Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value)  Value  (Net Asset Value) 
LONG FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe) $(50,387)  -0.37% $   0.00% $   0.00% $   0.00%
Various base metals futures contracts (U.S.)     0.00%  650   0.02%     0.00%     0.00%
Various currency futures contracts (Singapore)  6,824   0.05%     0.00%     0.00%     0.00%
Various currency futures contracts (U.S.)  (11,664)  -0.08%  (38,894)  -1.27%  4,224   0.41%     0.00%
Various energy futures contracts (Europe)  13,493   0.10%     0.00%     0.00%     0.00%
Various energy futures contracts (Far East)     0.00%     0.00%  605   0.06%     0.00%
Various energy futures contracts (U.S.)     0.00%     0.00%  10,098   0.99%     0.00%
Various interest rates futures contracts (Canada)  8,285   0.06%  26,122   0.85%     0.00%     0.00%
Various interest rates futures contracts (Europe)  (380,769)  -2.77%  (73,358)  -2.39%  (4,581)  -0.45%     0.00%
Various interest rates futures contracts (Far East)  22,925   0.17%  74,364   2.43%  2,329   0.23%     0.00%
Various interest rates futures contracts (Oceanic)  (1,711)  -0.01%  14,457   0.47%     0.00%     0.00%
Various interest rates futures contracts (U.S.)  (35,830)  -0.26%  (91,109)  -2.97%  (1,655)  -0.16%     0.00%
Various precious metal futures contracts (U.S.)     0.00%  (1,110)  -0.04%  (5,070)  -0.50%     0.00%
Various soft futures contracts (Canada)  68   0.00%     0.00%     0.00%     0.00%
Various soft futures contracts (Europe)  238   0.00%     0.00%  394   0.04%     0.00%
Various soft futures contracts (Oceanic)  5,505   0.04%     0.00%     0.00%     0.00%
Various soft futures contracts (U.S.)  17,813   0.13%     0.00%  10,410   1.02%     0.00%
Lean Hog Settling 4/18/2016 (number of contracts: 191)     0.00%     0.00%  (53,610)  -5.26%     0.00%
Various stock index futures contracts (Canada)     0.00%  2,334   0.08%     0.00%     0.00%
Various stock index futures contracts (Europe)  14,580   0.11%  39,310   1.28%  3,160   0.31%     0.00%
Various stock index futures contracts (Far East)  (33,510)  -0.24%  (7,258)  -0.24%  159   0.02%     0.00%
Various stock index futures contracts (Oceanic)  (1,931)  -0.01%  14,592   0.48%     0.00%     0.00%
Various stock index futures contracts (U.S.)  (4,360)  -0.03%  (57,123)  -1.86%  165   0.02%     0.00%
Total Long Futures Contracts $(430,431)  -3.11% $(97,023)  -3.16% $(33,372)  -3.27% $   0.00%
SHORT FUTURES CONTRACTS *                                
Various base metals futures contracts (Europe)  109,629   0.80%     0.00%     0.00%     0.00%
Various base metals futures contracts (U.S.)  (4,250)  -0.03%     0.00%  (2,975)  -0.29%     0.00%
Various currency futures contracts (U.S.)  32,835   0.24%  116,714   3.81%  34,653   3.40%     0.00%
Various energy futures contracts (Europe)  29,608   0.22%     0.00%     0.00%     0.00%
Various energy futures contracts (Far East)  410   0.00%     0.00%  1,020   0.10%     0.00%
Various energy futures contracts (U.S.)  586,716   4.27%  (61,323)  -2.00%  (1,037)  -0.10%     0.00%
Various interest rates futures contracts (Canada)  (63)  0.00%     0.00%     0.00%     0.00%
Various interest rates futures contracts (Europe)  3,113   0.02%  2,700   0.09%     0.00%     0.00%
Various interest rates futures contracts (Far East)     0.00%     0.00%     0.00%     0.00%
Various interest rates futures contracts (Oceanic)  (12,330)  -0.09%     0.00%  (2,816)  -0.28%     0.00%
Various interest rates futures contracts (U.S.)  50,113   0.36%  6,488   0.21%  1,297   0.13%     0.00%
Various precious metal futures contracts (Far East)  4,026   0.03%     0.00%  466   0.05%     0.00%
Various precious metal futures contracts (U.S.)  93,125   0.68%  4,738   0.15%  (3,165)  -0.31%     0.00%
Various precious metal futures contracts (Far East)  (2,639)  -0.02%     0.00%     0.00%     0.00%
Various soft futures contract (Europe)  2,000   0.01%     0.00%  (1,700)  -0.17%     0.00%
Various soft futures contracts (Canada)     0.00%     0.00%  (1,305)  -0.13%     0.00%
Various soft futures contracts (Europe)  6,824   0.05%     0.00%  1,832   0.18%     0.00%
Various soft futures contracts (Far East)     0.00%     0.00%  2,791   0.27%     0.00%
Various soft futures contracts (Singapore)  930   0.01%     0.00%     0.00%     0.00%
Various soft futures contracts (U.S.)  34,651   0.25%     0.00%  753   0.07%     0.00%
Various stock index futures contracts (Africa)  (1,849)  -0.01%     0.00%  (751)  -0.07%     0.00%
Various stock index futures contracts (Canada)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (Europe)  8,952   0.07%     0.00%  (918)  -0.09%     0.00%
Various stock index futures contracts (Far East)  5,289   0.04%     0.00%  2,553   0.25%     0.00%
Various stock index futures contracts (Mexico)  74   0.00%     0.00%  717   0.07%     0.00%
Various stock index futures contracts (Oceanic)     0.00%     0.00%     0.00%     0.00%
Various stock index futures contracts (U.S.)  (17,786)  -0.13%     0.00%  6,707   0.66%     0.00%
Various stock index futures contracts (Warsaw)  (3,926)  -0.03%     0.00%     0.00%     0.00%
Total Short Futures Contracts $925,452   6.74% $69,317   2.26% $38,122   3.74% $   0.00%

CURRENCY FORWARDS *

                                          

Various currency forward contracts

  $—       0.00 $—       0.00 $—       0.00
Various currency forwards contracts (NA) $(32,681)  -0.24% $   0.00% $   0.00% $   0.00%
Total Currency Forwards $(32,681)  -0.24% $   0.00% $   0.00% $   0.00%
Total Open Trade Equity (Deficit) $462,340   3.39% $(27,706)  -0.90% $4,750   0.47% $   0.00%
SWAPS (3)                                
Frontier XXXIV Balanced select swap (U.S.) $   0.00% $   0.00% $   0.00% $19,157,522   100.00%
Total Swaps $   0.00% $   0.00% $   0.00% $19,157,522   100.00%
  

 

   

 

  

 

   

 

  

 

   

 

                                 

Total Currency Forwards

  $—       0.00 $—       0.00 $—       0.00
  

 

   

 

  

 

   

 

  

 

   

 

  Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Total Open Trade Equity (Deficit)

  $—       0.00 $3,520,515     51.16 $—       0.00
  

 

   

 

  

 

   

 

  

 

   

 

  Company XXXV LLC Company XXXVII LLC Company XXXVIII LLC Company XXXIX LLC (3) 

OPTIONS PURCHASED *

          
   %of Total Capital    % of Total Capital     % of Total Capital     % of Total Capital 
Description Value (Net Asset Value) Value (Net Asset Value) Value (Net Asset Value) Value (Net Asset Value) 
LONG FUTURES CONTRACTS *                                

Various base metals futures contracts (Europe)

  $—       0.00 $—       0.00 $—       0.00 $   0.00% $   0.00% $   0.00% $   0.00%
Various base metals futures contracts (U.S.)     0.00%     0.00%  4,675   0.16%     0.00%

Various currency futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00     0.00%     0.00%  11,269   0.38%     0.00%

Various energy futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00     0.00%     0.00%  670   0.02%     0.00%
Various soft futures contracts (U.S.)     0.00%     0.00%  (612)  -0.02%     0.00%
Various stock index futures contracts (Europe)     0.00%     0.00%  (5,480)  -0.18%     0.00%
Various stock index futures contracts (Far East)     0.00%     0.00%  (24,157)  -0.81%     0.00%
Various stock index futures contracts (Oceanic)     0.00%     0.00%  (5,666)  -0.19%     0.00%
Various stock index futures contracts (U.S.)     0.00%     0.00%  (25,893)  -0.87%     0.00%
Total Long Futures Contracts $   0.00% $   0.00% $(45,194)  -1.51% $   0.00%
SHORT FUTURES CONTRACTS *                                
Various currency futures contracts (U.S.)     0.00%     0.00%  146,316   4.92%     0.00%
GBP Settling 3/16/2016 (number of contracts: -67)     0.00%     0.00%  180,063   6.05%     0.00%
Various energy futures contracts (U.S.)     0.00%     0.00%  (4,099)  -0.14%     0.00%
Various interest rates futures contracts (Canada)     0.00%     0.00%  976   0.03%     0.00%
Various interest rates futures contracts (Europe)     0.00%     0.00%  33,479   1.13%     0.00%
Various interest rates futures contracts (Oceanic)     0.00%     0.00%  (132,055)  -4.44%     0.00%

Various interest rates futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00     0.00%     0.00%  85,776   2.88%     0.00%
Various precious metal futures contracts (U.S.)     0.00%     0.00%  53,240   1.79%     0.00%

Various soft futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00     0.00%     0.00%  (40,433)  -1.36%     0.00%

Various stock index futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00
  

 

   

 

  

 

   

 

  

 

   

 

 

Total Options Purchased

  $—       0.00 $—       0.00 $—       0.00
  

 

   

 

  

 

   

 

  

 

   

 

 

OPTIONS WRITTEN *

          

Various base metals futures contracts (Europe)

  $—       0.00 $—       0.00 $—       0.00

Various currency futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00

Various energy futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00

Various interest rates futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00

Various soft futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00

Various stock index futures contracts (U.S.)

   —       0.00  —       0.00  —       0.00
  

 

   

 

  

 

   

 

  

 

   

 

 

Total Options Written

  $—       0.00 $—       0.00 $—       0.00
  

 

   

 

  

 

   

 

  

 

   

 

 

Swaps (1)

          
Various stock index futures contracts (Far East)     0.00%     0.00%  26,809   0.90%     0.00%
Total Short Futures Contracts $   0.00% $   0.00% $350,072   11.76% $   0.00%
Total Open Trade Equity (Deficit) $   0.00% $   0.00% $304,878   10.25% $   0.00%
SWAPS (3)                                

Frontier Brevan Howard swap (U.S.)

  $—       0.00 $—       0.00 $5,435,184     100.00 $   0.00% $   0.00% $   0.00% $7,960,269   100.00%
Frontier XXXV Diversified select swap (U.S.)  8,685,850   100.00%     0.00%     0.00%     0.00%

Frontier XXXVII L/S select swap (U.S.)

   2,456,545     100.00  —       0.00  —       0.00     0.00%  4,332,427   100.00%     0.00%     0.00%
  

 

   

 

  

 

   

 

  

 

   

 

 

Total Swaps

  $2,456,545     100.00 $—       0.00 $5,435,184     100.00 $8,685,850   100.00% $4,332,427   100.00% $   0.00% $7,960,269   100.00%
  

 

   

 

  

 

   

 

  

 

   

 

 

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

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

F-84

The Trading Companies of the Frontier Fund
Statements of Operations
For The Years Ended December 31, 2016, 2015 and 2014

  Frontier Trading  Frontier Trading  Frontier Trading 
  Company I, LLC  Company II, LLC  Company VII, LLC (1) 
  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014 
Investment Income:                           
Interest-net $(909) $(21,709) $(22,159) $8,302  $2,691  $5,359  $1,819  $(1,377) $(1,858)
                                     
Total Income  (909)  (21,709)  (22,159)  8,302   2,691   5,359   1,819   (1,377)  (1,858)
                                     
Realized and unrealized gain (loss) on investments:                                    
Net realized gain/(loss) on futures, forwards, and options  4,710,217   11,657,257   18,797,185   618,478   6,920,334   22,495,002   (1,479,588)  17,335,609   (2,952,658)
Net realized gain/(loss) on swap contracts                           
Net change in open trade equity  (518,190)  (1,192,808)  52,362   521,236   (2,873,705)  (848,009)  6,482,648   (12,031,602)  3,660,410 
Net unrealized gain/(loss) on option / swap contracts  261,320                  (45,277)      
Risk analysis fees  (4,806)        (70,193)               
Trading commissions  (593,636)  (816,237)  (661,478)  (86,425)  (106,923)  (123,412)  (259,227)  (1,081,917)  (1,264,512)
                                     
Net gain/(loss) on investments  3,854,905   9,648,212   18,188,067   983,096   3,939,706   21,523,581   4,698,556   4,222,090   (556,160)
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $3,853,996  $9,626,503  $18,165,908  $991,398  $3,942,397  $21,528,940  $4,700,375  $4,220,713  $(558,018)
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XIV, LLC (2)  Company XV, LLC  Company XXIII, LLC (3) 
  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014 
Investment Income:                           
Interest-net $1,437  $(257) $(16,316) $1,591  $833  $(2,617) $(7,014) $(17,219) $(12,365)
                                     
Total Income  1,437   (257)  (16,316)  1,591   833   (2,617)  (7,014)  (17,219)  (12,365)
                                     
Realized and unrealized gain (loss) on investments:                                    
Net realized gain/(loss) on futures, forwards, and options  1,119,495   128,198   5,151,877   2,092,044   1,385,257   4,680,757   2,026,555   1,982,679   6,829,347 
Net realized gain/(loss) on swap contracts                           
Net change in open trade equity  (34,485)  (990,384)  318,685   200,590   (1,196,577)  (2,428,123)  27,706   (921,311)  825,760 
Net unrealized gain/(loss) on option / swap contracts                 978,111          
Risk analysis fees           (14,228)               
Trading commissions  (39,648)  (123,168)  (909,921)  (130,601)  (131,746)  (351,072)  (95,575)  (208,033)  (164,440)
                                     
Net gain/(loss) on investments  1,045,362   (985,354)  4,560,641   2,147,805   56,934   2,879,673   1,958,686   853,335   7,490,667 
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $1,046,799  $(985,611) $4,544,325  $2,149,396  $57,767  $2,877,056  $1,951,672  $836,116  $7,478,302 
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXIX, LLC (4)  Company XXXIV, LLC  Company XXXV, LLC 
  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2013  12/31/2016  12/31/2015  12/31/2014 
Investment Income:                           
Interest-net $235  $(751) $23  $  $(3,610) $(6,498) $  $  $ 
                                     
Total Income  235   (751)  23      (3,610)  (6,498)         
                                     
Realized and unrealized gain (loss) on investments:                                    
Net realized gain/(loss) on futures, forwards, and options  143,083   (1,811,908)  (310,258)     (463,603)  (2,060,335)         
Net realized gain/(loss) on swap contracts                           
Net change in open trade equity  (4,750)  284,591   (279,840)                  
Net unrealized gain/(loss) on option / swap contracts           (218,073)  910,567   8,120,787   (48,003)  2,115,441   3,132,777 
Trading commissions  (4,144)  (60,831)  (8,380)     (69,341)  (141,075)         
                                     
Net gain/(loss) on investments  134,189   (1,588,148)  (598,478)  (218,073)  377,623   5,919,377   (48,003)  2,115,441   3,132,777 
                                     
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $134,424  $(1,588,899) $(598,455) $(218,073) $374,013  $5,912,879  $(48,003) $2,115,441  $3,132,777 
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXXVII, LLC  Company XXXVIII, LLC  Company XXXIX, LLC 
  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014  12/31/2016  12/31/2015  12/31/2014 
Investment Income:                           
Interest-net $  $  $  $790  $(1,607) $(2,576) $  $  $ 
                                     
Total Income           790   (1,607)  (2,576)         
                                     
Realized and unrealized gain (loss) on investments:                                    
Net realized gain/(loss) on futures, forwards, and options           (4,641,720)  (2,416,059)  1,616,525          
Net realized gain/(loss) on swap contracts                           
Net change in open trade equity           (79,619)  (1,064,164)  (2,151,473)         
Net unrealized gain/(loss) on option / swap contracts  (111,959)  (300,633)  1,176,515            438,145   419,803   2,108,782 
Net unrealized gain/(loss) on private investment companies           2,384,103                
Trading commissions           (76,901)  (143,158)  (204,324)  (7,000)     (3,500)
                                     
Net gain/(loss) on investments  (111,959)  (300,633)  1,176,515   (2,414,137)  (3,623,381)  (739,272)  431,145   419,803   2,105,282 
NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $(111,959) $(300,633) $1,176,515  $(2,413,347) $(3,624,988) $(741,848) $431,145  $419,803  $2,105,282 

(1)See Notes to Financial Statements, Note 4.Trading Company VII ceased trading operations April 28, 2016
(2)Trading Companies XXXIX, XXXVII and XXXVIII commencedCompany XIV ceased trading operations in March, August, and November 2013, respectively.April 21, 2016
(3)Trading Company XXIII ceased trading operations July 22, 2016
(4)Trading Company XXIX ceased trading operations January 29, 2016

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

F-85

The Trading Companies of the Frontier Fund
Statements of Changes in Members’ Equity
For the Years Ended December 31, 2016, 2015 and 2014

  Frontier Trading  Frontier Trading  Frontier Trading 
  Company I LLC  Company II LLC  Company VII, LLC (1) 
Members’ Equity, December 31, 2013 $19,611,575  $17,534,029  $7,003,289 
             
Capital Contributed  157,856,619   12,312,000   37,505,000 
Capital Distributed  (169,654,397)  (37,050,000)  (33,710,129)
Net Increase (decrease) in Members’ Equity Resulting From Operations  18,165,908   21,528,940   (558,018)
             
Members’ Equity, December 31, 2014  25,979,705   14,324,969   10,240,142 
             
Capital Contributed  152,936,600   32,277,000   54,479,000 
Capital Distributed  (165,396,061)  (37,200,000)  (60,937,393)
Net Increase (decrease) in Members’ Equity Resulting From Operations  9,626,503   3,942,397   4,220,713 
             
Members’ Equity, December 31, 2015  23,146,747   13,344,366   8,002,462 
             
Capital Contributed  175,068,296   173,832,267   20,283,579 
Capital Distributed  (195,185,435)  (168,961,025)  (32,986,416)
Net Increase (decrease) in Members’ Equity Resulting From Operations  3,853,996   991,398   4,700,375 
Members’ Equity, December 31, 2016 $6,883,604  $19,207,006  $ 
             
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XIV, LLC (2)  Company XV, LLC  Company XXIII, LLC (3) 
Members’ Equity, December 31, 2013 $3,527,697  $19,248,714  $4,251,667 
             
Capital Contributed  21,580,000   23,175,200   3,895,000 
Capital Distributed  (24,945,000)  (29,900,000)  (12,100,000)
Net Increase (decrease) in Members’ Equity Resulting From Operations  4,544,325   2,877,056   7,478,302 
             
Members’ Equity, December 31, 2014  4,707,022   15,400,970   3,524,969 
             
Capital Contributed  7,272,500   975,100   17,805,000 
Capital Distributed  (7,550,000)  (2,690,500)  (19,100,000)
Net Increase (decrease) in Members’ Equity Resulting From Operations  (985,611)  57,767   836,116 
             
Members’ Equity, December 31, 2015  3,443,911   13,743,337   3,066,085 
             
Capital Contributed  3,205,916   7,771,910   8,295,740 
Capital Distributed  (7,696,626)  (14,817,369)  (13,313,497)
Net Increase (decrease) in Members’ Equity Resulting From Operations  1,046,799   2,149,396   1,951,672 
             
Members’ Equity, December 31, 2016 $  $8,847,274  $ 
             
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXIX, LLC (4)  Company XXXIV, LLC  Company XXXV, LLC 
Members’ Equity, December 31, 2013 $  $10,126,168  $3,437,632 
             
Capital Contributed  2,265,000   25,645,000    
Capital Distributed     (22,750,000)   
Net Increase (decrease) in Members’ Equity Resulting From Operations  (598,455)  5,912,879   3,132,777 
             
Members’ Equity, December 31, 2014  1,666,545   18,934,047   6,570,409 
             
Capital Contributed  4,042,000   11,282,015    
Capital Distributed  (3,100,000)  (11,432,553)   
Net Increase (decrease) in Members’ Equity Resulting From Operations  (1,588,899)  374,013   2,115,441 
             
Members’ Equity, December 31, 2015  1,019,646   19,157,522   8,685,850 
             
Capital Contributed  2,207,000       
Capital Distributed  (3,361,070)  (4,926,555)  (2,500,000)
Net Increase (decrease) in Members’ Equity Resulting From Operations  134,424   (218,072)  (48,003)
             
Members’ Equity, December 31, 2016 $  $14,012,895  $6,137,847 
             
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXXVII, LLC  Company XXXVIII, LLC  Company XXXIX, LLC 
Members’ Equity, December 31, 2013 $2,456,545  $6,880,279  $5,435,184 
             
Capital Contributed     14,825,252    
Capital Distributed     (16,650,000)   
Net Increase (decrease) in Members’ Equity Resulting From Operations  1,176,515   (741,848)  2,105,282 
             
Members’ Equity, December 31, 2014  3,633,060   4,313,683   7,540,466 
             
Capital Contributed  1,000,000   14,336,000    
Capital Distributed     (12,050,000)   
Net Increase (decrease) in Members’ Equity Resulting From Operations  (300,633)  (3,624,988)  419,803 
             
Members’ Equity, December 31, 2015  4,332,427   2,974,695   7,960,269 
             
Capital Contributed     17,027,822    
Capital Distributed  (115,000)  (6,405,067)  (1,900,000)
Net Increase (decrease) in Members’ Equity Resulting From Operations  (111,959)  (2,413,347)  431,145 
             
Members’ Equity, December 31, 2016 $4,105,468  $11,184,103  $6,491,414 

(1)Trading Company VII ceased trading operations April 28, 2016
(2)Trading Company XIV ceased trading operations April 21, 2016
(3)Trading Company XXIII ceased trading operations July 22, 2016
(4)Trading Company XXIX ceased trading operations January 29, 2016

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

F-86

The Trading Companies of the Frontier Fund
Statements of Cash Flows
For the Years Ended December 31, 2016, 2015 and 2014

  Frontier Trading  Frontier Trading  Frontier Trading 
  Company I, LLC  Company II, LLC  Company VII, LLC 
  2016  2015  2014  2016  2015  2014  2016  2015  2014 
                            
Cash Flows from Operating Activities                                    
Net increase (decrease) in members’ equity resulting from operations $3,853,996  $9,626,503  $18,165,908  $991,398  $3,942,397  $21,528,940  $4,700,375  $4,220,713  $(558,018)
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:                                    
Decrease (increase) in receivable from futures commission merchants  15,540,015   544,018   (6,262,089)  (5,252,127)  (1,893,306)  2,361,317   14,330,819   (7,636,501)  574,114 
Decrease (increase) in open trade equity, at fair value  517,791   2,376,408   (174,792)  (622,945)  2,873,705   848,009   (6,482,499)  9,951,838   (12,349,140)
Net unrealized (gain) loss on option/swap contracts  205,998   (87,257)  69,085            154,380   (77,725)   
(Decrease) increase in risk analysis fee payable  1,155         12,215                
Decrease (increase) in interest receivable           217   204   155          
(Decrease) increase in interest payable  (1,816)  (211)  (334)        (421)  (238)  68   6 
Net cash provided by (used in) operating activities  20,117,139   12,459,461   11,797,778   (4,871,242)  4,923,000   24,738,000   12,702,837   6,458,393   (3,794,871)
                                     
Cash Flows from Financing Activities                                    
Capital Contributed  175,068,296   152,936,600   157,856,619   173,832,267   32,277,000   12,312,000   20,283,579   54,479,000   37,505,000 
Capital Distributed  (195,185,435)  (165,396,061)  (169,654,397)  (168,961,025)  (37,200,000)  (37,050,000)  (32,986,416)  (60,937,393)  (33,710,129)
                                     
Net cash provided by (used in) financing activities  (20,117,139)  (12,459,461)  (11,797,778)  4,871,242   (4,923,000)  (24,738,000)  (12,702,837)  (6,458,393)  3,794,871 
                                     
Net change in cash and cash equivalents                           
Cash and cash equivalents, beginning of period                           
Cash and cash equivalents, end of period $  $  $  $  $  $  $  $  $ 
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XIV, LLC  Company XV, LLC  Company XXIII, LLC 
  2016  2015  2014  2016  2015  2014  2016  2015  2014 
                            
Cash Flows from Operating Activities                                    
Net increase (decrease) in members’ equity resulting from operations $1,046,799  $(985,611) $4,544,325  $2,149,396  $57,767  $2,877,056  $1,951,672  $836,116  $7,478,302 
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:                                    
Decrease (increase) in receivable from futures commission merchants  3,409,216   273,327   (859,653)  5,073,766   460,832   (484,173)  3,093,791   (462,427)  1,552,458 
Decrease (increase) in open trade equity, at fair value  34,484   990,384   (318,684)  (180,154)  1,196,577   5,197,268   (27,706)  921,311   (825,760)
Decrease (increase) in written options, at fair value                 (865,940)         
(Decrease) increase in risk analysis fee payable           2,303                
Decrease (increase) in interest receivable  211   (211)        68   657          
(Decrease) increase in interest payable     (389)  (988)  148   156   (68)         
Net cash provided by (used in) operating activities  4,490,710   277,500   3,365,000   7,045,459   1,715,400   6,724,800   5,017,757   1,295,000   8,205,000 
                                     
Cash Flows from Financing Activities                                    
                                  
Capital Contributed  3,205,916   7,272,500   21,580,000   7,771,910   975,100   23,175,200   8,295,740   17,805,000   3,895,000 
Capital Distributed  (7,696,626)  (7,550,000)  (24,945,000)  (14,817,369)  (2,690,500)  (29,900,000)  (13,313,497)  (19,100,000)  (12,100,000)
                                     
Net cash provided by (used in) financing activities  (4,490,710)  (277,500)  (3,365,000)  (7,045,753)  (1,715,400)  (6,724,800)  (5,017,757)  (1,295,000)  (8,205,000)
                                     
Net change in cash and cash equivalents                           
Cash and cash equivalents, beginning of period $  $     $  $     $  $    
Cash and cash equivalents, end of period $  $  $  $  $  $  $  $  $ 
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXIX, LLC  Company XXXIV, LLC  Company XXXV, LLC 
  2016  2015  2014  2016  2015  2014  2016  2015  2014 
                            
Cash Flows from Operating Activities                                    
Net increase (decrease) in members’ equity resulting from operations $134,424  $(1,588,899) $(598,455) $(218,073) $374,013  $5,912,879  $(48,003) $2,115,441  $3,132,777 
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:                                    
Decrease (increase) in receivable from futures commission merchants  1,014,896   931,466   (1,946,362)     687,693   (687,693)         
Decrease (increase) in open trade equity, at fair value  4,750   (284,591)  279,840                   
Net realized (gain) loss on swap contracts                           
Net unrealized (gain) loss on swap contracts           218,073   (910,567)  (8,120,787)  48,003   (2,115,441)  (3,132,777)
(Decrease) increase in interest payable     24   (23)     (602)  601          
Net cash provided by (used in) operating activities  1,154,070   (942,000)  (2,265,000)     150,537   (2,895,000)         
                                     
Cash Flows from Financing Activities                                    
(Decrease) increase in advance on unrealized swap appreciation           4,926,555         2,500,000       
Capital Contributed  2,207,000   4,042,000   2,265,000      11,282,015   25,645,000          
Capital Distributed  (3,361,070)  (3,100,000)     (4,926,555)  (11,432,552)  (22,750,000)  (2,500,000)      
                                     
Net cash provided by (used in) financing activities  (1,154,070)  942,000   2,265,000      (150,537)  2,895,000          
                                     
Net change in cash and cash equivalents                           
Cash and cash equivalents, beginning of period $  $     $  $     $  $    
Cash and cash equivalents, end of period $  $  $  $  $  $  $  $  $ 
                                     
  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXXVII, LLC  Company XXXVIII, LLC  Company XXXIX, LLC 
  2016  2015  2014  2016  2015  2014  2016  2015  2014 
                            
Cash Flows from Operating Activities                                    
Net increase (decrease) in members’ equity resulting from operations $(111,959) $(300,633) $1,176,515  $(2,413,347) $(3,624,988) $(741,848) $431,145  $419,803  $2,105,282 
Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:                                    
Decrease (increase) in receivable from futures commission merchants           2,670,015   274,677   415,299         3,500 
Decrease (increase) in open trade equity, at fair value           304,878   1,064,165   2,151,472          
Net unrealized (gain) loss on swap contracts  111,959   (699,367)  (1,176,515)           (431,145)  (419,803)  (2,108,782)
Purchase of Private Investment Companies           (8,800,000)               
Net unrealized gain/(loss) on private investment companies           (2,384,103)               
(Decrease) increase in interest payable           (198)  146   (175)         
Net cash provided by (used in) operating activities     (1,000,000)     (10,622,755)  (2,286,000)  1,824,748          
                                     
Cash Flows from Financing Activities                                    
(Decrease) increase in advance on unrealized swap appreciation  115,000                  1,900,000         
Capital Contributed     1,000,000      17,027,822   14,336,000   14,825,252          
Capital Distributed  (115,000)        (6,405,067)  (12,050,000)  (16,650,000)  (1,900,000)      
                                     
Net cash provided by (used in) financing activities     1,000,000      10,622,755   2,286,000   (1,824,748)         
                                     
Net change in cash and cash equivalents                           
Cash and cash equivalents, beginning of period $  $     $  $     $  $    
Cash and cash equivalents, end of period $  $  $  $  $  $  $  $  $ 

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

F-87

The Trading CompaniesTable of the Equinox Frontier FundsContents

Statements of Operations

For The Years Ended December 31, 2014, 2013 and 2012

   Frontier Trading
Company I, LLC
  Frontier Trading
Company II, LLC
  Frontier Trading
Company V, LLC
 
   12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment Income:

       

Interest-net

 $(22,159 $(33,683 $(123,912 $5,359   $13,793   $32,577   $—     $3,653   $22,221  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

  (22,159  (33,683  (123,912  5,359    13,793    32,577    —      3,653    22,221  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  17,664,613    1,556,190    (1,571,782  22,495,002    11,183,615    (1,541,945  —      5,910,215    (2,796,445

Net realized gain/(loss) on swap contracts

  —      (1,646,391  —      —      —      —      —      —      —    

Net change in open trade equity

  52,362    2,385,268    718,247    (848,009  2,821,855    (2,539,010  —      (1,311,171  (127,086

Net unrealized gain/(loss) on option / swap contracts

  1,132,570    498,761    78,977    —      —       —      —      —    

Trading commissions

  (661,478  (944,447  (2,189,786  (123,412  (137,713  (188,143  —      (54,478  490,085  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  18,188,067    1,849,381    (2,964,344  21,523,581    13,867,757    (4,269,098  —      4,544,566    (2,433,446
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $18,165,908   $1,815,698   $(3,088,256 $21,528,940   $13,881,550   $(4,236,521 $—     $4,548,219   $(2,411,225
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company VII, LLC
  Frontier Trading
Company IX, LLC
    
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012          

Investment Income:

       

Interest-net

 $(1,858 $(1,027 $217   $0   $—     $6,966     
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Total Income

  (1,858  (1,027  217    0    —      6,966     
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  147,793    (3,200,393  (28,094,277  —      —      (589,048   

Net realized gain/(loss) on swap contracts

  —      —      —      —      —      —       

Net change in open trade equity

  3,660,410    3,638,941    22,716,388    0    —      (444,768   

Net unrealized gain/(loss) on option / swap contracts

  (3,099,851  (3,862,115  —      0    —      —       

Trading commissions

  (1,264,512  (1,323,281  (1,759,517  0    —      (38,305   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Net gain/(loss) on investments

  (556,160  (4,746,848  (7,137,406  0    —      (1,072,121   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $(558,018 $(4,747,875 $(7,137,189 $—     $—     $(1,065,155   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    
  Frontier Trading
Company XIV, LLC
  Frontier Trading
Company XV, LLC
  Frontier Trading
Company XVII, LLC
 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment Income:

       

Interest-net

 $(16,316 $(28,719 $(173,840 $(2,617 $6,275   $(29,105 $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

  (16,316  (28,719  (173,840  (2,617  6,275    (29,105  —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  5,151,877    (25,933,929  36,295,498    4,680,757    (166,464  (8,553,374  —      —      —    

Net realized gain/(loss) on swap contracts

  —      —      —      —      —      —      —      (1,908,743  —    

Net change in open trade equity

  318,685    2,826,621    (1,881,488  (2,428,123  3,883,574    1,263,916    —      —      —    

Net unrealized gain/(loss) on option / swap contracts

  —      —      —      978,111    (478,500  —      —      1,746,256    (1,378,028

Trading commissions

  (909,921  (1,722,600  (2,086,635  (351,072  (489,648  (557,552  —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  4,560,641    (24,829,908  32,327,375    2,879,673    2,748,962    (7,847,010  —      (162,487  (1,378,028
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $4,544,325   $(24,858,627 $32,153,535   $2,877,056   $2,755,237   $(7,876,115 $—     $(162,487 $(1,378,028
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

The Trading Companies of the Equinox Frontier Funds

Statements of Operations

For The Years Ended December 31, 2014, 2013 and 2012

  Frontier Trading
Company XVIII, LLC
  Frontier Trading
Company XXI, LLC
  Frontier Trading
Company XXIII, LLC (3)
 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment Income:

       

Interest-net

 $—     $(2,700 $(12,785 $—     $—     $(34,702 $(12,365 $(12,167 $(20
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

  —      (2,700  (12,785  —      —      (34,702  (12,365  (12,167  (20
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  —      (742,638  647,731    —      —      1,823,712    6,829,347    (1,174,950  (2,308,312

Net realized gain/(loss) on swap contracts

  —      —      —      —      — ��    —      —      —      —    

Net change in open trade equity

  —      (85,660  (510,533  —      —      (792,373  825,760    (163,336  231,181  

Net unrealized gain/(loss) on option / swap contracts

  —      —      —      —      —      —      —      —      —    

Trading commissions

  —      (32,805  (131,094  —      —      (171,957  (164,440  (138,205  (133,532
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  —      (861,103  6,104    —      —      859,382    7,490,667    (1,476,491  (2,210,663
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $—     $(863,803 $(6,681 $—     $—     $824,680   $7,478,302   $(1,488,658 $(2,210,683
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company XXIX, LLC (1)
  Frontier Trading
Company XXXIV, LLC (2)
  Frontier Trading
Company XXXV, LLC (2)
 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment Income:

       

Interest-net

 $23   $—     $—     $(6,498 $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

  23    —      —      (6,498  —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  (310,258  —      —      (2,060,335  —      —      —      —      —    

Net realized gain/(loss) on swap contracts

  —      —      —      —      —      —      —      —      —    

Net change in open trade equity

  (279,840  —      —      —      —      —      —      —      —    

Net unrealized gain/(loss) on option / swap contracts

  —      —      —      8,120,786    526,168    —      3,132,777    37,632    —    

Trading commissions

  (8,380  —      —      (141,074  —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  (598,478  —      —      5,919,377    526,168    —      3,132,777    37,632    —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $(598,455 $—     $—     $5,912,879   $526,168   $—     $3,132,777   $37,632   $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company XXXVII, LLC (2)
  Frontier Trading
Company XXXVIII, LLC (2)
  Frontier Trading
Company XXXIX, LLC (2)
 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Investment Income:

       

Interest-net

 $—     $—     $—     $(2,576 $(430 $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

  —      —      —      (2,576  (430  —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investments:

         

Net realized gain/(loss) on futures, forwards, and options

  —      —      —      1,616,525    124,173    —      —      —      —    

Net realized gain/(loss) on swap contracts

  —      —      —      —      —      —      —      —      —    

Net change in open trade equity

  —      —      —      (2,151,473  3,520,288    —      —      —      —    

Net unrealized gain/(loss) on option / swap contracts

  1,176,515    (423,455  —      —      —      —      2,108,782    (561,316  —    

Trading commissions

  —      —      —      (204,324  (38,752  —      (3,500  (3,500  —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

  1,176,515    (423,455  —      (739,272  3,605,709    —      2,105,282    (564,816  —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS

 $1,176,515   $(423,455 $—     $(741,848 $3,605,279   $—     $2,105,282   $(564,816 $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
The Trading Companies of the Equinox Frontier Funds
Notes to Financial Statements

 

(1)Trading Companies XXIX commenced trading operations in November 2014.
(2)1.Trading Companies XXXIX, XXXIV, XXXV, XXXVII and XXXVIII commenced trading operations in March, July, July, August, and November 2013, respectively.
(3)Trading Company XXIII commenced trading operations in January 2012.

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

The Trading Companies of the Equinox Frontier Funds

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2014, 2013 and 2012

  Frontier Trading
Company I LLC
  Frontier Trading
Company II LLC
  Frontier Trading
Company V, LLC
 

Members’ Equity, December 31, 2011

 $61,911,024   $17,314,000   $20,857,183  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  211,564,017    18,150,000    7,900,000  

Capital Distributed

  (208,116,721  (9,200,000  (10,300,000

Net Increase in Members’ Equity Resulting From Operations

  (3,088,256  (4,236,521  (2,411,225
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2012

  62,270,064    22,027,479    16,045,958  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  117,509,825    10,125,000    16,155,594  

Capital Distributed

  (161,984,012  (28,500,000  (36,749,771

Net Increase in Members’ Equity Resulting From Operations

  1,815,698    13,881,550    4,548,219  
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2013

  19,611,575    17,534,029    —    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  157,856,619    12,312,000    —    

Capital Distributed

  (169,654,397  (37,050,000  —    

Net Increase in Members’ Equity Resulting From Operations

  18,165,908    21,528,940    —    
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2014

 $25,979,705   $14,324,969   $—    
 

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company VII, LLC
  Frontier Trading
Company IX, LLC
  Frontier Trading
Company XIV, LLC
 

Members’ Equity, December 31, 2011

 $21,887,343   $5,212,171   $11,920,274  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  124,718,567    1,494,695    187,634,901  

Capital Distributed

  (128,618,151  (5,641,711  (188,562,386

Net Increase in Members’ Equity Resulting From Operations

  (7,137,189  (1,065,155  32,153,535  
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2012

  10,850,570    —      43,146,324  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  31,750,000    —      85,030,000  

Capital Distributed

  (30,849,406  —      (99,790,000

Net Increase in Members’ Equity Resulting From Operations

  (4,747,875  —      (24,858,627
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2013

  7,003,289    —      3,527,697  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  37,505,000    —      21,580,000  

Capital Distributed

  (33,710,129  —      (24,945,000

Net Increase in Members’ Equity Resulting From Operations

  (558,018  0    4,544,325  
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2014

 $10,240,142   $0   $4,707,022  
 

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company XV, LLC
  Frontier Trading
Company XVII, LLC
  Frontier Trading
Company XVIII, LLC
 

Members’ Equity, December 31, 2011

 $15,757,612   $5,881,772   $7,406,279  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  59,425,493    —      12,195,284  

Capital Distributed

  (53,662,213  —      (17,422,704

Net Increase in Members’ Equity Resulting From Operations

  (7,876,115  (1,378,028  (6,681
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2012

  13,644,777    4,503,744    2,172,178  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  28,730,000    1,922,241    1,060,000  

Capital Distributed

  (25,881,300  (6,263,498  (1,800,000

Net Increase in Members’ Equity Resulting From Operations

  2,755,237    (162,487  (863,803
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2013

  19,248,714    —      568,375  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  23,175,200    —      —    

Capital Distributed

  (29,900,000  —      (568,375

Net Increase in Members’ Equity Resulting From Operations

  2,877,056    —      —    
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2014

 $15,400,970   $—     $—    
 

 

 

  

 

 

  

 

 

 

The Trading Companies of the Equinox Frontier Funds

Statements of Changes in Members’ Equity

For the Years Ended December 31, 2014, 2013 and 2012

  Frontier Trading
Company XXI, LLC
  Frontier Trading
Company XXIII, LLC (3)
  Frontier Trading
Company XXIX, LLC (1)
 

Members’ Equity, December 31, 2011

 $5,900,158   $—     $—    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  22,919,497    13,937,606    —    

Capital Distributed

  (29,644,335  (8,151,859  —    

Net Increase in Members’ Equity Resulting From Operations

  824,680    (2,210,683  —    
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2012

  —      3,575,064    —    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  —      15,389,995    —    

Capital Distributed

  —      (13,224,734  —    

Net Increase in Members’ Equity Resulting From Operations

  —      (1,488,658  —    
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2013

  —      4,251,667    —    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  —      3,895,000    2,265,000  

Capital Distributed

  —      (12,100,000  —    

Net Increase in Members’ Equity Resulting From Operations

  —      7,478,302    (598,455
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2014

 $—     $3,524,969   $1,666,545  
 

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company  XXXIV, LLC (2)
  Frontier Trading
Company  XXXV, LLC (2)
  Frontier Trading
Company XXXVII, LLC (2)
 

Members’ Equity, December 31, 2011

 $—     $—     $—    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  —      —      —    

Capital Distributed

  —      —      —    

Net Increase in Members’ Equity Resulting From Operations

  —      —      —    
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2012

  —      —      —    
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  9,600,000    3,400,000    2,880,000  

Capital Distributed

  —      —      —    

Net Increase in Members’ Equity Resulting From Operations

  526,168    37,632    (423,455
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2013

  10,126,168    3,437,632    2,456,545  
 

 

 

  

 

 

  

 

 

 

Capital Contributed

  25,645,000    —      —    

Capital Distributed

  (22,750,000  —      —    

Net Increase in Members’ Equity Resulting From Operations

  5,912,879    3,132,777    1,176,515  
 

 

 

  

 

 

  

 

 

 

Members’ Equity, December 31, 2014

 $18,934,047   $6,570,409   $3,633,060  
 

 

 

  

 

 

  

 

 

 
  Frontier Trading
Company XXXVIII, LLC (2)
  Frontier Trading
Company XXXIX, LLC (2)
    

Members’ Equity, December 31, 2011

 $—     $—     
 

 

 

  

 

 

  

Capital Contributed

  —      —     

Capital Distributed

  —      —     

Net Increase in Members’ Equity Resulting From Operations

  —      —     
 

 

 

  

 

 

  

Members’ Equity, December 31, 2012

  —      —     
 

 

 

  

 

 

  

Capital Contributed

  9,475,000    6,000,000   

Capital Distributed

  (6,200,000  —     

Net Increase in Members’ Equity Resulting From Operations

  3,605,279    (564,816 
 

 

 

  

 

 

  

Members’ Equity, December 31, 2013

  6,880,279    5,435,184   
 

 

 

  

 

 

  

Capital Contributed

  14,825,252    —     

Capital Distributed

  (16,650,000  —     

Net Increase in Members’ Equity Resulting From Operations

  (741,848  2,105,282   
 

 

 

  

 

 

  

Members’ Equity, December 31, 2014

 $4,313,683   $7,540,466   
 

 

 

  

 

 

  

(1)Trading Companies XXIX commenced trading operations in November 2014.
(2)Trading Companies XXXIX, XXXIV, XXXV, XXXVII and XXXVIII commenced trading operations in March, July, July, August, and November 2013, respectively.
(3)Trading Company XXIII commenced trading operations in January 2012.

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

The Trading Companies of Equinox Frontier Funds

Statements of Cash Flows

For the Years Ended December 31, 2014, 2013 and 2012

  Frontier Trading
Company  I, LLC
  Frontier Trading
Company II, LLC
  Frontier Trading
Company V, LLC
 
  2014  2013  2012  2014  2013  2012  2014  2013  2012 

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $18,165,908   $1,815,698   $(3,088,256 $21,528,940   $13,881,550   $(4,236,521 $—     $4,548,219   $(2,411,225

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  (6,262,089  26,970,385    913,387    2,361,317    7,312,578    (7,244,094  —      14,732,606    4,686,320  

Decrease (increase) in open trade equity, at fair value

  (52,362  (2,385,268  (1,038,497  848,009    (2,821,855  2,539,010    —      1,311,171    127,086  

Decrease (increase) in options purchased, at fair value

  (122,430  273,187    117,460    —      —      4,360    —      —      —    

Net realized (gain) loss on swap contracts

  —      1,646,391    —      —      —      (9,873  —      —      —    

Decrease (increase) in options written, at
fair value

  69,085    18,569    (278,892  —      —      —      —      —      —    

Sales of swap contracts

  —      16,353,608    —      —      —      —      —      —      —    

Net unrealized (gain) loss on option/swap contracts

  —      (214,265  (78,977  —      —      (2,882  —      —      —    

Decrease (increase) in interest receivable

  —      —      6,479    155    2,727    —      —      —      (2,181

(Decrease) increase in interest payable

  (334  (4,118  —      (421  —      —      —      2,181    —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  11,797,778    44,474,187    (3,447,296  24,738,000    18,375,000    (8,950,000  —      20,594,177    2,400,000  

Cash Flows from Financing Activities

         

Capital Contributed

  157,856,619    117,509,825    211,564,017    12,312,000    10,125,000    18,150,000    —      16,155,594    7,900,000  

Capital Distributed

  (169,654,397  (161,984,012  (208,116,721  (37,050,000  (28,500,000  (9,200,000  —      (36,749,771  (10,300,000
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  (11,797,778  (44,474,187  3,447,296    (24,738,000  (18,375,000  8,950,000    —      (20,594,177  (2,400,000
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in cash and cash equivalents

  —      —      —      —      —      —      —      —      —    

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —     $—     $—      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company  VII, LLC
  Frontier Trading
Company  IX, LLC
   
  2014  2013  2012  2014  2013  2012       

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $(558,018 $(4,747,875 $(7,137,189 $—     $—     $(1,065,155   

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  574,114    5,416,124    32,236,145    —      —      4,767,402     

Decrease (increase) in open trade equity, at fair value

  (3,660,408  (3,638,941  (19,227,142  —      —      444,769     

Decrease (increase) in options purchased, at fair value

  (8,688,732  2,802,580    (2,901,320  —      —      —       

Decrease (increase) in written options, at fair value

  8,538,167    (732,546  928,690    —      —      —       

Net realized (gain) loss on swap contracts

  —      —      —      —      —      —       

(Purchases) of swap contracts

  —      —      —      —      —      —       

Sales of swap contracts

  —      —      —      —      —      —       

Net unrealized (gain) loss on swap contracts

  —      —      —      —      —      —       

Decrease (increase) in interest receivable

  —      —      —      —      —      —       

(Decrease) increase in interest payable

  6    64    100    —      —      —       
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Net cash provided by (used in) operating activities

  (3,794,871  (900,594  3,899,584    —      —      4,147,016     

Cash Flows from Financing Activities

         

Capital Contributed

  37,505,000    31,750,000    124,718,567    —      —      1,494,695     

Capital Distributed

  (33,710,129  (30,849,406  (128,618,151  —      —      (5,641,711   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Net cash provided by (used in) financing activities

  3,794,871    900,594    (3,899,584  —      —      (4,147,016   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Net change in cash and cash equivalents

  —      —      —      —      —      —       

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —       
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—       
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

    

  Frontier Trading
Company XIV, LLC
  Frontier Trading
Company XV, LLC
  Frontier Trading
Company XVII, LLC (3)
 
  2014  2013  2012  2014  2013  2012  2014  2013  2012 

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $4,544,325   $(24,858,627 $32,153,535   $2,877,056   $2,755,237   $(7,876,115 $—     $(162,487 $(1,378,028

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  (859,653  42,452,595    (33,116,262  (484,173  (7,303,863  679,041    —      —      —    

Decrease (increase) in open trade equity, at fair value

  (318,684  (2,826,621  1,881,488    5,197,268    (3,883,574  431,207    —      —      —    

Decrease (increase) in options purchased, at fair value

  —      —      —      —      7,825,475    777,527    —      —      —    

Decrease (increase) in written options, at fair value

  —      —      —      (865,940  (2,239,204  222,946    —      —      —    

Net realized (gain) loss on swap contracts

  —      —      —      —      —      —      —      1,908,743    —    

(Purchases) of swap contracts

  —      —      —      —      —      —      —      —      —    

Sales of swap contracts

  —      —      —      —      —      —      —      4,341,257    1,378,028  

Net unrealized (gain) loss on swap contracts

  —      —      —      —      —      —      —      (1,746,256  —    

Decrease (increase) in interest receivable

  —      —      —      657    (657  —      —      —      —    

(Decrease) increase in interest payable

  (988  (7,347  8,724    (68  (2,114  2,114    —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  3,365,000    14,760,000    927,485    6,724,800    (2,848,700  (5,763,280  —      4,341,257    —    

Cash Flows from Financing Activities

         

Capital Contributed

  21,580,000    85,030,000    187,634,901    23,175,200    28,730,000    59,425,493    —      1,922,241    —    

Capital Distributed

  (24,945,000  (99,790,000  (188,562,386  (29,900,000  (25,881,300  (53,662,213  —      (6,263,498  —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  (3,365,000  (14,760,000  (927,485  (6,724,800  2,848,700    5,763,280    —      (4,341,257  —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in cash and cash equivalents

  —      —      —      —      —      —      —      —      —    

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —     $—     $—      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company XVIII, LLC
  Frontier Trading
Company XXI, LLC
  Frontier Trading
Company XXIII, LLC (3)
 
  2014  2013  2012  2014  2013  2012  2014  2013  2012 

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $—     $(863,803 $(6,681 $—     $—     $824,680   $7,478,302   $(1,488,658 $(2,210,683

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  568,376    1,518,650    4,723,060    —      —      5,107,786    1,552,458    (839,932  (3,343,890

Decrease (increase) in open trade equity, at fair value

  —      85,660    510,533    —      —      792,372    (825,760  163,336    (231,181

Decrease (increase) in written options, at fair value

  —      —      —      —      —      —      —      —      —    

Net realized (gain) loss on swap contracts

  —      —      —      —      —      —      —      —      —    

(Purchases) of swap contracts

  —      —      —      —      —      —      —      —      —    

Sales of swap contracts

  —      —      —      —      —      —      —      —      —    

Net unrealized (gain) loss on swap contracts

  —      —      —      —      —      —      —      —      —    

Decrease (increase) in interest receivable

  —      —      —      —      —      —      —      —      —    

(Decrease) increase in interest payable

  —      (507  508    —      —      —      —      (7  7  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  568,376    740,000    5,227,420    —      —      6,724,838    8,205,000    (2,165,261  (5,785,747

Cash Flows from Financing Activities

         

Capital Contributed

  —      1,060,000    12,195,284    —      —      22,919,497    3,895,000    15,389,995    13,937,606  

Capital Distributed

  (568,376  (1,800,000  (17,422,704  —      —      (29,644,335  (12,100,000  (13,224,734  (8,151,859
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  (568,376  (740,000  (5,227,420  —      —      (6,724,838  (8,205,000  2,165,261    5,785,747  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in cash and cash equivalents

  —      —      —      —      —      —      —      —      —    

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —     $—     $—      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company XXIX, LLC (1)
  Frontier Trading
Company XXXIV, LLC (2)
  Frontier Trading
Company XXXV, LLC (2)
 
  2014  2013  2012  2014  2013  2012  2014  2013  2012 

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $(598,455 $—     $—     $5,912,879   $526,168   $—     $3,132,777   $37,632   $—    

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  (1,946,362  —      —      (687,693  —      —      —      —      —    

Decrease (increase) in open trade equity, at fair value

  279,840    —      —      —      —      —      —      —      —    

Decrease (increase) in written options, at fair value

  —      —      —      —      —      —      —      —      —    

Net realized (gain) loss on swap contracts

  —      —      —      (8,120,787  (526,168  —      (3,132,777  (37,632  —    

(Purchases) of swap contracts

  —      —      —      —      (9,600,000  —      —      (3,400,000  —    

Sales of swap contracts

  —      —      —      —      —      —      —      —      —    

Net unrealized (gain) loss on swap contracts

  —      —      —      —      —      —      —      —      —    

Decrease (increase) in interest receivable

  —      —      —      —      —      —      —      —      —    

(Decrease) increase in interest payable

  (23  —      —      601    —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  (2,265,000  —      —      (2,895,000  (9,600,000  —      —      (3,400,000  —    

Cash Flows from Financing Activities

         

Capital Contributed

  2,265,000    —      —      25,645,000    9,600,000    —      —      3,400,000    —    

Capital Distributed

  —      —      —      (22,750,000  —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  2,265,000    —      —      2,895,000    9,600,000    —      —      3,400,000    —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in cash and cash equivalents

  —      —      —      —      —      —      —      —      —    

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —     $—     $—      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

  Frontier Trading
Company XXXVII, LLC (2)
  Frontier Trading
Company XXXVIII, LLC (2)
  Frontier Trading
Company XXXIX, LLC (2)
 
  2014  2013  2012  2014  2013  2012  2014  2013  2012 

Cash Flows from Operating Activities

         

Net increase (decrease) in members’ equity resulting from operations

 $1,176,515   $(423,455 $—     $(741,848 $3,605,279   $—     $2,105,282   $(564,816 $—    

Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities:

         

Decrease (increase) in receivable from futures commission merchants

  —      —      —      415,299    (3,359,991  —      3,500    —      —    

Decrease (increase) in open trade equity, at fair value

  —      —      —      2,151,472    (3,520,288  —      —      —      —    

Decrease (increase) in written options, at fair value

  —      —      —      —      —      —      —      —      —    

Net realized (gain) loss on swap contracts

  (1,176,515  423,455    —      —      —      —      (2,108,782  561,316    —    

(Purchases) of swap contracts

  —      (2,880,000  —      —      —      —      —      (5,996,500  —    

Sales of swap contracts

  —      —      —      —      —      —      —      —      —    

Net unrealized (gain) loss on swap contracts

  —      —      —      —      —      —      —      —      —    

Decrease (increase) in interest receivable

  —      —      —      —      —      —      —      —      —    

(Decrease) increase in interest payable

  —      —      —      (175  —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

  —      (2,880,000  —      1,824,748    (3,275,000  —      —      (6,000,000  —    

Cash Flows from Financing Activities

         

Capital Contributed

  —      2,880,000    —      14,825,252    9,475,000    —      —      6,000,000    —    

Capital Distributed

  —      —      —      (16,650,000  (6,200,000  —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

  —      2,880,000    —      (1,824,748  3,275,000    —      —      6,000,000    —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in cash and cash equivalents

  —      —      —      —      —      —      —      —      —    

Cash and cash equivalents, beginning of period

 $—     $—      —     $—     $—      —     $—     $—      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Cash and cash equivalents, end of period

 $—     $—     $—     $—     $—     $—     $—     $—     $—    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

(1)Trading Companies XXIX commenced trading operations in November 2014.
(2)Trading Companies XXXIX, XXXIV, XXXV, XXXVII and XXXVIII commenced trading operations in March, July, July, August, and November 2013, respectively.
(3)Trading Company XXIII commenced trading operations in January 2012.

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

The Trading Companies of the Equinox Frontier Funds

Notes to Financial Statements

1. Organization and Purpose

These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, Frontier Trading Company V, LLC, Frontier Trading Company VII LLC, Frontier Trading Company IX LLC Frontier Trading Company XIV, LLC,, Frontier Trading Company XV LLC, Frontier Trading Company XVII, LLC,XXIII, Frontier Trading Company XVIII, LLC, Frontier Trading Company XXI, LLC, Frontier Trading Company XXIII, LLC, , Frontier Trading Company XXIX, LLC Frontier Trading Company XXXIV, LLC, Frontier Trading Company XXXV LLC, Frontier Trading Company XXXVII, LLC, Frontier Trading Company XXXVIII, LLC, and Frontier Trading Company XXXIX, LLC (the “Trading Companies”).

Equinox Frontier Funds (the “Trust”), was formed as a Delaware statutory trust on August 8, 2003, with separate Series of Units (the “Series”). Its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances). The Trust is a multi-advisor commodity pool as described in Commodity Futures Trading Commission, or CFTC Regulation § 4.10(d)(2).

All capital of the Trading Companies is provided by the Series and there are no other investors in the Trading Companies.

Each Trading Company authorizes certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized for the purpose of investing in securities and derivative instruments, and have no operating income or expenses, except for trading income and expenses.

Trading Companies engage in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies) and options contracts and other derivative instruments (including swap contracts) and may, from time to time, engage in cash and spot transactions. A brief description of the Trading Company’s main types of investments is set forth below:

 

A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place.

A futures contract is a standardized contract traded on an exchange that calls for the future delivery of a specified quantity of a commodity at a specified time and place. Exposure to futures contracts is done directly by the trading companies or indirectly through an investment in a Private Investment Company that trades futures.

 

A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

A forward contract is an individually negotiated contract between principals, not traded on an exchange, to buy or sell a specified quantity of a commodity at or before a specified date at a specified price.

 

An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

An option on a futures contract, forward contract or a commodity gives the buyer of the option the right, but not the obligation, to buy or sell a futures contract, forward contract or a commodity, as applicable, at a specified price on or before a specified date. Options on futures contracts are standardized contracts traded on an exchange, while options on forward contracts and commodities, referred to collectively as over-the-counter options, generally are individually negotiated, principal-to-principal contracts not traded on an exchange.

 

A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

A swap contract generally involves an exchange of a stream of payments between the contracting parties. Swap contracts generally are not uniform and not exchange-traded.

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

2.2. Significant Accounting Policies

The following are the significant accounting policies of the Trading Companies.

Basis of Presentation—The Trading Companies follow Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows.

Receivable from Futures Commission Merchants—The Trading Companies deposit assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trading Companies earn interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $2,631,477 for the Frontier Trading Company I LLC, $3,623,496 for the Frontier Trading Company XV LLC, and $14,604,203 for the Frontier Trading Company II LLC.

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

Investment Transactions—Futures,options on futures, forward and forwardswap 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 Statementstatements of Operationsfinancial condition as a Net change in 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 Statementsstatements of Operations.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.

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

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

Investments and Swaps—The Trading Companies record investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. The Trading Companies strategically invest a portion or all of their assets in total return Swaps,swaps, selected at the discretion of management. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical Swap,swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investment or instrument. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported utilizing Level 3 Inputs. The significant unobservable inputs used in the fair value measurement of the Trust’s Swapswap contracts are asset liquidity, debt valuation, credit risk, volatility, market risk, distributions, dividends, risk premiums, and other risk management tools. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Swap Contracts are reported at fair value based upon a weekly indicative value that is calculated by management using bid/ask prices from the counterparty. This fair value is corroborated by valuations provided by a third party pricing service. The third party pricing service

utilizes a Black Scholes pricing model with input adjustments factoring in volatility and liquidity of the instruments. All valuation processes are monitored by the valuation committee.

Income Taxes—The Trading Companies apply the provisions of ASC 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trading Companies’ financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trading Company level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has concluded there is no tax expense, interest or penalties to be recorded by the Trading Companies. The 20112013 through 20142016 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Fees and Expenses—The Trading Companies incur no expenses other than trading commissions resulting from normal trading activity. All operating expenses such as legal, accounting, etc. are paid for, without reimbursement, by Equinox Fund Management, LLC, the Managing Owner of the Trust.

Recently Adopted Accounting PronouncementsPronouncement—In June of 2013,May 2015, the FASB issued ASU 2013-08No. 2015-07, “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).” ASU No. 2015-07 removes the requirement to (i) modify Topic 946include investments in the fair value hierarchy for determining whether an entitywhich the fair value is an investment company; (ii) updatemeasured at NAV using the measurement requirements for noncontrolling interests in other investment companies;practical expedient under “Fair Value Measurements and (iii) require additional disclosures for investment companies under GAAP. This guidanceDisclosures (Topic 820).” ASU No. 2015-07 is effective for annual and interimreporting periods beginning on or after December 15, 2013. An entity should provide2015, including interim periods within that reporting period. ASU No. 2015-07 is required to be applied retrospectively to all periods presented beginning in the year of adoption. ASU No. 2015-07 only impacts the Trading Company’s disclosures, required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance diddoes not have a material impact onaffect the Trading Company’s financial positions orcondition, results of operations.operations, or cash flows.

Reclassification—Certain amounts in the 2013 financial statements have been reclassified to conform with the 2014 presentation. NoneF-89

Table of the reclasses had an impact on the net asset value or performance of the Trading Companies.Contents

Subsequent Events—The Trading Companies follow the provisions of FASB ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 9.

3.3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

Swap ContractsContracts.. Certain Trading CompaniesSeries of the Trust strategically invest a portion or all of their assets in total return Swaps,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,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. Swap contracts are reported at fair value basis upon daily reports from the counterparty. In addition, a third party takes receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The Managing Owner valuesfair value measurements of the investments of based on the CTA’s estimated position information on a same-trading day basis.swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is usedas well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to determine a daily fair value NAV for the swap contracts. The fair value is corroborated through the use of a third party pricing service (“pricing service”). The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of a third party pricing service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the Valuation Committee charted by the Executive Committee of the Trust, engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The Valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and its’ subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value toValuation Committee for evaluation and resolution.

Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the committee. The valuation committee reports to both the Managing Owner’s Investment Oversight and Risk Committee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee monitors daily pricingnet asset values provided by the swap counterpartyunderlying Private Investment Companies as a practical expedient. The Fund applies the practical expedient to its investments in Private Investment Companies on an investment-by-investment basis, and daily valuation provided byconsistently with the third party pricing service to ensureFund’s entire position in a particular investment, unless it is probable that the changeFund will sell a portion of an investment at an amount different from the net asset value of the investment. Management has adopted Accounting Standards Update (“ASU”) ASU 2015-07,Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)— a consensus of the Emerging Issues Task Force issued, on May 1, 2015. The guidance in this standard was effective for interim and annual periods beginning after December 15, 2015. In accordance with Subtopic 820-10, certain investments that are measured at fair value is reasonable and valuations areusing the net asset value per share (or its equivalent) have not been classified in accordance with current regulations and best practices. The committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.fair value hierarchy below.

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The following table summarizes the instruments that comprise the Trading Companies financial asset portfolio measured at fair value on a recurring basis as of December 31, 20142016 and 2013,2015, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

 

        Total 

December 31, 2014

 Level 1 Inputs Level 2 Inputs Level 3 Inputs Total
Fair Value
 
December 31, 2016 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value 
         

Frontier Trading Company I LLC

                    

Open Trade Equity (Deficit)

 $3,171,968   $43,237   $—     $3,215,205   $288,647  $(50,986) $  $237,661 

Options Purchased

  —      288,413    —      288,413  

Options Written

  —      (253,017  —      (253,017

Frontier Trading Company II LLC

                    

Open Trade Equity (Deficit)

 $4,029,156   $(555,872  —      3,473,284    1,123,666   98,858      1,222,524 

Frontier Trading Company VII LLC

    

Open Trade Equity (Deficit)

  3,469,339    —      —      3,469,339  

Options Purchased

  —      8,787,472    —      8,787,472  

Options Written

  —      (8,710,817  —      (8,710,817

Frontier Trading Company XIV, LLC

    

Open Trade Equity (Deficit)

  1,341,051    (316,183  —      1,024,868  

Frontier Trading Company XV, LLC

                    

Open Trade Equity (Deficit)

  1,658,917    —      —      1,658,917  

Frontier Trading Company XXIII, LLC

    

Open Trade Equity (Deficit)

  893,605    —      —      893,605  

Frontier Trading Company XXIX, LLC

    

Open Trade Equity (Deficit)

  (279,840  —      —      (279,840  635,782   6,712      642,494 

Frontier Trading Company XXXIV, LLC

                    

Swap Contracts

  —      —      18,246,955    18,246,955          18,939,450   18,939,450 

Frontier Trading Company XXXV, LLC

                    

Swap Contracts

  —      —      6,570,409    6,570,409          8,637,847   8,637,847 

Frontier Trading Company XXXVII, LLC

                    

Swap Contracts

  —      —      3,633,060    3,633,060          4,220,468   4,220,468 

Frontier Trading Company XXXVIII, LLC

                    

Open Trade Equity (Deficit)

  1,369,043    —      —      1,369,043  
Private Investment Companies     11,183,404      11,183,404 

Frontier Trading Company XXXIX, LLC

                    

Swap Contracts

  —      —      7,543,966    7,543,966          8,391,414   8,391,414 

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December 31, 2013

 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Total Fair
Value
 

Frontier Trading Company I LLC

    

Open Trade Equity (Deficit)

 $3,162,843   $—     $—     $3,162,843  

Options Purchased

  —      165,983    —      165,983  

Options Written

  —      (183,932  —      (183,932

Frontier Trading Company II LLC

    

Open Trade Equity (Deficit)

  4,302,702    18,591    —      4,321,293  

Frontier Trading Company VII LLC

    

Open Trade Equity (Deficit)

  (191,069  —      —      (191,069

Options Purchased

  —      98,740    —      98,740  

Options Written

  —      (172,650  —      (172,650

Frontier Trading Company XIV, LLC

    

Open Trade Equity (Deficit)

  246,639    459,545    —      706,184  

Frontier Trading Company XV, LLC

    

Open Trade Equity (Deficit)

  3,317,215    769,823    —      4,087,038  

Options Purchased

  —      2,769,147    —      2,769,147  

Options Written

  —      (865,940  —      (865,940

Frontier Trading Company XXIII, LLC

    

Open Trade Equity (Deficit)

  67,845    —      —      67,845  

Frontier Trading Company XXXIV, LLC

    

Swap Contracts

  —      —      10,126,168    10,126,168  

Frontier Trading Company XXXIX, LLC

    

Swap Contracts

  —      —      5,435,184    5,435,184  

Frontier Trading Company XXXV, LLC

    

Swap Contracts

  —      —      3,437,632    3,437,632  

Frontier Trading Company XXXVII, LLC

    

Swap Contracts

  —      —      2,456,545    2,456,545  

Frontier Trading Company XXXVIII, LLC

    

Open Trade Equity (Deficit)

  3,520,515    —      —      3,520,515  
Table of Contents

           Total 
December 31, 2015 Level 1 Inputs  Level 2 Inputs  Level 3 Inputs  Fair Value 
             
Frontier Trading Company I LLC                
Open Trade Equity (Deficit) $755,452  $  $  $755,452 
Options Purchased     371,758      371,758 
Options Written     (165,760)     (165,760)
Frontier Trading Company II LLC                
Open Trade Equity (Deficit)  599,579         599,579 
Frontier Trading Company VII LLC                
Open Trade Equity (Deficit)  (6,482,499)        (6,482,499)
Options Purchased     154,380      154,380 
Frontier Trading Company XIV, LLC                
Open Trade Equity (Deficit)  34,848         34,848 
Frontier Trading Company XV, LLC                
Open Trade Equity (Deficit)  462,340         462,340 
Frontier Trading Company XXIII, LLC                
Open Trade Equity (Deficit)  (27,706)        (27,706)
Frontier Trading Company XXIX, LLC                
Open Trade Equity (Deficit)  4,750         4,750 
Frontier Trading Company XXXIV, LLC                
Swap Contracts        19,157,522   19,157,522 
Frontier Trading Company XXXIX, LLC                
Swap Contracts        7,960,269   7,960,269 
Frontier Trading Company XXXV, LLC                
Swap Contracts        8,685,850   8,685,850 
Frontier Trading Company XXXVII, LLC                
Swap Contracts        4,332,427   4,332,427 
Frontier Trading Company XXXVIII, LLC                
Open Trade Equity (Deficit)  304,878         304,878 

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The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap Contract asset gains and losses (realized/unrealized) included in earnings are classified in “net realized and unrealized gain/(loss) on investments—net realized and unrealized gain/(loss) on swap contracts” on the statements of operations. During the yearyears ended December 31, 2014,2016 and 2015, all identified level three assets are components of the Frontier Trading Company XXXIV, XXXV, XXXVII, and XXXIX LLC. DuringXXXIX.

  Frontier Trading Company  Frontier Trading Company 
  XXXIV LLC  XXXIX, LLC 
  For The Year Ending  For The Year Ending 
  December 31, 2016  December 31, 2016 
Balance of recurring Level 3 assets as of December 31, 2015 $19,157,522  $7,960,269 
Total gains or losses (realized/unrealized):        
Included in earnings-realized      
Included in earnings-unrealized  (218,073)  431,145 
Purchases, sales, issuances, and settlements, net      
Transfers in and/or out of Level 3      
         
Balance of recurring Level 3 assets as of December 31, 2016 $18,939,449  $8,391,414 

  Frontier Trading Company  Frontier Trading Company 
  XXXV LLC  XXXVII, LLC 
  For The Year Ending  For The Year Ending 
  December 31, 2016    December 31, 2016 
Balance of recurring Level 3 assets as of December 31, 2015 $8,685,850  $4,332,427 
Total gains or losses (realized/unrealized):        
Included in earnings-realized      
Included in earnings-unrealized  (48,003)  (111,959)
Purchases, sales, issuances, and settlements, net      
Transfers in and/or out of Level 3      
         
Balance of recurring Level 3 assets as of December 31, 2016 $8,637,847  $4,220,468 

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  Frontier Trading Company  Frontier Trading Company 
  XXXIV LLC    XXXIX, LLC 
  For The Year Ending    For The Year Ending 
  December 31, 2015  December 31, 2015 
Balance of recurring Level 3 assets as of January 1, 2015 $18,246,955  $7,540,466 
Total gains or losses (realized/unrealized):        
Included in earnings-realized      
Included in earnings-unrealized  910,567   419,803 
Included in other comprehensive income      
Purchases, sales, issuances, and settlements, net      
Transfers in and/or out of Level 3      
         
Balance of recurring Level 3 assets as of December 31, 2015 $19,157,522  $7,960,269 

  Frontier Trading Company  Frontier Trading Company 
  XXXV LLC  XXXVII, LLC 
  For The Year Ending    For The Year Ending 
  December 31, 2015  December 31, 2015 
Balance of recurring Level 3 assets as of January 1, 2015 $6,570,409  $3,633,060 
Total gains or losses (realized/unrealized):        
Included in earnings-realized      
Included in earnings-unrealized  2,115,441   (300,633)
Included in other comprehensive income      
Purchases, sales, issuances, and settlements, net     1,000,000 
Transfers in and/or out of Level 3      
         
Balance of recurring Level 3 assets as of December 31, 2015 $8,685,850  $4,332,427 

The total change in unrealized appreciation (depreciation) included in the year endedstatements of operations attributable to level 3 investments still held at December 31, 2013, all identified2016:

  Frontier Trading   Frontier Trading    Frontier Trading    Frontier Trading 
  Company XXXV LLC  Company XXXVII LLC  Company XXXIV LLC  Company XXXIX LLC 
Swaps $(48,002) $(111,960) $(218,070) $431,146 

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level three assets are components3 investments still held at December 31, 2015:

  Frontier Trading   Frontier Trading    Frontier Trading    Frontier Trading 
  Company XXXV LLC  Company XXXVII LLC  Company XXXIV LLC  Company XXXIX LLC 
Swaps $2,115,441  $(300,633) $(910,566) $419,803 

The total change in unrealized appreciation (depreciation) included in the statements of the Frontier Trading Company I, XVII, XXXIV, XXXV, XXXVII, and XXXIX LLC.operations attributable to level 3 investments still held at December 31, 2014:

Swap Contracts

  Frontier Trading Company
XXXIV LLC

For The Year Ending
December 31, 2014
   Frontier Trading Company
XXXIX, LLC

For The Year Ending
December 31, 2014
 

Balance of recurring Level 3 assets as of January 1, 2014

  $10,126,168    $5,435,184  

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   8,120,787     2,108,782  

Included in other comprehensive income

   —       —    

Purchases, sales, issuances, and settlements, net

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

 

   

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $18,246,955    $7,543,966  
  

 

 

   

 

 

 

 

    Frontier Trading Company
XXXV LLC

For The Year Ending
December 31, 2014
   Frontier Trading Company
XXXVII, LLC

For The Year Ending
December 31, 2014
 

Balance of recurring Level 3 assets as of January 1, 2014

  $3,437,632    $2,456,545  

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   3,132,777     1,176,515  

Included in other comprehensive income

   —       —    

Purchases, sales, issuances, and settlements, net

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

 

   

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $6,570,409    $3,633,060  
  

 

 

   

 

 

 
  Frontier Trading   Frontier Trading    Frontier Trading    Frontier Trading 
  Company XXXV LLC  Company XXXVII LLC  Company XXXIV LLC  Company XXXIX LLC 
Swaps $3,132,776  $1,176,514  $8,120,996  $2,105,281 

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Swap Contracts

  Frontier Trading Company
I LLC

For The Year Ending
December 31, 2013
  Frontier Trading Company
XVII, LLC

For The Year Ending
December 31, 2013
 

Balance of recurring Level 3 assets as of January 1, 2013

  $17,785,734   $4,503,744  

Total gains or losses (realized/unrealized):

   

Included in earnings-realized

   (1,646,391  (1,908,743

Included in earnings-unrealized

   214,266    1,746,256  

Purchases, sales, issuances, and settlements, net

   (16,353,609  (4,341,257

Transfers in and/or out of Level 3

   —      —    
  

 

 

  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $—     $—    
  

 

 

  

 

 

 

Table of Contents

    Frontier Trading Company
XXXIV LLC

For The Year Ending
December 31, 2013
   Frontier Trading Company
XXXIX, LLC

For The Year Ending
December 31, 2013
 

Balance of recurring Level 3 assets as of January 1, 2013

  $—      $—    

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   526,168     (561,316

Included in other comprehensive income

   —       —    

Purchases, sales, issuances, and settlements, net

   9,600,000     5,996,500  

Transfers in and/or out of Level 3

   —       —    
  

 

 

   

 

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $10,126,168    $5,435,184  
  

 

 

   

 

 

 

    Frontier Trading Company
XXXV, LLC

For The Year Ending
December 31, 2013
   Frontier Trading Company
XXXVII, LLC

For The Year Ending
December 31, 2013
 

Balance of recurring Level 3 assets as of January 1, 2013

  $—      $—    

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   37,632     (423,455

Included in other comprehensive income

   —       —    

Purchases, sales, issuances, and settlements, net

   3,400,000     2,880,000  

Transfers in and/or out of Level 3

   —       —    
  

 

 

   

 

 

 

Balance of recurring Level 3 assets as of December 31, 2013

  $3,437,632    $2,456,545  
  

 

 

   

 

 

 

The Trading Companies assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trading Company’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the year ended December 31, 20142016 and 2013,2015, the Trust did not transfer any assets between LevelsLevel 1, Level 2 or Level 3.

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2014.

 

    Frontier Trading
Company XXXIV LLC
   Frontier Trading
Company XXXV, LLC
   Frontier Trading
Company XXXVII, LLC
   Frontier Trading
Company XXXIX, LLC
 

Swaps

  $8,120,787    $3,132,777    $1,176,514    $2,108,782  

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2013.

4.Swap Contracts

 

    Frontier Trading
Company XXXIV LLC
   Frontier Trading
Company XXXV, LLC
   Frontier Trading
Company XXXVII, LLC
  Frontier Trading
Company XXXIX, LLC
 

Swaps

  $526,168    $37,632    $(423,455 $(561,316

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2012.

   Frontier Trading
Company I LLC
   Frontier Trading
Company XVII LLC
 

Swaps

  $78,977    $(1,378,028

Per swap disclosure no realized on open swap postions as of 12/31/2012.

4. Swaps

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

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

Management follows a procedure in selecting well-established financial institutions which management, in its sole discretion, considers to be reputable, reliable, financially responsible and well established, to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the managements’ minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies.

The Trading Companies strategically invest assets in one or more swaps linked to certain underlying investments or indices, at the direction of management. The Trading Companies will not own any of the investments or indices referenced by any swap. In addition, the swap counterparty to the Trading Company is not a Trading Advisor to these Trading Companies.

The

To help to reduce counterparty risk on the Trading Companies, have investedthe Managing Owner has the right to reduce the Trading Companies’ exposure and remove cash from the Trading Companies’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000, and may not exceed 40% of the following SwapsIndex exposure in total. Index exposure is defined as the total notional amount plus any profit. The funds are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of December 31, 2014.2016, the Frontier Trading Company XXXIV LLC, Frontier Trading Company XXXV LLC, Frontier Trading Company XXXVII LLC, and Frontier Trading Company XXXIX LLC, had $4,926,555, $2,500,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Fund’s Statements of Financial Conditions under advance on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank AG.

F-95

   XXXIX Brevan Howard
Total Return Swap
  XXXIV Balanced select
swap Total Return Swap
  XXXV Diversified select
swap Total Return Swap
  XXXVII L/S select
swap Total Return Swap
 

Counterparty

  DeutscheBank AG    DeutscheBank AG    DeutscheBank AG    DeutscheBank AG  

Notional Amount

 $17,663,283   $67,610,098   $35,500,000   $13,590,513  

Termination Date

  3/26/2018    8/2/2018    8/2/2018    8/7/2018  

Cash Collateral

 $5,993,000   $9,600,000   $3,400,000   $2,880,000  

Swap Value

 $1,547,466   $8,646,955   $3,170,409   $753,060  

Investee Returns

  Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

 $0   $0   $0   $0  
 

 

 

  

 

 

  

 

 

  

 

 

 

Change in Unrealized Gain/(Loss)

 $2,108,782   $8,120,786   $3,132,777   $1,176,515  
 

 

 

  

 

 

  

 

 

  

 

 

 

Fair Value as of 12/31/2014

 $7,543,966   $18,246,955   $6,570,409   $3,633,060  
 

 

 

  

 

 

  

 

 

  

 

 

 

Table of Contents

The Trading Companies have invested in the following Swapsswaps as of December 31, 2013.2016.

 

 XXXIX Brevan Howard XXXIV Balanced Select Swap XXXV Diversified Select Swap XXXVII L/S Select Swap
 Total Return Swap Total Return Swap Total Return Swap Total Return Swap
 Brevan Howard
Total Return Swap
 XXXIV Balanced select
swap Total Return Swap
 XXXV Diversified select
swap Total Return Swap
         

Counterparty

  DeutscheBank AG    DeutscheBank AG    DeutscheBank AG     DeutscheBank AG    DeutscheBank AG    DeutscheBank AG    DeutscheBank AG

Notional Amount

 $18,663,283   $64,400,000   $25,500,000   $11,413,283 $22,580,043 $13,851,707 $1,877,692

Termination Date

  3/26/2018    8/2/2018    8/2/2018   3/26/2018 8/2/2018 8/2/2018 8/7/2018

Cash collateral

 $5,996,500   $9,600,000   $3,400,000  

Swap value

 $(561,316 $526,168   $37,632  
Cash Collateral $5,986,000 $9,600,000 $3,400,000 $3,880,000
Swap Value $2,405,414 $9,339,450 $5,237,847 $340,468

Investee Returns

  Total Returns    Total Returns    Total Returns   Total Returns Total Returns Total Returns Total Returns

Realized Gain/(Loss)

 $—     $—     $—     $0 $0 $0 $0
 

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

 $(561,316)   $526,168   $37,632   $431,145 ($218,073) ($48,003) ($111,959)
 

 

  

 

  

 

 

Fair Value as of 12/31/2013

 $5,435,184   $10,126,168   $3,437,632  
 

 

  

 

  

 

 
Fair Value as of 12/31/2016 $8,391,414 $18,939,450 $8,637,847 $4,220,468
Advance on swap appreciation ($1,900,000) ($4,926,555) ($2,500,000) ($115,000)

    XXXVII L/S select
swap Total Return Swap
  Balanced Series
Option/Swap
  Currency Swap
Option
 

Counterparty

   DeutscheBank AG    DeutscheBank    Societe Generale  

Notional Amount

  $34,400,000   $0   $0  

Termination Date

   8/7/2018    11/21/2014    6/30/2016  

Cash collateral

  $2,880,000    

Swap value

  $(423,455  

Investee Returns

   Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

  $—     $(1,646,391 $(1,908,743
  

 

 

  

 

 

  

 

 

 

Change in Unrealized Gain/(Loss)

  $(423,455)   $214,265    1,746,256  
  

 

 

  

 

 

  

 

 

 

Fair Value as of 12/31/2013

  $2,456,545   $—     $—    
  

 

 

  

 

 

  

 

 

 
The Trading Companies have invested in the following swaps as of December 31, 2015.

  Brevan Howard XXXIV Balanced Select Swap XXXV Diversified Select Swap XXXVII L/S Select Swap
  Total Return Swap Total Return Swap Total Return Swap Total Return Swap
                 
Counterparty DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG
Notional Amount $12,663,283 $22,580,043 $13,851,707 $1,877,592
Termination Date 3/26/2018 8/2/2018 8/2/2018 8/7/2018
Cash Collateral $5,993,000 $9,600,000 $3,400,000 $3,880,000
Swap Value $1,967,269 $9,557,519 $5,285,850 $452,428
Investee Returns Total Returns Total Returns Total Returns Total Returns
Realized Gain/(Loss) $0 $0 $0 $0
Change in Unrealized Gain/(Loss) $419,803 $910,566 $2,115,441 ($300,633)
Fair Value as of 12/31/2015 $7,960,269 $19,157,519 $8,685,850 $4,332,428

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Table of Contents

5.5. Financial Highlights

The following information presents the financial highlights of the Trading Companies for the years ended December 31, 2014, 20132016, 2015 and 2012.2014.

 

 Frontier Trading Frontier Trading Frontier Trading 
 Frontier Trading Frontier Trading Frontier Trading  Company I LLC Company II LLC Company VII, LLC (1) 
 Company I LLC (2) Company II LLC (2) Company V LLC (2)  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                                     

Total Income (loss)

  -0.12  -0.09  -0.20  0.03  0.08  0.14  n/a    0.06  0.12
Net Investment Gain  -0.01%  -0.11%  -0.12%  0.04%  0.02%  0.03%  0.05%  -0.02%  -0.03%
                                    

Total Return

  145.03  72.48  -6.48  241.28  170.80  -9.23  n/a    36.79  -12.78  19.51%  63.74%  145.03%  36.78%  67.48%  241.28%  145.34%  117.20%  37.77%

 

 Frontier Trading Frontier Trading Frontier Trading 
 Frontier Trading Frontier Trading Frontier Trading  Company XIV, LLC (2) Company XV, LLC Company XXIII, LLC (3) 
 Company VII, LLC (2) Company IX, LLC (2) Company XIV, LLC (2)  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                                     

Total Income (loss)

  -0.03  -0.01  0.00  n/a    n/a    0.50  -0.20  -0.10  -0.39
Net Investment Gain  0.11%  -0.01%  -0.20%  0.01%  0.01%  -0.02%  -0.42%  -0.45%  -0.46%
                                    

Total Return

  37.77  -29.85  -29.58  n/a    n/a    -20.78  159.10  -73.46  98.90  75.41%  -27.64%  159.10%  32.45%  -0.93%  19.79%  -99.9%  48.44%  2149.00%

 

 Frontier Trading Frontier Trading Frontier Trading 
 Frontier Trading Frontier Trading Frontier Trading  Company XXIX, LLC (4) Company XXXIX, LLC Company XXXIV, LLC 
 Company XV, LLC (2) Company XVII, LLC (1), (2) Company XVIII, LLC (1), (2)  12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012 12/31/2014 12/31/2013 12/31/2012                                     

Total Income (loss)

  -0.02  0.03  -0.20  n/a    0.00  0.00  n/a    -0.27  -0.30
Net Investment Gain  0.06%  -0.04%  0.01%  0.00%  0.00%  0.00%  0.00%  -0.02%  -0.05%
                                    

Total Return

  19.79  11.08  -48.52  n/a    -3.61  -23.43  n/a    -59.41  -23.16  -100.00%  -56.27%  -37.15%  5.02%  -29108.31%  38.75%  2.30%  1.43%  41.75%

 

  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXI, LLC (1), (2)  Company XXIII, LLC (2), (3)  Company XXIX, LLC (5) 
  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012  12/31/2014  12/31/2013  12/31/2012 

Total Income (loss)

  n/a    n/a    -0.52  -0.46  -0.40  0.00  0.01  0.00  0.00

Total Return

  n/a    n/a    13.65  2148.57  -55.09  -45.38  -37.15  0.00  0.00

  Frontier Trading  Frontier Trading  Frontier Trading 
  Company XXXIX, LLC (2)  Company XXXIV, LLC (2), (4)  Company XXXV, LLC (2), (4) 
  12/31/2014  12/31/2013  12/31/2012      1/0/1900  12/31/2013  12/31/2012      1/0/1900  12/31/2013  12/31/2012 

Total Income (loss)

  0.00  0.00  n/a    -0.05  0.00  n/a    0.00  0.00  n/a  

Total Return

  38.73  -9.41  n/a    41.75  5.48  n/a    91.13  1.11  n/a  

 Frontier Trading Frontier Trading Frontier Trading 
 

Frontier Trading

 Frontier Trading   Company XXXV, LLC Company XXXVII, LLC Company XXXVIII, LLC 
 Company XXXVII, LLC (2), (4) Company XXXVIII, LLC (2), (4)   12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 12/31/2016 12/31/2015 12/31/2014 
     1/0/1900 12/31/2013 12/31/2012     1/0/1900 12/31/2013 12/31/2012                                     

Total Income (loss)

  0.00  0.00  n/a    -0.07  -0.01  n/a     
Net Investment Gain  0.00%  0.00%  0.00%  0.00%  0.00%  0.00%  -0.02%  -0.04%  -0.07%
                                    

Total Return

  47.89  -14.70  n/a    85.85  134.53  n/a       7.97%  32.20%  91.13%  -2.57%  -2.86%  47.89%  -71.58%  -58.46%  85.85%

 

(1)Trading Companies XVII, XVIII and XXI commencedCompany VII ceased trading operations in July, October and March 2011, respectively.

(2)Ratio of total income (loss) to average members’ equity, annualized, if applicable. Net investment gain is “Interest-net”, only, as there are no expenses included with the Trading Companies.April 28, 2016
(2)Trading Company XIV ceased trading operations April 21, 2016
(3)Trading Company XXIII commencedceased trading operations in January 2012.July 22, 2016
(4)Trading Companies XXXIX, XXXIV, XXXV, XXXVII, and XXXVIII commenced trading operations in March, July, August, and November 2013, respectively.
(5)Trading CompaniesCompany XXIX commenced trading operations in November 2014.2014 and ceased trading operations January 29, 2016.

6.Investments in Unconsolidated Trading Companies and Private Investment Companies

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

As of December 31, 2016, Frontier Trading Company XXXVIII, LLC’s investment into Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC had a fair value of $11,184,103. For the year ended December 31, 2016, Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC incurred $78,605 in trading commissions and had $2,328,567 and $134,141 in realized and unrealized trading gains, respectively, for a net income of $2,384,103. Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC allows for weekly redemptions upon 24 hours written notice. There are no liquidity restrictions.

7.6. Derivative Instruments and Hedging Activities

The Trading Companies’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trading Companies do not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trading Companies’ derivatives by instrument types as of December 31, 20142016 and 20132015 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trading Companies’ positions in swap contracts.

F-97

Table of Contents

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

For The Year Ended December 31, 2014

For the Year Ended December 31, 2016
Monthly average contracts:
  Bought  Sold 
       
Frontier Trading Company I LLC  18,202   18,243 
Frontier Trading Company II LLC  2,082   2,130 
Frontier Trading Company VII LLC  3,085   3,086 
Frontier Trading Company XIV LLC  795   803 
Frontier Trading Company XV LLC  4,154   4,001 
Frontier Trading Company XXIII LLC  1,682   1,615 
Frontier Trading Company XXIX LLC  64   71 
Frontier Trading Company XXXVIII LLC  1,341   1,208 
         
For the Year Ended December 31, 2015
Monthly average contracts:
   Bought   Sold 
         
Frontier Trading Company I LLC  14,984   15,185 
Frontier Trading Company II LLC  1,508   1,597 
Frontier Trading Company VII LLC  13,402   13,274 
Frontier Trading Company XIV LLC  1,338   1,359 
Frontier Trading Company XV LLC  2,153   2,225 
Frontier Trading Company XXIII LLC  2,926   2,962 
Frontier Trading Company XXIX LLC  526   537 
Frontier Trading Company XXXIV LLC  972   972 
Frontier Trading Company XXXVIII LLC  1,275   1,349 
         
For the Year Ended December 31, 2014
Monthly average contracts:
   Bought   Sold 
         
Frontier Trading Company I LLC  10,431   10,301 
Frontier Trading Company II LLC  1,658   1,626 
Frontier Trading Company VII LLC  11,107   11,212 
Frontier Trading Company XIV LLC  3,156   3,140 
Frontier Trading Company XV LLC  4,102   4,066 
Frontier Trading Company XXIII LLC  1,981   1,952 
Frontier Trading Company XXIX LLC  42   22 
Frontier Trading Company XXXIV LLC  1,936   1,938 
Frontier Trading Company XXXVIII LLC  1,730   1,622 

F-98

Monthly average contracts:

  Bought   Sold 

Frontier Trading Company I LLC

   10,431     10,301  

Frontier Trading Company II LLC

   1,658     1,626  

Frontier Trading Company VII, LLC

   11,107     11,212  

Frontier Trading Company XIV, LLC

   3,156     3,140  

Frontier Trading Company XV, LLC

   4,102     4,066  

Frontier Trading Company XXIII, LLC

   1,981     1,952  

Frontier Trading Company XXIX, LLC

   42     22  

Frontier Trading Company XXXIV, LLC

   1,936     1,938  

Frontier Trading Company XXXVIII, LLC

   1,730     1,622  

For The Year Ended December 31, 2013Table of Contents

Monthly average contracts:

  Bought   Sold 

Frontier Trading Company I LLC

   13,344     13,477  

Frontier Trading Company II LLC

   1,951     2,039  

Frontier Trading Company V LLC

   623     771  

Frontier Trading Company VII, LLC

   11,664     11,995  

Frontier Trading Company XIV, LLC

   14,726     15,608  

Frontier Trading Company XV, LLC

   5,432     5,459  

Frontier Trading Company XVIII, LLC

   356     404  

Frontier Trading Company XXIII, LLC

   1,834     1,778  

Frontier Trading Company XXXVIII, LLC

   435     534  

The following tables summarize the trading revenues for the years ended December 31, 2014, 20132016, 2015 and 2012,2014, approximately by sector:

Realized Trading Revenue from Futures, Forwards, and Options

for the Year Ended December 31, 20142016(2)(1)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company VII, LLC
 
Type of Contract Company I LLC Company II LLC Company VII LLC Company XIV LLC 
         

Metals

 $(437,457 $170,841   $690,535   $(570,904) $(2,388,857) $(2,735,981) $15,680 

Currencies

  1,750,349    3,665,521    2,527,403    (1,134,947)  2,449,081   (333,855)  180,074 

Energies

  1,194,230    5,800,067    (3,255,197  (540,962)  (1,997,815)  1,426,316   173,411 

Agriculturals

  1,309,078    (1,089,242  (158,431  (793,888)  (645,570)  634,825   (128,046)

Interest rates

  10,676,345    12,258,469    123,894    6,698,984   3,484,057   (342,396)  1,341,209 

Stock indices

  3,172,068    1,689,346    219,589    1,051,934   (282,419)  (128,497)  (462,833)
 

 

  

 

  

 

                 

Realized trading income/(loss) (2)

 $17,664,613   $22,495,002   $147,793  
Realized trading income/(loss)(1) $4,710,217  $618,478  $(1,479,588) $1,119,495 
 

 

  

 

  

 

                 
 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company XIV, LLC
 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XXIII, LLC (3)
 
Type of Contract Company XV LLC Company XXIII LLC Company XXIX LLC Company XXXVIII LLC 
         

Metals

 $(882,227 $575,380   $(217,610 $(410,694) $125,165  $(8,260) $(496,363)

Currencies

  2,737,165    1,090,109    1,160,826    885,773   (661,239)  5,174   (1,715,921)

Energies

  237,904    561,158    (605,056  (341,104)  (403,582)  (54,266)  33,941 

Agriculturals

  829,935    949,454    ���      (239,338)     4,630   (188,884)

Interest rates

  3,297,947    2,379,839    5,823,668    1,821,478   3,627,111   154,416   (1,732,861)

Stock indices

  (1,068,847  (875,183  667,519    375,929   (660,900)  41,389   (541,633)
 

 

  

 

  

 

                 

Realized trading income/(loss) (2)

 $5,151,877   $4,680,757   $6,829,347  
 

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XXIX, LLC (5)
 Frontier Trading
Company XXXIV, LLC
 Frontier Trading
Company XXXVIII, LLC
 

Metals

 $(52,470 $7,721   $(111,695

Currencies

  (94,092  (261,257  5,323,603  

Energies

  (358,642  180    408,068  

Agriculturals

  (24,200  —      (248,904

Interest rates

  138,650    —      (5,722,822

Stock indices

  80,496    (1,806,979  1,968,275  
 

 

  

 

  

 

 

Realized trading income/(loss) (2)

  (310,258  (2,060,335  1,616,525  
 

 

  

 

  

 

 
Realized trading income/(loss)(1) $2,092,044  $2,026,555  $143,083  $(4,641,720)

Unrealized Trading Revenue from Futures, Forwards, and Options

for the Year Ended December 31, 2014 (1)2016(2)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company VII, LLC
 
Type of Contract Company I LLC Company II LLC Company VII LLC Company XIV LLC 
         

Metals

 $(111,947 $(379,502 $(67,120 $(16,549) $(577,784) $2,998,383  $(36,385)

Currencies

  365,702    (685,924  90,671    (695,645)  147,840   (34,630)  (68,823)

Energies

  389,322    526,450    410,565    109,673   (165,261)  3,264,774   87,766 

Agriculturals

  (89,486  (281,100  967,983    8,545   105,158   169,070   (2,760)

Interest rates

  1,577,387    2,337,987    (432,162  43,332   699,717   (2,272)  55,947 

Stock indices

  (946,046  (2,365,920  (409,378  293,774   311,568   42,046   (70,230)
 

 

  

 

  

 

                 

Unrealized trading income/(loss) (1)

 $1,184,932   $(848,009 $560,559  
Unrealized trading income/(loss)(2) $(256,870) $521,238  $6,437,371  $(34,485)
 

 

  

 

  

 

                 
 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company XIV, LLC
 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XXIII, LLC (3)
 
Type of Contract Company XV LLC  Company XXIII LLC  Company XXIX LLC  Company XXXVIII LLC 
         

Metals

 $164,178   $(593,950 $20,878   $(97,042) $(4,280) $10,744  $(62,455)

Currencies

  (743,778  (1,724,126  (278,910  244,511   (118,177)  (38,876)  (270,069)

Energies

  873,446    875,619    2,817    (457,543)  61,323   (10,686)  2,020 

Agriculturals

  (28,250  (53,695  —      (47,280)     40,435   146,494 

Interest rates

  371,048    464,025    1,653,065    435,147   80,695   5,426   52,293 

Stock indices

  (317,959  (417,885  (572,090  122,797   8,145   (11,793)  52,098 
 

 

  

 

  

 

                 

Unrealized trading income/(loss) (1)

 $318,685   $(1,450,012 $825,760  
 

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XXIX, LLC (5)
 Frontier Trading
Company XXXIV, LLC
 Frontier Trading
Company XXXVIII, LLC (4)
 

Metals

 $(41,409 $—     $(53,485

Currencies

  9,969    —      (285,427

Energies

  (322,182  —      65,813  

Agriculturals

  (18,006  —      (111,612

Interest rates

  61,567    —      (1,228,893

Stock indices

  30,221    —      (537,869
 

 

  

 

  

 

 

Unrealized trading income/(loss) (1)

  (279,840  —      (2,151,473
 

 

  

 

  

 

 
Unrealized trading income/(loss)(2) $200,590  $27,706  $(4,750) $(79,619)

 

(1)In the StatementsStatement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Statement of Operations under net change in open trade equity (deficit), at fair value.
(2)In the Statements of Operations under Net realizedand net unrealized gain/(loss) on futures, forwards and options.option/swap contracts
(3)Frontier Trading Company XXIII, LLC commenced operations in January 2012.
(4)Frontier Trading Company XXXVIII, LLC commenced operations in November 2013.
(5)Trading Company XXIX commenced trading operations in November 2014.

F-99

Table of Contents

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2013 (2)2015(1)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company V LLC
 Frontier Trading
Company VII, LLC
  Company I LLC Company II LLC Company VII, LLC Company XIV, LLC 
         

Metals

 $412,573   $1,614,525   $(177,747 $(1,480,598 $638,640  $412,683  $2,770,377  $(173,565)

Currencies

  (814,671  3,701,872    1,296,788    790,928    1,473,437   (346,462)  572,927   (1,062,588)

Energies

  (2,799,303  (2,918,095  (1,334,769  (4,910,183  3,075,926   3,898,848   13,476,409   1,755,803 

Agriculturals

  (2,421,228  2,015,773    471,906    341,441    (618,275)  295,065   1,146,162   (308,178)

Interest rates

  2,423,384    (7,118,246  (757,720  598,983    4,813,887   4,204,957   (803,460)  767,420 

Stock indices

  4,755,435    13,887,786    6,411,757    1,459,036    2,273,642   (1,544,747)  173,194   (850,694)
 

 

  

 

  

 

  

 

                 

Realized trading income/(loss) (2)

 $1,556,190   $11,183,615   $5,910,215   $(3,200,393
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XIV, LLC
 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XVIII, LLC (3)
 Frontier Trading
Company XXIII, LLC (3)
 

Metals

 $6,112,168   $(493,033 $(247,744 $(322,627

Currencies

  (19,294,266  (79,489  (51,616  40,582  

Energies

  (2,176,306  (927,698  (237,383  (252,872

Agriculturals

  (705,599  (618,122  (337,113  (292,693

Interest rates

  (22,508,513  (1,567,281  (571,998  (1,305,716

Stock indices

  12,638,587    3,519,159    703,216    958,376  
 

 

  

 

  

 

  

 

 

Realized trading income/(loss) (2)

 $(25,933,929 $(166,464 $(742,638 $(1,174,950
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XXXVIII, LLC (3)
       

Metals

 $45,320     

Currencies

  1,639,963     

Energies

  (894,269   

Agriculturals

  (604,553   

Interest rates

  (271,753   

Stock indices

  209,465     
 

 

    

Realized trading income/(loss) (2)

 $124,173     
 

 

    
Realized trading income/(loss)(1) $11,657,257  $6,920,344  $17,335,609  $128,198 

  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
Type of contract Company XV, LLC  Company XXIII, LLC  Company XXIX, LLC  Company XXXIV, LLC 
             
Metals $318,485  $(321,260) $(680,920) $(2,157)
Currencies  (1,140,254)  (349,146)  (68,374)  31,785 
Energies  2,554,164   685,793   (755,954)   
Agriculturals  (430,338)     (405,228)   
Interest rates  466,376   1,569,067   (162,699)  (69,996)
Stock indices  (383,176)  398,225   261,267   (423,235)
                 
Realized trading income/(loss)(1) $1,385,257  $1,982,679   (1,811,908)  (463,603)

  Frontier Trading 
Type of contract Company XXXVIII, LLC 
    
Metals $(146,993)
Currencies  776,564 
Energies  (702,562)
Agriculturals  (755,577)
Interest rates  (2,939,346)
Stock indices  1,351,855 
     
Realized trading income/(loss)(1)  (2,416,059)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2013 (1)2015(2)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company V LLC
 Frontier Trading
Company VII, LLC
  Company I LLC  Company II LLC  Company VII, LLC  Company XIV, LLC 
         

Metals

 $1,212,080   $1,436,076   $366,938   $(8,186,850 $225,190  $342,136  $(3,034,728) $134,618 

Currencies

  104,438    (898,048  (374,472  2,874,502    (346,776)  (77,235)  (166,305)  334,553 

Energies

  (289,840  107,134    136,348    (21,526,796  (487,009)  (369,441)  (9,809,446)  (950,395)

Agriculturals

  (63,428  515,298    (190,376  7,375,646    28,013   51,330   115,115   (4,647)

Interest rates

  (1,483,357  (1,007,888  (97,299  17,321,998    (1,490,244)  (2,060,991)  740,922   (437,886)

Stock indices

  2,905,375    2,669,283    (1,152,310  5,780,441    878,018   (759,504)  122,840   (66,627)
 

 

  

 

  

 

  

 

                 

Unrealized trading income/(loss) (1)

 $2,385,268   $2,821,855   $(1,311,171 $3,638,941  
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XIV, LLC
 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XVIII, LLC (3)
 Frontier Trading
Company XXIII, LLC (3)
 

Metals

 $874,183   $1,897,220   $24,089   $40,362  

Currencies

  1,309,342    2,953,457    (48,985  364,150  

Energies

  (1,070,845  (558,216  1,489    (58,852

Agriculturals

  255,624    556,112    40,202    (224,679

Interest rates

  502,102    (233,344  (39,175  (978,553

Stock indices

  956,215    (731,655  (63,280  694,236  
 

 

  

 

  

 

  

 

 

Unrealized trading income/(loss) (1)

 $2,826,621   $3,883,574   $(85,660 $(163,336
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XXXVIII, LLC (3)
       

Metals

 $105,975     

Currencies

  1,089,489     

Energies

  35,080     

Agriculturals

  265,629     

Interest rates

  1,233,037     

Stock indices

  791,078     
 

 

    

Unrealized trading income/(loss) (1)

 $3,520,288     
 

 

    
Unrealized trading income/(loss)(2) $(1,192,808) $(2,873,705) $(12,031,602) $(990,384)

  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
Type of contract Company XV, LLC  Company XXIII, LLC  Company XXIX, LLC  Company XXXVIII, LLC 
             
Metals $341,471  $(66,888) $30,664  $5,425 
Currencies  72,012   (39,897)  28,909   (466,640)
Energies  (87,414)  (38,274)  332,868   (104,322)
Agriculturals  (193,258)     (22,429)  (195,062)
Interest rates  (1,031,166)  (705,395)  (66,993)  (15,968)
Stock indices  (298,164)  (70,857)  (18,428)  (287,597)
                 
Unrealized trading income/(loss)(2) $(1,196,519) $(921,311)  284,591   (1,064,164)

 

(1)In the StatementsStatement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Statement of Operations under net change in open trade equity (deficit), at fair value.
(2)In the Statements of Operations under Net realizedand net unrealized gain/(loss) on futures, forwards and options.option/swap contracts
(3)Frontier Trading Company XVIII, LLC commenced operations in October 2011.
(4)Frontier Trading Company XXIII, LLC commenced operations in January 2012.
(5)Frontier Trading Company XXXVIII, LLC commenced operations in November 2013.

F-100

Table of Contents

Realized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (2)2014(1)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company III LLC
 Frontier Trading
Company V LLC
  Company I LLC Company II LLC Company VII, LLC Company XIV, LLC 
         

Metals

 $1,073,536   $(695,515 $—     $(876,030 $(437,457) $170,841  $690,535  $(882,227)

Currencies

  (72,453  (849,000  —      (600,627  1,750,349   3,665,521   2,527,403   2,737,165 

Energies

  2,139,250    (1,973,402  —      (2,772,182  1,194,230   5,800,067   (3,255,197)  237,904 

Agriculturals

  2,206,100    (407,523  —      (162,926  1,309,078   (1,089,242)  (158,431)  829,935 

Interest rates

  (5,962,492  3,312,713    —      4,162,463    10,676,345   12,258,469   123,894   3,297,947 

Stock indices

  (955,723  (929,218  —      (2,547,143  3,172,068   1,689,346   219,589   (1,068,847)
 

 

  

 

  

 

  

 

                 

Realized trading income/(loss) (2)

 $(1,571,782 $(1,541,945 $—     $(2,796,445
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company VI LLC
 Frontier Trading
Company VII, LLC
 Frontier Trading
Company IX, LLC
 Frontier Trading
Company XIV, LLC
 

Metals

 $—     $(2,477,120 $(484,830 $(346,874

Currencies

  —      (58,199  (1,170,545  11,551,738  

Energies

  —      (12,210,665  151,181    (7,771,337

Agriculturals

  —      (15,890,742  249,196    (585,742

Interest rates

  —      3,335,233    (457,977  31,443,188  

Stock indices

  —       (792,785  1,123,927    2,004,526  
 

 

  

 

  

 

  

 

 

Realized trading income/(loss) (2)

 $—     $(28,094,277 $(589,048 $36,295,498  
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XVIII, LLC (3)
 Frontier Trading
Company XXI, LLC (4)
 Frontier Trading
Company XXIII, LLC (4)
 

Metals

 $(6,722,059 $201,264   $(699,089 $(684,083

Currencies

  (2,596,001  35,336    207,262    483,754  

Energies

  552,102    468,349    (6,108,999  (723,685

Agriculturals

  1,715,864    114,163    (769,265  (1,553,978

Interest rates

  (162,664  (667,998  8,930,606    5,186  

Stock indices

  (1,340,616  496,617    263,198    164,494  
 

 

  

 

  

 

  

 

 

Realized trading income/(loss) (2)

 $(8,553,374 $647,731   $1,823,712   $(2,308,312
 

 

  

 

  

 

  

 

 
Realized trading income/(loss)(1) $17,664,613  $22,495,002  $147,793  $5,151,877 

  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
Type of contract Company XV, LLC  Company XXIII, LLC  Company XXIX, LLC  Company XXXIV, LLC 
             
Metals $575,380  $(217,610) $(52,470) $7,721 
Currencies  1,090,109   1,160,826   (94,092)  (261,257)
Energies  561,158   (605,056)  (358,642)  180 
Agriculturals  949,454      (24,200)   
Interest rates  2,379,839   5,823,668   138,650    
Stock indices  (875,183)  667,519   80,496   (1,806,979)
                 
Realized trading income/(loss)(1) $4,680,757  $6,829,347  $(310,258) $(2,060,335)

  Frontier Trading 
Type of contract Company XXXVIII, LLC 
    
Metals $(111,695)
Currencies  5,323,603 
Energies  408,068 
Agriculturals  (248,904)
Interest rates  (5,722,822)
Stock indices  1,968,275 
     
Realized trading income/(loss)(1) $1,616,525 

Unrealized Trading Revenue from Futures, Forwards and Options

for the Year Ended December 31, 2012 (1)2014(2)

 

 Frontier Trading Frontier Trading Frontier Trading Frontier Trading 

Type of contract

 Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company III LLC
 Frontier Trading
Company V LLC
  Company I LLC Company II LLC Company VII, LLC Company XIV, LLC 
         

Metals

 $(110,769 $711,013   $—     $45,401   $(111,947) $(379,502) $(67,120) $164,178 

Currencies

  61,955    (3,426,750  —      (87,190  365,702   (685,924)  90,671   (743,778)

Energies

  67,588    (304,706  —      (29,494  389,322   526,450   410,565   873,446 

Agriculturals

  (132,871  665,339    —      (489  (89,486)  (281,100)  967,983   (28,250)

Interest rates

  579,973    (270,682  —      34,505    1,577,387   2,337,987   (432,162)  371,048 

Stock indices

  252,372    86,776    —      (89,819  (946,046)  (2,365,920)  (409,378)  (317,959)
 

 

  

 

  

 

  

 

                 

Unrealized trading income/(loss) (1)

 $718,247   $(2,539,010 $—     $(127,086
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company VI LLC
 Frontier Trading
Company VII, LLC
 Frontier Trading
Company IX, LLC
 Frontier Trading
Company XIV, LLC
 

Metals

 $—     $433,960   $(468,789 $(2,409,225

Currencies

  —      476,938    (1,233,551  1,126,149  

Energies

  —      25,156,302    199,498    1,813,680  

Agriculturals

  —      (8,633,169  287,054    (606,400

Interest rates

  —      2,344,677    (405,079  (2,916,232

Stock indices

  —      2,937,680    1,176,098    1,110,540  
 

 

  

 

  

 

  

 

 

Unrealized trading income/(loss) (1)

 $—     $22,716,388   $(444,768 $(1,881,488
 

 

  

 

  

 

  

 

 

Type of contract

 Frontier Trading
Company XV, LLC
 Frontier Trading
Company XVIII, LLC (3)
 Frontier Trading
Company XXI, LLC (4)
 Frontier Trading
Company XXIII, LLC (4)
 

Metals

 $752,043   $5,971,843   $(28,353 $817,959  

Currencies

  579,363    6,876,046    81,807    (636,313

Energies

�� 556,669    5,538,479    (599,044  161,761  

Agriculturals

  (435,339  (7,863,600  148,522    (826,559

Interest rates

  (810,952  4,841,656    133,585    359,082  

Stock indices

  622,132    (15,874,956  (528,891  355,251  
 

 

  

 

  

 

  

 

 

Unrealized trading income/(loss) (1)

 $1,263,916   $(510,533 $(792,373 $231,181  
 

 

  

 

  

 

  

 

 
Unrealized trading income/(loss)(2) $1,184,932  $(848,009) $560,559  $318,685 

  Frontier Trading  Frontier Trading  Frontier Trading  Frontier Trading 
Type of contract Company XV, LLC  Company XXIII, LLC (3)  Company XXIX, LLC (5)  Company XXXVIII, LLC (4 
             
Metals $(593,950) $20,878  $(41,409) $(53,485)
Currencies  (1,724,126)  (278,910)  9,969   (285,427)
Energies  875,619   2,817   (322,182)  65,813 
Agriculturals  (53,695)     (18,006)  (111,612)
Interest rates  464,025   1,653,065   61,567   (1,228,893)
Stock indices  (417,885)  (572,090)  30,221   (537,869)
                 
Unrealized trading income/(loss)(2) $(1,450,012) $825,760  $(279,840) $(2,151,473)

 

(1)In the StatementsStatement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the Statement of Operations under net change in open trade equity (deficit), at fair value.
(2)In the Statements of Operations under Net realizedand net unrealized gain/(loss) on futures, forwards and options.option/swap contracts
(3)Frontier Trading Company XVIII, LLC commenced operations in October 2011.
(4)Frontier Trading Company XXI, LLC commenced operations in March 2011.

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

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of December 31, 20142016 and 2013.2015.

 

     Net Amounts of 

As of December 31, 2014

 Gross Amounts
of recognized
Derivative Assets
 Gross Amounts of
recognized
Derivative Liabilities
 Net Amounts of
Derivative Assets
and Liabilities
Presented in the
Statements of
Financial
Condition
 
As of December 31, 2016     Derivative Assets 
     and Liabilities 
 Gross Amounts of Gross Amounts of Presented in the 
 recognized recognized Derivative Statements of 
 Derivative Assets Liabilities Financial Condition 
            

Frontier Trading Company I, LLC

               

Open Trade Equity/(Deficit)

 $3,369,866   $(154,661 $3,215,205   $515,659  $(277,998) $237,661 

Options Written

  —      (253,017  (253,017

Options Purchased

  288,413    —     $288,413  
            

Frontier Trading Company II, LLC

               

Open Trade Equity/(Deficit)

 $4,029,155   $(555,871 $3,473,284   $2,393,850  $(1,171,326) $1,222,524 

Frontier Trading Company VII, LLC

   

Open Trade Equity/(Deficit)

 $4,471,373   $(1,002,034 $3,469,339  

Options Purchased

  8,787,472    —      8,787,472  

Options Written

  —      (8,710,817  (8,710,817

Frontier Trading Company XIV, LLC

   

Open Trade Equity/(Deficit)

 $1,341,051   $(316,183 $1,024,868  
            

Frontier Trading Company XV, LLC

               

Open Trade Equity/(Deficit)

 $2,047,683   $(388,766 $1,658,917   $834,176  $(191,682) $642,494 

Frontier Trading Company XXIII, LLC

   

Open Trade Equity/(Deficit)

 $893,605   $—     $893,605  

Frontier Trading Company XXIX, LLC

   

Open Trade Equity/(Deficit)

 $—     $(279,840 $(279,840
            

Frontier Trading Company XXXIV, LLC

               

Swap Contracts

 $18,246,955   $—     $18,246,955   $18,939,450  $  $18,939,450 
            

Frontier Trading Company XXXV, LLC

               

Swap Contracts

 $6,570,409   $—     $6,570,409   $8,637,847  $  $8,637,847 
            

Frontier Trading Company XXXVII, LLC

               

Swap Contracts

 $3,633,060   $—     $3,633,060   $4,220,468  $  $4,220,468 

Frontier Trading Company XXXVIII, LLC

   

Open Trade Equity/(Deficit)

 $1,369,043   $—     $1,369,043  
            

Frontier Trading Company XXXIX, LLC

               

Swap Contracts

 $7,543,966   $—     $7,543,966   $8,391,414  $  $8,391,414 

F-102

As of December 31, 2013

 Gross Amounts
of recognized
Derivative Assets
  Gross Amounts of
recognized
Derivative Liabilities
  Net Amounts of
Derivative Assets

and Liabilities
Presented in the
Statements of
Financial
Condition
 

Frontier Trading Company I, LLC

   

Open Trade Equity/(Deficit)

 $3,162,843   $—     $3,162,843  

Options Purchased

  165,983    —      165,983  

Options Written

  —      (183,932  (183,932

Swap Contracts

    —    

Frontier Trading Company II, LLC

   

Open Trade Equity/(Deficit)

 $4,321,293   $—     $4,321,293  

Frontier Trading Company VII, LLC

   

Open Trade Equity/(Deficit)

 $227,827   $(418,896 $(191,069

Options Purchased

  98,740    —      98,740  

Options Written

  —      (172,650  (172,650

Frontier Trading Company XIV, LLC

   

Open Trade Equity/(Deficit)

 $706,184   $—     $706,184  

Frontier Trading Company XV, LLC

   

Open Trade Equity/(Deficit)

 $4,087,038   $—     $4,087,038  

Options Purchased

  2,769,147    —      2,769,147  

Options Written

  —      (865,940  (865,940

Frontier Trading Company XXIII, LLC

   

Open Trade Equity/(Deficit)

 $75,237   $(7,392 $67,845  

Frontier Trading Company XXXIV, LLC

   

Swap Contracts

 $10,126,168   $—     $10,126,168  

Frontier Trading Company XXXIX, LLC

   

Swap Contracts

 $7,540,466   $—     $7,540,466  

Frontier Trading Company XXXV, LLC

   

Swap Contracts

 $3,437,632   $—     $3,437,632  

Frontier Trading Company XXXVII, LLC

   

Swap Contracts

 $2,456,545   $—     $2,456,545  

Frontier Trading Company XXXVIII, LLC

   

Open Trade Equity/(Deficit)

 $3,520,515   $—     $3,520,515  
Table of Contents

        Net Amounts of 
As of December 31, 2015       Derivative Assets 
        and Liabilities 
  Gross Amounts of  Gross Amounts of  Presented in the 
  recognized  recognized Derivative  Statements of 
  Derivative Assets  Liabilities  Financial Condition 
             
Frontier Trading Company I, LLC            
Open Trade Equity/(Deficit) $795,813  $(40,361) $755,452 
Options Purchased  371,758      371,758 
Options Written     (165,760)  (165,760)
             
Frontier Trading Company II, LLC            
Open Trade Equity/(Deficit) $768,117  $(168,538) $599,579 
             
Frontier Trading Company VII, LLC            
Open Trade Equity/(Deficit) $11,386  $(6,493,885) $(6,482,499)
Options Purchased  154,380      154,380 
             
Frontier Trading Company XIV, LLC            
Open Trade Equity/(Deficit) $34,484  $  $34,484 
             
Frontier Trading Company XV, LLC            
Open Trade Equity/(Deficit) $495,021  $(32,681) $462,340 
             
Frontier Trading Company XXIII, LLC            
Open Trade Equity/(Deficit) $7,381  $(35,087) $(27,706)
             
Frontier Trading Company XXIX, LLC            
Open Trade Equity/(Deficit) $4,750  $  $4,750 
             
Frontier Trading Company XXXIV, LLC            
Swap Contracts $19,157,522  $  $19,157,522 
             
Frontier Trading Company XXXV, LLC            
Swap Contracts $8,685,850  $  $8,685,850 
             
Frontier Trading Company XXXVII, LLC            
Swap Contracts $4,332,427  $  $4,332,427 
             
Frontier Trading Company XXXVIII, LLC            
Open Trade Equity/(Deficit) $304,878  $  $304,878 
             
Frontier Trading Company XXXIX, LLC            
Swap Contracts $7,960,269  $  $7,960,269 

7.7. Trading Activities and Related Risks

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

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

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

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

Management has established procedures to actively monitor and minimize market and credit risks. Investors in units of the Equinox Frontier Funds bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

8.8. Indemnifications

The Trading Companies have entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for

gross negligence or bad faith. The Trading Companies have had no prior claims or payments pursuant to these agreements. The Trading Companies’ individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trading Companies that have not yet occurred. However, based on experience the Trading Companies expect the risk of loss to be remote.

9.Subsequent Events

On December 5, 2016, Equinox Fund Management, LLC (“Equinox”), Frontier Fund Management LLC (the “New Managing Owner”), and Wakefield Advisors, LLC (“Wakefield”) entered into a Unit Purchase Agreement (the “Agreement”). Equinox was the Managing Owner of the Trust and the Series. Pursuant to the Agreement, Equinox agreed to transfer to the New Managing Owner such amount of Equinox’s General Units (as defined in the Trust Agreement) as the Managing Owner shall be required to hold in its capacity as managing owner of the Trust pursuant to the Trust Agreement, and redeem the remainder of Equinox’s General Units (the “Transaction”).

The Transaction was consummated on March 6, 2017, and upon consummation of the Transaction, the New Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of control in respect of the Trust and each Series.

In connection with the foregoing, the Trust Agreement was amended to effect certain changes to replace Equinox as the Managing Owner and to reflect the New Managing Owner as the new managing owner. Also, the New Managing Owner has temporarily suspended the sale of Units (as defined in the Trust Agreement) while the Managing Owner engages with the Securities and Exchange Commission to have declared effective a post-effective amendment to the Series’ registration statements, as well as approval by the NFA. The Series will file Form 8-K to announce the resumption of the sale of Units, which the New Managing Owner expects will occur shortly.

The New Managing Owner is seeking to cause the suspension to be lifted as promptly as practicable.

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

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC, Galaxy Plus Fund – Emil van Essen STP Feeder Fund (516) LLC, Galaxy Plus Fund – Quest Feeder Fund (517) LLC, Galaxy Plus Fund – Chesapeake Feeder Fund (518) LLC, Galaxy Plus Fund – LRR Feeder Fund (522) LLC, Galaxy Plus Fund – QIM Feeder Fund (526) LLC, Galaxy Plus Fund – Quantmetrics Feeder Fund (527) LLC, Galaxy Plus Fund – Doherty Feeder Fund (528) LLC, Galaxy Plus Fund – Aspect Feeder Fund (532) LLC, and Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC, (collectively, the Funds) which comprise the statements of financial condition, including the condensed schedules of investments, as of December 31, 2016, and the related statements of operations, and changes in members’ equity for the periods ended December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC, Galaxy Plus Fund – Emil van Essen STP Feeder Fund (516) LLC, Galaxy Plus Fund – Quest Feeder Fund (517) LLC, Galaxy Plus Fund – Chesapeake Feeder Fund (518) LLC, Galaxy Plus Fund – LRR Feeder Fund (522) LLC, Galaxy Plus Fund – QIM Feeder Fund (526) LLC, Galaxy Plus Fund – Quantmetrics Feeder Fund (527) LLC, Galaxy Plus Fund – Doherty Feeder Fund (528) LLC, Galaxy Plus Fund – Aspect Feeder Fund (532) LLC, and Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC as of December 31, 2016, and the results of their operations for the periods ended December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  516 Series  517 Series  518 Series  522 Series 
Assets               
                
Investment in Master Fund - at fair value $11,452,916  $11,651,029  $3,883,778  $11,505,482  $7,717,549 
Cash at bank  481,816   10,726   1,537   3,906   5,094 
                     
Total assets $11,934,732  $11,712,495  $3,885,315  $11,509,388  $7,722,643 
                     
Liabilities and members’ equity                    
                     
Payable to Master Fund    $  $  $1,000  $3,000 
Accrued incentive fees  356   103,064         93,653 
Accrued management fees  17,974   37,679   8,474   28,050   32,345 
Accrued sponsor fees  8,819   10,197   3,478   5,987   5,148 
Accrued operating expenses  2,334   466   376   363   1,253 
                     
Total liabilities  29,483   151,406   12,328   35,400   135,399 
                     
Members’ equity  11,905,249   11,561,089   3,872,987   11,473,988   7,587,244 
                     
Total liabilities and members’ equity $11,934,732  $11,712,495  $3,885,315  $11,509,388  $7,722,643 
                     

(continued)

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Financial Condition (continued)
December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC - 527  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  Series  528 Series  532 Series  535 Series 
Assets               
                     
Investment in Master Fund - at fair value $21,456,623  $19,261,458  $6,557,058  $4,627,141  $11,198,960 
Cash at bank  54,433   6,707   2,470   915   5,541 
                     
Total assets $21,604,203  $19,268,165  $6,559,528  $4,628,056  $11,204,501 
                     
Liabilities and members’ equity                    
                     
Payable to Master Fund $  $1,000  $1,000  $1,000  $ 
Accrued incentive fees  1,066,204      21,229       
Accrued management fees  34,263   24,782   6,535   5,148   9,396 
Accrued sponsor fees  16,530   11,886   3,267   1,287   11,284 
Accrued sales commissions  76             
Accrued operating expenses  560   344   387   391   417 
                     
Total liabilities  1,117,633   38,012   32,418   7,826   21,097 
                     
Members’ equity  20,486,570   19,230,153   6,527,110   4,620,230   11,183,404 
                     
Total liabilities and members’ equity $21,604,203  $19,268,165  $6,559,528  $4,628,056  $11,204,501 
                     

See notes to financial statements.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Operations
For the periods ended December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  516 Series  517 Series  518 Series  522 Series 
Net investment income (loss) allocated from Master Fund:                    
Interest expense $(21) $  $(4,008) $(6,758) $ 
                     
Net investment income (loss) allocated from Master Fund  (21)     (4,008)  (6,758)   
                     
Fund expenses:                    
Operating expenses  85   4,626   3,310   3,257   13,293 
Management fee  183,564   313,384   62,579   206,132   246,656 
Incentive fee  144,254   411,343      92,986   93,653 
Sponsor fee  37,681   41,273   13,559   21,808   20,365 
                     
Total fund expenses  365,584   770,626   79,448   324,183   373,967 
                     
Total net investment loss  (365,605)  (770,626)  (83,456)  (330,941)  (373,967)
                     
Realized and unrealized gain (loss) on investments and foreign currency transactions allocated from Master Fund:                    
Net realized gain/(loss) from investments and foreign currency transactions  (840,031)  3,933,951   (1,753,745)  409,456   104,010 
Net increase/(decrease) in unrealized appreciation(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies  (178,228)  (1,253,066)  209,587   (423,735)  598,204 
                     
Net realized and unrealized gain (loss) on investments and foreign currency transactions allocated from investment in master fund  (1,018,259)  2,680,885   (1,544,158)  (14,279)  702,214 
                     
Net increase (decrease) in members’ equity resulting from operations $(1,383,864) $1,910,259  $(1,627,614) $(345,220) $328,247 
                     

(continued)

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Operations (continued)
For the periods ended December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  527 Series  528 Series  532 Series  535 Series 
Net investment income (loss) allocated from Master Fund:                    
Interest expense $(6,967) $(2,843) $  $  $(2,085)
                     
Net investment income (loss) allocated from Master Fund  (6,967)  (2,843)        (2,085)
                     
Fund expenses:                    
Operating expenses  3,680   3,149   2,843   476   1,881 
Management fee  192,167   161,651   34,794   5,148   31,484 
Incentive fee  1,533,714      52,658       
Sponsor fee  48,638   39,624   8,809   1,287   18,890 
                     
Total fund expenses  1,778,199   204,424   99,104   6,911   52,255 
                     
Total net investment loss  (1,785,166)  (207,267)  (99,104)  (6,911)  (54,340)
                     
Realized and unrealized gain (loss) on investments and foreign currency transactions allocated from Master Fund:                    
Net realized gain/(loss) from investments and foreign currency transactions  6,004,016   (293,244)  212,854   (86,651)  2,303,603 
Net increase/(decrease) in unrealized appreciation(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies  325,784   822   76,775   (286,208)  134,141 
                     
Net realized and unrealized gain (loss) on investments and foreign currency transactions allocated from investment in master fund  6,329,800   (292,422)  289,629   (372,859)  2,437,744 
                     
Net increase (decrease) in members’ equity resulting from operations $4,544,634  $(499,689) $190,525  $(379,770) $2,383,404 
                     

See notes to financial statements.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Changes in Members’ Equity
For the periods ended December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  516 Series  517 Series  518 Series  522 Series 
Increase/(decrease) in members’ equity from operations:                    
Total net investment income/(loss) $(365,605) $(770,626) $(83,456) $(330,941) $(373,967)
Net realized gain/(loss) from investments and foreign currency transactions  (840,031)  3,933,951   (1,753,745)  409,456   104,010 
Net increase/(decrease) in unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies  (178,228)  (1,253,066)  209,587   (423,735)  598,204 
                     
Net increase/(decrease) in members’ equity resulting from operations  (1,383,864)  1,910,259   (1,627,614)  (345,220)  328,247 
                     
Increase/(decrease) in members’ equity from capital transactions:                    
Proceeds from issuance of capital  15,625,755   12,442,497   5,500,601   11,724,791   7,696,404 
Proceeds from in-kind contributions        94,417        
In-kind assumed derivative liabilities              (27,740)
Payments for redemption of capital  (6,755,636)  (2,791,667)        (409,667)
                     
Net increase/(decrease) in members’ equity from capital transactions  8,870,119   9,650,830   5,500,601   11,819,208   7,258,997 
                     
Total net increase/(decrease) in members’ equity  7,486,255   11,561,089   3,872,987   11,473,988   7,587,244 
                     
Members’ equity, beginning of the period  4,418,994             
                     
Members’ equity, end of the period $11,905,249  $11,561,089  $3,872,987  $11,473,988  $7,587,244 
                     

(continued)

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Statements of Changes in Members’ Equity (continued)
For the periods ended December 31, 2016
(Expressed in U.S. Dollars)

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  527 Series  528 Series  532 Series  535 Series 
Increase/(decrease) in members’ equity from operations:                    
Total net investment income/(loss) $(1,785,166) $(207,267) $(99,104) $(6,911) $(54,340)
Net realized gain/(loss) from investments and foreign currency transactions  6,004,016   (293,244)  212,854   (86,651)  2,303,603 
Net increase/(decrease) in unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies  325,784   822   76,775   (286,208)  134,141 
                     
Net increase/(decrease) in members’ equity resulting from operations  4,544,634   (499,689)  190,525   (379,770)  2,383,404 
                     
Increase/(decrease) in members’ equity from capital transactions:                    
Proceeds from issuance of capital  18,207,797   19,729,842   6,260,915   5,000,000   8,800,000 
Proceeds from in-kind contributions        75,670       
Payments for redemption of capital  (2,265,861)            
                     
Net increase/(decrease) in members’ equity from capital transactions  15,941,936   19,729,842   6,336,585   5,000,000   8,800,000 
                     
Total net increase/(decrease) in members’ equity  20,486,570   19,230,153   6,527,110   4,620,230   11,183,404 
                     
Members’ equity, beginning of the period               
                     
Members’ equity, end of the period $20,486,570  $19,230,153  $6,527,110  $4,620,230  $11,183,404 
                     

See notes to financial statements.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements
Note 1.Organization and Structure

Galaxy Plus Fund LLC (the “Onshore Platform”) was formed in Delaware as a series limited liability company on April 14, 2014. The Onshore Platform is part of the Galaxy Plus Managed Account Platform (the “Platform”). Both are sponsored by Gemini Alternatives Funds, LLC (the “Sponsor” or “GAF”) as a means of making available to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”) a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”) in an investment environment which facilitates access to multiple Advisors without having to negotiate individually with any Advisor, meet their account minimums, or establish futures and forward dealing accounts.

Each of the Onshore Platform’s respective series (each a “Fund”, collectively the “Funds”) invest in a separately formed Delaware limited liability company (each a “Master Fund”, collectively the “Master Funds”). Unless specified otherwise, each Master Fund is managed by a different Advisor. Collectively, the Advisors implement a wide range of trading strategies, trade entirely independently from each other and are not affiliated with the Sponsor. The Trading Advisor Supplement (the “Supplement”), which was provided to each of the investors, and can be provided by the Sponsor if requested, includes specific information relating to each Master Fund and its respective Advisor, including a description of the Advisor, their trading strategy, and the financial terms.

The structure of the Platform permits the Funds to offer Investors a choice of trading leverage levels as well as the ability to adjust such levels in response to changes in Advisor performance, general market conditions and the Investor’s own portfolio objectives. Each Investor’s selected trading leverage is managed by the Funds by allocating the Investor’s subscription proceeds between the Funds’ bank accounts and the corresponding Master Funds.

Galaxy Plus Fund SPC (the “Offshore Platform”) is part of the Platform and is sponsored by GAF primarily for non-U.S. Investors. The Offshore Platform operates in substantially the same manner as the Onshore Platform and also invests in the same Master Funds.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Onshore Platform. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Onshore Platform including the authority to select the administrator for the Onshore Platform. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party. Capitalized terms throughout these notes are defined in the LLC Agreement

In accordance with Delaware law, the assets held in each Fund shall be applied and held solely for the benefit of the members in such Fund and no member of another Fund shall have any claim or right to any asset allocated to another Fund. The assets of each Fund shall be applied solely to satisfy only that respective Fund’s liabilities.

If an asset is not attributable to any particular Fund, the Sponsor shall have the discretion to determine the basis upon which such asset shall be allocated among the Funds and the Sponsor shall have the absolute discretion to vary such allocation. If the assets not attributable to any Fund give rise to any net profits, the Sponsor may, in its absolute discretion, allocate the net profits to any Fund.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

During 2016, the Onshore Platform consisted, in part, of the Funds described below. The Funds listed, herein, contain Class EF interest. That interest was created specifically for a strategic investor (see Note 3) The Funds are considered significant subsidiaries of that strategic investor under S-X 3-09. The financial statement for each of the Master Funds referenced below are attached to this report and should be read in conjunction with each Fund’s financial statements.

9. Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC (“510”) – On its inception date, August 6, 2015, 510 invested its assets in Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC, a Delaware limited liability company. As of December 31, 2016, 510 owned 100% of its Master Fund.

Galaxy Plus Fund – Emil van Essen STP Feeder Fund (516) LLC (“516”) – On its inception date, April 15, 2016, 516 invested its assets in Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC, a Delaware limited liability company. As of December 31, 2016, 516 owned 100% of its Master Fund.

Galaxy Plus Fund – Quest Feeder Fund (517) LLC (“517”) – On its inception date, June 29, 2016, 517 invested its assets in Galaxy Plus Fund – Quest Master Fund (517) LLC, a Delaware limited liability company. As of December 31, 2016, 517 owned 100% of its Master Fund.

Galaxy Plus Fund – Chesapeake Feeder Fund (518) LLC (“518”) – On its inception date, June 7, 2016, 518 invested its assets in Galaxy Plus Fund – Chesapeake Master Fund (518) LLC, a Delaware limited liability company. As of December 31, 2016, 518 owned 100% of its Master Fund.

Galaxy Plus Fund – LRR Feeder Fund (522) LLC (“522”) – On its inception date, April 28, 2016, 522 invested its assets in Galaxy Plus Fund – LRR Master Fund (522) LLC, a Delaware limited liability company. As of December 31, 2016, 522 owned 100% of its Master Fund.

Galaxy Plus Fund – QIM Feeder Fund (526) LLC (“526”) – On its inception date, June 22, 2016, 526 invested its assets in Galaxy Plus Fund – QIM Master Fund (526) LLC, a Delaware limited liability company. As of December 31, 2016, 526 owned 100% of its Master Fund.

Galaxy Plus Fund – Quantmetrics Feeder Fund (527) LLC (“527”) – On its inception date, June 13, 2016, 527 invested its assets in Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC, a Delaware limited liability company. As of December 31, 2016, 527 owned 100% of its Master Fund.

Galaxy Plus Fund – Doherty Feeder Fund (528) LLC (“528”) – On its inception date, July 19, 2016, 528 invested its assets in Galaxy Plus Fund – Doherty Master Fund (528) LLC, a Delaware limited liability company. As of December 31, 2016, 528 owned 100% of its Master Fund.

Galaxy Plus Fund – Aspect Feeder Fund (532) LLC (“532”) – On its inception date, December 16, 2016, 532 invested its assets in Galaxy Plus Fund – Aspect Master Fund (532) LLC, a Delaware limited liability company. As of December 31, 2016, 532 owned 100% of its Master Fund.

Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC (“535”) – On its inception date, September 19, 2016, 535 invested its assets in Galaxy Plus Fund – Quest FIT Master Fund (535) LLC, a Delaware limited liability company. As of December 31, 2016, 535 owned 100% of its Master Fund.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements
Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Onshore Platform’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Funds are investment companies and follow the accounting and reporting guidance in FASB Accounting Standards Codification Topic 946.

Investments:Each Fund invests its assets in its respective Master Fund.

Investment in Master Fund: Each Fund’s investment in its respective Master Fund is carried at fair value and represents the Fund’s pro-rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The assets of each Master Fund are carried at fair value. At each valuation date, each Master Fund’s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the respective Fund, based on the Fund’s pro rata interest in the net assets of the Master Fund, and recorded in the respective Fund’s Statement of Operations. The financial statements of the Master Fund are attached to this report and should be read in conjunction with the Onshore Platform’s financial statements.

Cash:The Funds maintain deposits with financial institutions in amounts that at times maybe in excess of federally insured limits. The amount of cash held at the financial institutions is determined by the Investors choice of trading leverage levels respective to the maximum trading level of the Funds, as determined by the Sponsor. The Funds do not believe they are exposed to any significant credit risk.

Subscriptions received in advance:Subscriptions received in advance are subscriptions proceeds received for the purchase of capital effective subsequent to period end.

Use of estimates:The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Interest income/expense: Interest income and expense is recognized on an accrual basis and includes the Master Fund’s interest income/expense from its broker that is allocated on a pro rata basis to the respective Fund.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are generally allocated, at the discretion of the Sponsor, pro-rata to the members based on their respective ownership percentage on the first day of each period throughout the year..

Income taxes: The Onshore Platform evaluates tax positions taken or expected to be taken to determine whether the tax positions are “more-likely-thank-not” of being sustained by the applicable tax authority. For tax positions meeting the “more-likely-thank-not” threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that had a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Funds have determined that

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

there is no tax liability resulting from uncertain income tax positions taken or expect to be taken with respect to all open tax years. No income tax returns are currently under examination. The Funds’ U.S. Federal tax returns for the periods since each Fund’s inception remain open.

The Funds are treated as partnerships for U.S. Federal income tax purposes and, as such, are generally not subject to U.S. Federal, state or local income taxes. The members of the Funds are liable for their share of all U.S. Federal, state, and local taxes, if any imposed on the net investment income and realized gains of the Funds.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for the Onshore Platform. In addition, in the normal course of business, the Onshore Platform enters into contracts with vendors and others that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Onshore Platform. However, the Onshore Platform expects the risk of loss to be remote.

Statement of cash flows: The Onshore Platform has elected not to provide statements of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Funds’ investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Funds had little or no debt during the period;

The Onshore Platform financial statements include statements of changes in members’ equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Onshore Platform may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Classes of Interest and Series

Four different classes of Interests (“Interests”) are currently offered by each Fund: Class A, Class B, Class C and Class EF Interests. Each Class is generally subject to different fees. Investors are eligible to receive Class A, Class B or Class C Interests depending on their aggregate Trading Level, as discussed in Note 5, on the Platform.

Class A Interests are available to (i) Investors who make capital contributions with an assigned Trading Level of $25,000,000 or more, as aggregated across all Funds in which capital contributions are invested, (ii) other collective investment vehicles or commodity pools sponsored by the Sponsor or its affiliates, and (iii) such other Investors as the Sponsor may determine. Class A Interests are subject to a Sponsor Fee and Sales Commissions.

Class B Interests are available to (i) Investors who make capital contributions with an assigned Trading Level between $5,000,000 and $24,999,999, as aggregated across all Funds in which capital contributions are invested, and (ii) such other Investors as the Sponsor may determine. Class B Interests are subject to a Sponsor Fee and Sales Commissions.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

Class C Interests are available to Investors who make capital contributions with an assigned Trading Level of less than $5,000,000, as aggregated across all Funds in which capital contributions are invested. Class C Interests are subject to a Sponsor Fee and Sales Commissions.

Class EF Interests are reserved for a strategic investor and not available to other investors without consent from the Sponsor. There is no stated minimum Trading Level for Class EF Interest. Class EF Interests are subject to a Sponsor Fee.

Once an Investor becomes eligible for Class B Interests, any Class C Interests held by such investor will be automatically converted into Class B Interests. Once an Investor becomes eligible for Class A Interests, any Class B Interests held by such Investor will be automatically converted into Class A Interests. Similarly, if an investor’s aggregate Trading Level falls below the minimum for Class A or Class B, such interests will be converted to Class B or Class C, as appropriate. All such conversions will occur at the first trading day after such minimum is breached.

An Investor of Class A, B, or C Interests, which invests more than once in a Fund, will receive a separate series with respect to each investment. Incentive Fees are calculated separately with respect to each such series. Series at or above their respective High Water Marks at the end of an Incentive Fee Calculation Period are subject to consolidation (i.e., “roll-up”) at the discretion of the Sponsor.

The Sponsor may from time to time offer additional classes or subclasses of Interest having different rights and privileges (including but not limited to different fees, funding factors, investment minimums and/or liquidity terms) from those described herein. The issuance of such additional class or sub-class of Interest will not require Investor’s approval; provided, that the terms of any such additional class or subclass of Interest do not materially adversely affect the Investors in the applicable Fund as a whole. Such additional class or sub-class of Interest may or may not be generally available to other Investors.

The amount of capital activity by each class of Interest for each Fund for the periods ended December 31, 2016, is as follows:

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  510 Series  510 Series  516 Series  517 Series 
  Class A  Class C  Class EF  Class EF  Class EF 
                     
Subscriptions $2,907,875  $66,667  $12,651,213  $12,442,497  $5,500,601 
Redemptions  (6,755,636)        (2,791,667)   
Transfers In               
Transfers out               
                     
December 31, 2016 $(3,847,761) $66,667  $12,651,213  $9,650,830  $5,500,601 

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  518 Series  522 Series  526 Series  526 Series  527 Series 
  Class EF  Class EF  Class C  Class EF  Class EF 
                     
Subscriptions $11,819,208  $7,668,664  $166,667  $18,041,130  $19,729,842 
Redemptions     (409,667)     (2,265,861)   
Transfers In               
Transfers out               
                     
December 31, 2016 $11,819,208  $7,258,997  $166,667  $15,775,269  $19,729,842 
                     
  Galaxy Plus  Galaxy Plus  Galaxy Plus         
  Fund LLC -  Fund LLC -  Fund LLC -         
  528 Series  532 Series  535 Series         
  Class EF  Class EF  Class EF         
                     
Subscriptions $6,336,585  $5,000,000  $8,800,000         
Redemptions                 
Transfers In                 
Transfers out                 
                     
December 31, 2016 $6,336,585  $5,000,000  $8,800,000         
                     

Some of the contributions made during the periods ended December 31, 2016 were in-kind contributions and have been presented as such on the Statements of Changes in Members’ Equity.

Transfers into and out of a Fund relating to movement from one class of Share to another, change in beneficial ownership, and consolidation to an older series may occur from time to time. Roll-ups are considered transfers for financial reporting purposes. Since the amount of transfers into and out of each Fund offset, such transfers are not shown in the Funds’ Statements of Changes in Members’ Equity. For the periods ended December 31, 2016, there were no transfers.

Note 4.Management, Incentive, Sponsor and Other Fees

Each Fund class will pay its respective Advisor, or in the case of Class EF, the managing owner of the member, both asset based (management fee) and performance based (incentive fee) compensation as outlined in the Supplement. In addition, each Fund class will pay the Sponsor asset based (sponsor fee) compensation and, if applicable, a selling agent will receive from each fund class an asset based fee (sales commission). All asset based fees are calculated on the same uniform fee base which is the beginning of the period Trading Level (as defined in the Supplement and discussed in Note 5) plus periodic trading profits and losses for the Fund. Investors can be charged different management and incentive fees at the discretion of the Sponsor.

Management Fee:Each Advisor earns a management fee (the “Management Fee”) which is calculated and accrued monthly (prorated for partial periods) and payable in arrears as of the last business day of each month. The rate at which the Management Fee is calculated is specific to each Fund and typically ranges from 0% to 3.50% per annum. Each Advisor may enter into fee sharing arrangements with the Sponsor, pursuant to which the Sponsor will receive a portion of the Management Fee to be paid to such advisor. During the period ended December 31, 2016, 510 paid $14,685 to the Sponsor related to these

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

fee sharing arrangements. In addition, the Sponsor can enter into agreements with Selling Agents in which the Selling Agent will receive a portion of the Management Fee on assets they introduce to the Funds. During the periods ended December 31, 2016, 510 paid management fees of $171 to Selling Agents.

Incentive Fee:As of the end of each calendar quarter, each Fund will pay an incentive fee (the “Incentive Fee”) to the Advisor equal to the percentage (the “Incentive Fee Rate”) of the New Net Profit (defined below) attributable to each series of Interest in such Fund. The Incentive Fee Rate is specific to each Fund and typically ranges from 20% to 30%.

Any Incentive Fee, if accrued, will also be made in respect of Interests withdrawn, at the time of such withdrawal, as if the withdrawal date were the end of a calendar quarter.

“New Net Profit” means, with respect to each series of Interest, the amount by which the Net Asset Value of such series of Interest as of the date of determination exceeds the High Water Mark (defined below) then attributable to such series of Interest.

Net Asset Value, for purposes of calculating the Incentive Fee, is calculated prior to reduction for the Incentive Fee being calculated. Net Asset Value is calculated after deduction for the Management Fee (regardless of whether such Management Fee is paid to an Advisor or to the Sponsor), but prior to deduction for the Sponsor Fee, Sales Commissions, and/or Operating Expenses.

“High Water Mark” means, with respect to each series of Interest, the greater of: (i) the aggregate Capital Contributions made to such series of Interest; and (ii) the Net Asset Value of such series of Interest as of the end of the most recent Incentive Fee Calculation Period as of which an Incentive Fee was made from such series of Interest (after deduction for the Incentive Fee then made). The High Water Mark with respect to a series of Interest is reduced proportionately when any withdrawal is made from such series of Interest — i.e., the High Water Mark immediately prior to any such withdrawal is multiplied by the fraction of the numerator of which is the Net Asset Value of such series of Interest immediately after such withdrawal and the denominator of which is such Net Asset Value immediately prior to such withdrawal (Net Asset Value in each case being calculated prior to reduction for any Incentive Fee).

As the Incentive Fee is calculated separately with respect to each investment made by an Investor, an Investor which invests more than once in a Fund is at risk of being subject to Incentive Fees in respect of capital contributions made at different times even though the overall value of such Investor’s investment in such Fund has declined.

The Trading Advisors may enter into side agreements with various investors changing the management/ incentive fees charged to those investors.

The managing owner of the Class EF members have entered into separate agreements with the Trading Advisors in which the managing owner will retain a portion of both the management and incentive fees charged to the Class EF members. During the periods ended December 31, 2016, the amount of management fees and incentive fees retained by the managing owner of Class EF interest are as follows:

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  516 Series  517 Series  518 Series  522 Series 
                     
Management Fee $15,007  $89,157  $62,579  $175,171  $81,489 
Incentive Fee  26,226   385,717      87,723   11,527 
                     
  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  527 Series  528 Series  532 Series  535 Series 
                     
Management Fee $111,745  $29,573  $23,082  $858  $ 
Incentive Fee  92,180      7,493       
                     

The amount of management fees and incentive fees due to the managing owner of the class EF members as of December 31, 2016 are as follows:

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  516 Series  517 Series  518 Series  522 Series 
                     
Accrued Management Fee $2,552  $9,444  $8,474  $23,810  $10,694 
Accrued Incentive Fee     99,665         11,527 
                     
  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  527 Series  528 Series  532 Series  535 Series 
                     
Accrued Management Fee $19,890  $4,530  $4,348  $858  $ 
Accrued Incentive Fee  45,933      5,771       
                     

Sponsor Fee:The Sponsor will receive from each Interest a monthly sponsor fee (the “Sponsor Fee”) calculated as a percentage (the “Sponsor Fee Rate”) applicable to each Class of Interests. The Sponsor Fee is calculated and accrued monthly and payable in arrears as of the last business day of each month. The Sponsor Fee is pro rated for partial periods. The annual Sponsor Fee Rate is 0.25% for Class A Interests, 0.50% for Class B Interests, 0.80% for Class C Interests, and 0.15% for Class EF Interests.

Sales Commission:Class A, B and C Interests are subject to monthly ongoing sales commissions (“Sales Commissions”) equal to a percentage (the “Sales Commission Rate”) applicable to each Class of Interest. Sales Commissions are calculated and accrued monthly and payable in arrears as of the last business day of each month. Sales Commissions are pro rated for partial periods. Sales Commissions are specific to an Investor and are agreed upon between the Investor and Selling Agent prior to making a contribution to the Onshore Platform. The Sales Commission Rate generally ranges between 0%-2% per annum. With the exception of 526, no sales commissions were charged during the periods ended December 31, 2016. Sales commissions are included in the Sponsor Fee totals on the Statements of Operations.

Operating Expenses:The Sponsor will be responsible for paying all ongoing operating costs of each Fund and the Platform as the expenses are incurred, including, but not limited to, any administrative,

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

transfer, exchange and withdrawal processing costs; legal, compliance, regulatory, reporting, filing, escrow, accounting and printing fees and expenses; and any other operating or administrative expenses related to accounting, research, due diligence or reporting; however, each Fund will be responsible for paying all of its execution and clearing brokerage commissions; forward and other over-the-counter trading spreads; Fund set-up and organization expenses (which can be capped at the discretion of the Sponsor); bank wire fees; and extraordinary expenses such as litigation and indemnification.

Effective December 1, 2016, the Sponsor amended the Offering Memorandum of the Onshore Platform so that expenses related to audit and taxes will be borne by the Funds. The professional services related to the 2016 financial statement audits and 2016 tax return preparation are performed in calendar year 2017. As a result, the 2016 audit and tax fees will be recorded as expenses by the funds in 2017 when these services are performed.

Note 5.Notional Funding

The ability to customize notional funding in the various Funds is a special feature of the Onshore Platform. The Sponsor determines each Fund’s Maximum Funding Factor (i.e., the maximum ratio of Trading Level to actual capital invested in such Fund) and may increase or reduce such Maximum Funding Factor at any time. In establishing a Fund’s Maximum Funding Factor, the Sponsor generally considers the Advisor’s maximum 5 day drawdown and its typical margin-to-equity ratio and sets the Maximum Funding Factor to protect against any failure to meet margin calls.

The leverage used by a Master Fund (i.e., the ratio of the notional amount of the futures and forward contracts held by such Master Fund to the Trading Level of such Master Fund) will fluctuate on an ongoing basis. The Advisors will adjust such leverage in response to market conditions and will not maintain any set relationship between the Trading Level of a Master Fund and the notional amount of the futures and forward positions held for such Master Fund. The notional amount of the futures and forward contracts held by a Master Fund is likely to exceed the Trading Level of such Master Fund by a factor of 10 or more.

Investors customize their notional funding of their investment in a Fund by choosing an Effective Funding Factor (which must be no greater than the Maximum Funding Factor). The Effective Funding Factor so chosen is implemented by the applicable Fund by keeping a portion of the capital at the Fund’s bank account or, as the Fund matures, by keeping a certain percentage of an Investor’s investment to the Fund’s bank account rather than allocating such capital to the corresponding Master Fund. All capital allocated by a Fund to its corresponding Master Fund is traded at the Maximum Funding Factor for such Fund.

Due to market appreciation/depreciation and other factors, an Investor’s Trading Level to actual capital contributed by such Investor will diverge — potentially materially — from such Investor’s selected Effective Funding Factor. As a result, the Sponsor will from time to time rebalance allocations between the corresponding Master Fund and Fund’s bank account in an attempt to reflect the desired Effective Funding Factor. Such rebalancing is not done pursuant to any predefine parameters but is done at the Sponsor’s discretion.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements
Note 6.In-Kind Contributions

On 518’s commencement of operation date in June of 2016, the first subscription was made, in part, via a transfer of assets on that date. Investors contributed $94,417 in unrealized appreciation on open futures contracts. 518 immediately made an in-kind contribution in Master on that same date.

On 522’s commencement of operation date in April of 2016, the first subscription was made, in part, via an assumption of liabilities on that date. 522 assumed liabilities of $27,740 in fair value of options written from the initial investors. 522 immediately made an in-kind contribution in Master on that same date.

On 528’s commencement of operation date in July of 2016, the first subscription was made, in part, via a transfer of assets on that date. Investors contributed $125,475 in fair value of options purchased and assumed liabilities of $49,805 in fair value of options written. 528 immediately made an in-kind contribution in Master on that same date.

Note 7.Financial Instruments with off-balance sheet risk and concentration of credit risk

At December 31, 2016, none of the Funds have direct commitments to buy or sell financial instruments, including derivative instruments. Each Fund does have indirect buy and sell commitments that arise through the positions held by the Master Fund in which each respective Fund invests. However, as an investor in a Master Fund, each Fund’s risk at December 31, 2016, is limited to the fair value of its investment in the Master Fund.

Note 8.Financial highlights

Financial highlights for each Fund and its respective Class(es) for the periods ended December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  510 Series  510 Series  510 Series  516 Series 
  Class A  Class C  Class EF  Class EF 
                 
Total return before incentive fee  3.59%  2.46%  -11.22%  18.07%
Incentive fee  -0.29%  -0.53%  -1.10%  -3.38%
Total return after incentive fee (A)  3.30%  1.93%  -12.32%  14.69%
                 
                 
                 
Ratio to average members’ equity (B):                
Expenses excluding incentive fee  4.04%  8.37%  2.26%  3.88% *
Incentive fee  0.28%  0.52%  1.15%  3.19%
Total expenses and incentive fee  4.32%  8.89%  3.41%  7.07%
                 
Net investment income (loss) (C)  -4.32%  -8.89%  3.41%  -7.07% *
                 
  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  517 Series  518 Series  522 Series  526 Series 
  Class EF  Class EF  Class EF  Class C 
                 
Total return before incentive fee  -29.59%  -2.25%  6.22%  12.42%
Incentive fee  0.00%  -0.79%  -1.25%  -3.66%
Total return after incentive fee (A)  -29.59%  -3.04%  4.97%  8.76%
                 
                 
                 
Ratio to average members’ equity (B):                
Expenses excluding incentive fee  3.81% *  3.27% *  5.89% *  2.93% *
Incentive fee  0.00%  0.73%  1.35%  3.54%
Total expenses and incentive fee  3.81%  4.00%  7.24%  6.47%
                 
Net investment income (loss) (C)  -3.81% *  -4.00% *  -7.24% *  -6.47% *

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements

  Galaxy Plus  Galaxy Plus  Galaxy Plus  Galaxy Plus 
  Fund LLC -  Fund LLC -  Fund LLC -  Fund LLC - 
  526 Series  527 Series  528 Series  532 Series 
  Class EF  Class EF  Class EF  Class EF 
                 
Total return before incentive fee  34.45%  -2.53%  3.85%  -7.60%
Incentive fee  -8.29%  0.00%  -0.82%  0.00%
Total return after incentive fee (A)  26.16%  -2.53%  3.03%  -7.60%
                 
                 
                 
Ratio to average members’ equity (B):                
Expenses excluding incentive fee  2.86% *  1.98% *  1.39% *  3.44% *
Incentive fee  9.24%  0.00%  0.81%  0.00%
Total expenses and incentive fee  12.10%  1.98%  2.20%  3.44%
                 
Net investment income (loss) (C)  -12.10% *  -1.98% *  -2.20% *  -3.44% *
                 
  Galaxy Plus             
  Fund LLC -             
  535 Series             
  Class EF             
                 
Total return before incentive fee  27.08%            
Incentive fee  0.00%            
Total return after incentive fee (A)  27.08%            
                 
                 
                 
Ratio to average members’ equity (B):                
Expenses excluding incentive fee  1.87% *            
Incentive fee  0.00%            
Total expenses and incentive fee  1.87%            
                 
Net investment income (loss) (C)  -1.87% *            
                 
*Ratios annualized for partial periods.

(A)Total return is based on the change in average members’ equity during the period of a theoretical investment made at the inception of the Fund.

(B)The total expense and net investment income (loss) ratios are computed based upon weighted-average members’ equity as a whole for the periods ended December 31, 2016.

(C)The net investment income/(loss) ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each permanent, non-managing class of interest. An individual member’s return and ratios may vary based on different incentive and/or management fee arrangements, and the timing of capital interest transactions. The net investment income/(loss) and total expense ratios, excluding nonrecurring expenses, have been annualized for partial periods. Total returns have not been annualized.

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Galaxy Plus Fund LLC
(A Delaware Series Limited Liability Company)
Notes to the Financial Statements
Note 9.Subsequent events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Onshore Platform’s financial statements through March 24, 2017, the date the financial statements were available for issuance.

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Galaxy Plus Fund – Aspect
Master Fund (532) LLC
(A Delaware Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Aspect Master Fund (532) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from December 16, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Aspect Master Fund (532) LLC as of December 31, 2016, and the results of its operations for the period from December 16, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $2,611,117 
Restricted cash - margin balance  2,301,058 
Receivable from onshore feeder fund  1,000 
     
Total assets $4,913,175 
     
Liabilities and Member’s Equity    
     
Liabilities    
Deficit in commodity trading accounts at clearing brokers:    
Investments in futures contracts at fair value
(represents unrealized depreciation on open derivative contracts, net)
 $286,034 
Total liabilities  286,034 
     
Member’s equity  4,627,141 
     
Total liabilities and member’s equity $4,913,175 
     

See notes to financial statements.

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Galaxy Plus Fund - Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of    Percent of 
  Contracts/Units Fair Value  Member’s Equity 
Long positions:          
Derivative contracts:          
Domestic (United States):          
Futures contracts:          
Agriculture 4 $(7,613)  (0.16)%
Currency 14  (16,970)  (0.37)
Energy 7  13,732   0.30 
Index 50  (31,795)  (0.69)
Metals 4  (9,375)  (0.20)
Foreign:          
Futures contracts:          
Energy 1  (100)  (0.00)
Index 110  15,820   0.34 
Interest 25  12,208   0.26 
Metals 6  (26,275)  (0.57)
           
Total long positions    (50,368)  (1.09)
           
Short positions:          
Derivative contracts:          
Domestic (United States):          
Futures contracts:          
Agriculture 37  (16,256)  (0.35)
Currency 96  (99,543)  (2.15)
Interest 138  (74,241)  (1.60)
Metals 7  (13,630)  (0.29)
Foreign:          
Futures contracts:          
Index 8  (1,886)  (0.04)
Interest 199  (34,228)  (0.74)
Metals 3  4,118   0.09 
           
Total short positions    (235,666)  (5.09)
           
           
Investments in futures contracts, at fair value   $(286,034)  (6.18)%
           

See notes to financial statements.

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Galaxy Plus Fund - Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from December 16, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Net investment income $ 
     
Realized and unrealized loss on investments and foreign currency transactions:    
Net realized loss from:    
Derivative contracts1 $(86,638)
Foreign currency transactions  (13)
   (86,651)
     
Net increase (decrease) in unrealized depreciation on:    
Derivative contracts  (286,034)
Translation of assets and liabilities denominated in foreign currencies  (174)
   (286,208)
     
Net realized and unrealized loss on investments and foreign currency transactions  (372,859)
     
Net decrease in member’s equity resulting from operations $(372,859)
     
1Includes broker trading commissions

See notes to financial statements.

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Galaxy Plus Fund - Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from December 16, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment income $ 
Net realized gain (loss) from derivative contracts and foreign currency transactions  (86,651)
Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  (286,208)
     
Net decrease in member’s equity resulting from operations  (372,859)
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  5,000,000 
     
Net increase in member’s equity resulting from capital transactions  5,000,000 
     
Total increase  4,627,141 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $4,627,141 
     

See notes to financial statements.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 1.Organization and Structure

Galaxy Plus Fund – Aspect Master Fund (532) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 20, 2016 and commenced operations on December 16, 2016. The Master Fund was created to serve as the trading entity managed Aspect Capital Limited, L.L.C. (the “Trading Advisor”) pursuant to its Aspect Core Diversified Program (the “Program”). The Program applies a proprietary and systematic quantitative investment approach to generate profit from trends in both rising and falling markets.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Aspect Feeder Fund (532) (“LLC532”), a separated series of the Onshore Platform and Galaxy Plus Fund – Aspect Offshore Feeder Fund (532) Segregated Portfolio (“SPC532”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 532 had not commenced operations.

LLC532 and SPC532 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

None.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $4,954,266 is held in USD and a payable of ($42,091) in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $2,301,058. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (see Note 5).

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions, and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Agriculture $469  $469  $  $ 
Currency  256   256       
Energy  14,432   14,432       
Index  64,694   64,694       
Interest  17,325   17,325       
Metals  5,609   5,609       
                 
Total investment assets at fair value  102,785   102,785       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Agriculture  (24,338)  (24,338)      
Currency  (116,769)  (116,769)      
Energy  (800)  (800)      
Index  (82,555)  (82,555)      
Interest  (113,586)  (113,586)      
Metals  (50,771)  (50,771)      
                 
Total investment liabilities at fair value  (388,819)  (388,819)      
                 
Total net investment at fair value $(286,034) $(286,034) $  $ 

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity Notional Value  Description Quantity Notional Value 
Long:       Short:      
Agriculture 4 $200,800  Agriculture 37 $(833,523)
Currency 14  1,005,500  Currency 96  (10,153,788)
Energy 8  409,568  Index 8  (259,054)
Index 160  12,411,899  Interest 337  (98,099,644)
Interest 25  3,549,392  Metals 10  (1,046,944)
Metals 10  732,057         

During the period ended December 31, 2016, the Master Fund participated in 551 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Agriculture $(29,808)
Currency  (159,301)
Energy  14,792 
Index  (34,488)
Interest  (113,719)
Metals  (48,675)
Total futures contracts  (371,199)
     
Trading costs  (1,473)
     
Total net trading gain (loss)  (372,672)

*Includes both realized loss of ($86,638) and unrealized loss of ($286,034) and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
             
Futures $(388,819) $102,785  $(286,034)
Total $(388,819) $102,785  $(286,034)
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
             
Counterparty A $(286,034) $2,301,058  $2,015,024 
Total $(286,034) $2,301,058  $2,015,024 

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period December 15, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)(7.46)%
Ratio to average member’s equity (B):
Net investment income (C)%
Total expenses%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The negative total return would have been larger, and the net investment income and total expense ratios would have been higher if the management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Aspect Master Fund (532) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from December 16, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund –

Chesapeake Master Fund (518)

LLC

(A Delaware Limited Liability Company)

The attached annual report is filed under exemption pursuant to

Section 4.7 of the regulations under the Commodity Exchange Act.

Financial Report

December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Chesapeake Master Fund (518) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from June 7, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Chesapeake Master Fund (518) LLC as of December 31, 2016, and the results of its operations for the period from June 7, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $6,104,869 
Restricted cash - margin balance  5,814,400 
Receivable from onshore feeder fund  1,000 
Other assets  11,065 
     
Total assets $11,931,334 
     
Liability and Member’s Equity    
     
Liability    
Deficit in commodity trading accounts at clearing brokers:    
Investments in futures contracts at fair value (represents unrealized depreciation on open derivative contracts, net) $425,852 
Total liability  425,852 
     
Member’s equity  11,505,482 
     
Total liability and member’s equity $11,931,334 

See notes to financial statements.

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Galaxy Plus Fund - Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  81  $(96,938)  (0.84)%
Currency  169   (120,815)  (1.05)
Energy  3   395   0.01 
Index  2,085   (183,693)  (1.60)
Metals  8   (39,860)  (0.35)
Foreign:            
Futures contracts:            
Agriculture  95   (40,914)  (0.36)
Energy  4   925   0.01 
Interest  2   7,881   0.07 
Metals  52   32,589   0.28 
             
Total long positions      (440,430)  (3.83)
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  102   42,890   0.37 
Currency  188   15,126   0.14 
Index  123   5,176   0.04 
Interest  236   (44,437)  (0.39)
Metals  3   (6,000)  (0.05)
Foreign:            
Futures contracts:            
Agriculture  135   51,799   0.45 
Interest  224   (21,880)  (0.19)
Metals  9   (28,096)  (0.24)
             
Total short positions      14,578   0.13 
             
Investments in futures contracts, at fair value     $(425,852)  (3.70)%

See notes to financial statements.

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(A Delaware Limited Liability Company)
Statement of Operations
For the period from June 7, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Expenses:    
Interest expense $6,758 
     
Total expenses  6,758 
     
Net investment loss  (6,758)
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized gain from:    
Derivative contracts1  405,614 
Foreign currency transactions  3,842 
   409,456 
     
Net increase (decrease) in unrealized depreciation on:    
Derivative contracts  (425,852)
Translation of assets and liabilities denominated in foreign currencies  2,117 
   (423,735)
     
Net realized and unrealized loss on investments and foreign currency transactions  (14,279)
     
Net decrease in member’s equity resulting from operations $(21,037)

1Includes broker trading commisions

See notes to financial statements.

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Galaxy Plus Fund - Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from June 7, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(6,758)
Net realized gain (loss) from derivative contracts and foreign currency transactions  409,456 
Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  (423,735)
     
Net decrease in member’s equity resulting from operations  (21,037)
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  11,724,790 
Proceeds from in-kind contribution  94,417 
Payments for redemptions of capital  (292,688)
     
Net increase in member’s equity resulting from capital transactions  11,526,519 
     
Total increase  11,505,482 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $11,505,482 

See notes to financial statements.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – Chesapeake Master Fund (518) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 6, 2016 and commenced operation on June 7, 2016. The Master Fund was created to serve as the trading entity managed by Chesapeake Capital Corporation (the “Trading Advisor”) pursuant to its Diversified Program (the “Program”). The Program employs a systematic disciplined investment approach based on trend and momentum, diversification, and capital preservation.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund - Chesapeake Feeder Fund (518) (“LLC518”), a separated series of the Onshore Platform and Galaxy Plus Fund – Chesapeake Offshore Feeder Fund (518) Segregated Portfolio (“SPC518”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC518 has not yet commenced operations.

LLC518 and SPC518 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $12,052,692 is held in USD and a payable balance of ($133,423) in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $5,814,400. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/ (depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any,

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Agriculture $196,586  $196,586  $  $ 
Currency  197,951   197,951       
Energy  3,010   3,010       
Index  105,124   105,124       
Interest  46,146   46,146       
Metals  127,303   127,303       
                 
Total investment assets at fair value  676,120   676,120       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Agriculture  (239,749)  (239,749)      
Currency  (303,640)  (303,640)      
Energy  (1,690)  (1,690)      
Index  (283,641)  (283,641)      
Interest  (104,582)  (104,582)      
Metals  (168,670)  (168,670)      
                 
Total investment liabilities at fair value  (1,101,972)  (1,101,972)      
                 
Total net investment at fair value $(425,852) $(425,852) $  $ 

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity  Notional Value  Description Quantity  Notional Value 
Long:         Short:        
Agriculture  176  $4,295,326  Agriculture  237  $(4,580,359)
Currency  169   13,042,755  Currency  188   (19,846,112)
Energy  7   388,247  Index  123   (839,216)
Index  2,085   16,290,529  Interest  460   (80,443,020)
Interest  2   310,850  Metals  12   (970,948)
Metals  60   4,041,915           

During the period ended December 31, 2016, the Master Fund participated in 2,837 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Agriculture $(22,570)
Currency  558,170 
Energy  (53,624)
Index  196,686 
Interest  (421,152)
Metals  (242,409)
Total futures  15,101 
     
Trading costs  (35,339)
     
Total net trading gain (loss)  (20,238)

*Includes both realized gain of $405,614 and unrealized loss of ($425,852) and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $(1,101,972) $676,120  $(425,852)
Total $(1,101,972) $676,120  $(425,852)
          
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
          
Counterparty A $(425,852) $5,814,400  $5,388,548 
Total $(425,852) $5,814,400  $5,388,548 

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Subscription in kind

The Master Fund commenced operations on June 7, 2016. The first subscription into the Master Fund was made by LLC518 and was done, in part, via a transfer of assets on that date. LLC518 contributed $94,417 in unrealized appreciation on open futures contracts.

Note 8.Financial Highlights

Financial highlights of the Master Fund for the period June 7, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)(0.46)%
Ratio to average member’s equity (B):
Net investment income (C)(0.09)%
Total expenses0.09%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income would have been lower and total expense ratios would have been higher if the Trading Advisor management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 9.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Chesapeake Master Fund (518) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from June 7, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund – Doherty
Master Fund (528) LLC
(A Delaware Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Doherty Master Fund (528) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from July 19, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Doherty Master Fund (528) LLC as of December 31, 2016, and the results of its operations for the period from July 19, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)

Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets   
    
Equity in commodity trading accounts at clearing brokers:    
Cash $6,032,278 
Restricted cash - margin balance  496,013 
Options purchased, at fair value (cost: $284,965)  173,153 
Receivable from onshore feeder fund  1,000 
Other assets  11,869 
     
Total assets $6,714,313 
     
Liabilities and member’s equity    
     
Liabilities    
Deficit in commodity trading accounts at clearing brokers:    
Investments in futures contracts at fair value (represents unrealized depreciation on open derivative contracts, net) $6,600 
Options written, at fair value (proceeds: $345,843)  150,655 
Total liabilities  157,255 
     
Member’s equity  6,557,058 
     
Total liabilities and member’s equity $6,714,313 

See notes to financial statements.

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Galaxy Plus Fund - Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)

Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Options purchased on futures contracts:            
Index (cost: $284,965)  230  $173,153   2.64%
Futures contracts:            
Index  6   (6,600)  (0.10)
             
Total long positions      166,553   2.54 
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Options written on futures contracts:            
Index (proceeds: $345,843)  2,037   (150,655)  (2.30)
             
Total short positions      (150,655)  (2.30)
             
Investments and options, at fair value     $15,898   0.24%

See notes to financial statements.

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Galaxy Plus Fund - Doherty Master Fund (528) LLC

(A Delaware Limited Liability Company)

Statement of Operations

For the period from July 19, 2016 (Commencement of Operations) to December 31, 2016

(Expressed in U.S. Dollars)

Net investment income $ 
     
Realized and unrealized gain (loss) on investments:    
Net realized gain (loss) from:    
Derivative contracts1  212,853 
   212,853 
     
Net increase (decrease) in unrealized appreciation on:    
Derivative contracts  76,776 
   76,776 
    
Net realized and unrealized gain on investments and foreign currency transactions  289,629 
     
Net increase in member’s equity resulting from operations $289,629 

1Includes broker trading commissions

See notes to financial statements.

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Galaxy Plus Fund - Doherty Master Fund (528) LLC

(A Delaware Limited Liability Company)

Statement of Changes in Member’s Equity
For the period from July 19, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment income $ 
Net realized gain (loss) from investments  212,853 
Net increase (decrease) in unrealized appreciation on investments  76,776 
     
Net increase in member’s equity resulting from operations  289,629 
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  6,260,916 
Proceeds from in-kind contribution  75,670 
Payments for redemptions of capital  (69,157)
     
Net increase in member’s equity resulting from capital transactions  6,267,429 
     
Total increase  6,557,058 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $6,557,058 

See notes to financial statements.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – Doherty Master Fund (528) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 20, 2016 and commenced operation on July 19, 2016. The Master Fund was created to serve as the trading entity managed by Doherty Advisory, L.L.C. (the “Trading Advisor”) pursuant to its Relative Value Moderate (the “Program”). The Program is a discretionary pure relative value/market neutral arbitrage strategy.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Doherty Feeder Fund (528) (“LLC528”), a separated series of the Onshore Platform and Galaxy Plus Fund – Doherty Offshore Feeder Fund (528) Segregated Portfolio (“SPC528”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC528 has not yet commenced operations.

LLC528 and SPC528 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund can hold various currencies at the clearing broker, of which $6,528,291 is held in USD and $0 in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $496,013. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition: Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Options purchased on futures                
contracts:                
Index $173,153  $173,153  $  $ 
                 
Total investment assets at fair value  173,153   173,153       
                 
Liabilities:                
Derivative contracts:                
Options written on futures contracts:                
Index  (150,655)  (150,655)      
Futures contracts:                
Index  (6,600)  (6,600)      
                 
Total investment liabilities at fair value  (157,255)  (157,255)      
                
Total net investment at fair value $15,898  $15,898  $  $ 

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

Description Quantity  Notional Value 
Long:        
Index  6  $670,875 

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

During the period ended December 31, 2016, the Master Fund participated in 280 futures contract, and 3,687 options on futures contract transactions.

Transactions in options written during the period ending December 31, 2016, were as follows:

Combined
  Number of  Premiums 
  Contracts  Received 
       
Options outstanding at July 19, 2016    $ 
Options written  7,603   1,033,536 
Options terminated in closing purchase transaction  (267)  (65,527)
Options expired  (5,239)  (606,413)
Options exercised  (60)  (15,753)
Options outstanding at December 31, 2016  2,037  $345,843 

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Options on futures contracts:   
Index $(78,665)
Total options on futures contracts  (78,665)
     
Futures contracts:    
Index  387,629 
Total futures contracts  387,629 
     
Trading costs  (19,335)
     
Total net trading gain (loss)  289,629 

*Includes both realized gain of $212,853 and unrealized gain of $76,776 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $(6,600) $  $(6,600)
Options purchased on futures contracts  173,153      173,153 
Options written on futures contracts  (150,655)     (150,655)
Total $15,898  $  $15,898 

        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
             
Counterparty A $15,898  $496,013  $511,911 
Total $15,898  $496,013  $511,911 

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Subscription in kind

The Master Fund commenced operations on July 19, 2016. The first subscription into the Master Fund was made by LLC528 and was done, in part, via a transfer of assets on that date. LLC518 contributed net $75,670 in fair value of options purchased.

Note 8.Financial Highlights

Financial highlights of the Master Fund for the period July 19, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)4.59%
Ratio to average member’s equity (B):
Net investment income (C)%
Total expenses%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and net investment income would have been lower, and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 9.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Doherty Master Fund (528) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from July 19, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

 
David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund –

Emil van Essen STP Master

Fund (516) LLC

(A Delaware Limited Liability Company)

The attached annual report is filed under exemption pursuant to

Section 4.7 of the regulations under the Commodity Exchange Act.

Financial Report

December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from April 15, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC as of December 31, 2016, and the results of its operations for the period from April 15, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $9,899,772 
Restricted cash - margin balance  3,039,420 
Other assets  11,987 
     
Total assets $12,951,179 
     
Liabilities and Member’s Equity    
     
Liabilities    
Deficit in commodity trading accounts at clearing brokers:    
Investments in futures contracts at fair value (represents unrealized depreciation on open derivative contracts, net) $1,249,410 
Payable to Onshore Feeder Fund  50,740 
Total liabilities  1,300,150 
     
Member’s equity  11,651,029 
     
Total liabilities and member’s equity $12,951,179 

See notes to financial statements.

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Galaxy Plus Fund - Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

        Percent of 
  Number of     Member’s 
  Contracts/Units  Fair Value  Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture            
Cattle            
Maturing June 2017  382  $585,461   5.02%
Other maturities  40   86,572   0.74 
Other  352   (67,518)  (0.58)
Energy            
Crude            
Maturing March 2018  416   1,806,575   15.51 
Other maturities1,2  272   681,526   5.85 
Gasoline            
Maturing March 2017  154   856,153   7.35 
Other2  667   927,263   7.96 
Interest  232   (74,449)  (0.64)
Metals  144   (187,498)  (1.61)
Foreign:            
Futures contracts:            
Energy  44   156,200   1.34 
             
Total long positions     $4,770,285   40.94%

(Continued)

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Galaxy Plus Fund - Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments (Continued)
December 31, 2016
(Expressed in U.S. Dollars)

        Percent of 
  Number of     Member’s 
  Contracts/Units  Fair Value  Equity 
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture            
Cattle            
Maturing April 2017  422  $(823,991)  (7.07)%
Other  352   54,479   0.47 
Energy            
Crude            
Maturing December 2017  197   (857,258)  (7.36)
Maturing January 2018  241   (1,244,171)  (10.69)
Other maturities2,3  423   (604,685)  (5.19)
Diesel Fuel2,3  197   (752,358)  (6.46)
Natural Gas2,4  523   (849,502)  (7.30)
Gasoline            
Maturing February 2017  154   (836,606)  (7.18)
Other maturities  44   (211,411)  (1.81)
Interest  232   60,274   0.52 
Metals  72   163,716   1.41 
Foreign:            
Futures contracts:            
Energy  80   (118,182)  (1.01)
             
Total short positions      (6,019,695)  (51.67)
             
Investments and options, at fair value     $(1,249,410)  (10.73)%

1Maturities range from May 2017 through February 2018

2No individual contract or contract month is greater than 5% of member’s equity

3Maturities range from February 2017 through June 2017

4Maturities range from February 2017 through October 2018

See notes to financial statements.

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Galaxy Plus Fund - Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from April 15, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Net investment income $ 
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized gain (loss) from:    
Derivative contracts1  3,934,142 
Foreign currency transactions  (191)
   3,933,951 
     
Net increase (decrease) in unrealized depreciation on:    
Derivative contracts  (1,249,410)
Translation of assets and liabilities denominated in foreign currencies  (3,656)
   (1,253,066)
     
Net realized and unrealized gain on investments and foreign currency transactions  2,680,885 
     
Net increase in member’s equity resulting from operations $2,680,885 

1Includes broker trading commisions

See notes to financial statements.

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Galaxy Plus Fund - Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from April 15, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment income $ 
Net realized gain (loss) from derivative contracts and foreign currency transactions  3,933,951 
Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  (1,253,066)
     
Net increase in member’s equity resulting from operations  2,680,885 
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  12,442,498 
Payments for redemptions of capital  (3,472,354)
     
Net increase in member’s equity resulting from capital transactions  8,970,144 
     
Total increase  11,651,029 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $11,651,029 

See notes to financial statements.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 7, 2016 and commenced operations on April 15, 2016. The Master Fund was created to serve as the trading entity managed by Emil van Essen, L.L.C. (the “Trading Advisor”) pursuant to its The Multi-Strategy Program (the “Program”). The Program is an approximate 50/50 combination of the Spread Trading Program and the Long-Short Commodity Program.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master funds. Galaxy Plus Fund – Emil van Essen Feeder Fund (516) (“LLC516”), a separated series of the Onshore Platform and Galaxy Plus Fund – Emil van Essen Offshore Feeder Fund (516) Segregated Portfolio (“SPC516”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 516 had not yet commenced operations.

LLC530 and SPC530 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $12,890,986 is held in USD and $48,206 in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $3,039,420. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (see Note 5).

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Agriculture $926,560  $926,560  $  $ 
Energy  4,621,523   4,621,523       
Interest  60,274   60,274       
Metals  168,374   168,374       
                 
Total investment assets at fair value  5,776,731   5,776,731       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Agriculture  (1,091,557)  (1,091,557)      
Energy  (5,667,979)  (5,667,979)      
Interest  (74,449)  (74,449)      
Metals  (192,156)  (192,156)      
                 
Total investment liabilities at fair value  (7,026,141)  (7,026,141)      
                 
Total net investment at fair value $(1,249,410) $(1,249,410) $  $ 

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

Description Quantity  Notional Value  Description Quantity  Notional Value 
Long:         Short:        
Agriculture  774  $25,631,910  Agriculture  774  $(27,345,460)
Energy  1,553   78,201,502  Energy  1,859   (99,919,567)
Interest  232   56,840,000  Interest  232   (57,118,400)
Metals  144   7,802,070  Metals  72   (4,532,400)

During the period ended December 31, 2016, the Master Fund participated in 3,234 futures contract, and 24 options on futures contract transactions.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Transactions in options written during the period ending December 31, 2016, were as follows:

  Number of  Premiums 
  Contracts  Received 
       
Options outstanding at April 15, 2016    $ 
Options written  1,784   173,640 
Options terminated in closing purchase transaction      
Options expired  (1,784)  (173,640)
Options exercised      
Options outstanding at December 31, 2016    $ 

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Options on futures contracts:    
Energy $(90,450)
Total options on future contracts  (90,450)
     
Futures contracts:    
Agriculture  412,690 
Energy  1,485,335 
Interest  109,881 
Metals  1,121,772 
Total futures contracts  3,129,678 
     
Trading costs  (354,496)
     
Total net trading gain (loss)  2,684,732 

*Includes both realized gain of $3,934,142 and unrealized loss of ($1,249,410) and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
          
Futures $(7,026,141) $5,776,731  $(1,249,410)
Total $(7,026,141) $5,776,731  $(1,249,410)
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
          
Counterparty A $(1,249,410) $3,039,420  $1,790,010 
Total $(1,249,410) $3,039,420  $1,790,010 

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period April 15, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total Return (A)21.48%
Ratio to average member’s equity (B):
Net investment income (C)%
Total expenses%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return and the net investment loss would have been lower and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from April 15, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund – FORT

Contrarian Master Fund (510)

LLC

(A Delaware Limited Liability Company)

The attached annual report is filed under exemption pursuant to

Section 4.7 of the regulations under the Commodity Exchange Act.

Financial Report

December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the year then ended, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC as of December 31, 2016, and the results of its operations for the year then ended in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $8,363,795 
Restricted cash - margin balance  3,263,570 
Other assets  9,333 
     
Total assets $11,636,698 
     
Liability and Member’s Equity    
     
Liabilities    
Deficit in in commodity trading accounts at clearing brokers:    
Investments in futures contracts at fair value (represents unrealized depreciation on open derivative contracts, net) $178,326 
Redemptions payable  5,456 
Total liabilities  183,782 
     
Member’s equity  11,452,916 
     
Total liabilities and member’s equity $11,636,698 

See notes to financial statements.

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Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Currency  154  $(149,873)  (1.31)%
Energy  15   3,285   0.03 
Index  65   (39,082)  (0.34)
Interest  854   (127,980)  (1.12)
Metals  8   (23,205)  (0.20)
Foreign:            
Futures contracts:            
Energy  4   6,200   0.05 
Index  144   116,019   1.01 
Interest  945   133,285   1.17 
             
Total long positions      (81,351)  (0.71)
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Currency  187   (74,333)  (0.65)
Energy  8   (11,885)  (0.10)
Foreign:            
Futures contracts:            
Energy  1   (380)  (0.01)
Interest  87   (10,377)  (0.09)
             
Total short positions      (96,975)  (0.85)
             
Investments in futures contracts, at fair value     $(178,326)  (1.56)%

See notes to financial statements.

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Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the year ended December 31, 2016
(Expressed in U.S. Dollars)

Investment Income:    
Interest income $ 
     
Expenses:    
Interest expense  21 
     
Total expenses  21 
     
Net investment loss  (21)
     
Realized and unrealized loss on investments and foreign currency transactions:    
Net realized loss from:    
Derivative contracts1  (827,897)
Foreign currency transactions  (12,134)
   (840,031)
     
Net increase (decrease) in unrealized depreciation on:    
Derivative contracts  (177,990)
Translation of assets and liabilities denominated in foreign currencies  (238)
   (178,228)
     
Net realized and unrealized loss on investments and foreign currency transactions  (1,018,259)
     
Net decrease in member’s equity resulting from operations $(1,018,280)

1Includes broker trading commisions

See notes to financial statements.

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Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the year ended December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(21)
Net realized gain (loss) from derivative contracts and foreign currency transactions  (840,031)
Net increase (decrease) in unrealized depreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  (178,228)
     
Net decrease in member’s equity resulting from operations  (1,018,280)
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  14,319,802 
Payments for redemptions of capital  (4,144,889)
     
Net increase in member’s equity resulting from capital transactions  10,174,913 
     
Total increase  9,156,633 
     
Member’s equity, beginning of year  2,296,283 
     
Member’s equity, end of year $11,452,916 

See notes to financial statements.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on June 5, 2015. The Master Fund was created to serve as the trading entity managed by Fort L.P. (the “Trading Advisor”) pursuant to its Global Contrarian (the “Program”). The Program is a systematic, trend-anticipating trading program that seeks to capitalize on medium to long-term trends.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including funds of hedge funds) (“Investors”), a variety of third-part professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master funds. Galaxy Plus Fund – FORT Contrarian Feeder Fund (510) LLC (“LLC510”), a separated series of the Onshore Platform and Galaxy Plus Fund – Fort Contrarian Offshore Feeder Fund (510) Segregated Portfolio (“SPC510”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 510 had not yet commenced operations.

LLC510 and SPC510 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $11,639,859 is held in USD and a payable balance of ($12,494) in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $3,263,570. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation (depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gains or losses arise from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the years ended December 31, 2015 and 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the year, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the year;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the year ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Currency $37,882  $37,882  $  $ 
Energy  20,329   20,329       
Index  144,838   144,838       
Interest  266,315   266,315       
Metals  800   800       
                 
Total investment assets at fair value  470,164   470,164       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Currency  (262,088)  (262,088)      
Energy  (23,109)  (23,109)      
Index  (67,901)  (67,901)      
Interest  (271,387)  (271,387)      
Metals  (24,005)  (24,005)      
                 
Total investment liabilities at fair value  (648,490)  (648,490)      
                 
Total net investment at fair value $(178,326) $(178,326) $  $ 

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity  Notional Value  Description Quantity  Notional Value 
Long:         Short:        
Currency  154   8,936,045  Currency  187  $(18,503,140)
Energy  19  $991,065  Energy  9   (599,766)
Index  209   16,572,988  Interest  87   (14,575,999)
Interest  1,799   389,310,282           
Metals  8   518,408           

During the year ended December 31, 2016, the Master Fund participated in 18,602 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
     
Futures contracts:    
Currency $627,772 
Energy  (495,058)
Index  879,821 
Interest  (1,926,191)
Metals  (2,660)
Total futures contracts  (916,316)
     
Trading costs  (89,571)
     
Total net trading gain (loss) $(1,005,887)

*Includes both realized loss of ($827,897) and unrealized loss of ($177,990) and is located in net realized and unrealized gain (loss) on investments and foreign currency transactions on the statement of operations. Amounts exclude foreign currency transactions and translation.

Note 5.Balance Sheet Offsetting

Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $(648,490) $470,164  $(178,326)
Total $(648,490) $470,164  $(178,326)
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
          
Counterparty A $(178,326) $3,263,570  $3,085,244 
Total $(178,326) $3,263,570  $3,085,244 

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 7.Financial Highlights

Financial highlights of the Master Fund for the year ended December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)5.30%
Ratio to average member’s equity (B):
Net investment income (C )(0.00)%*
Total expenses0.00%*

*Amount represents less thant 0.005%.

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return would have been lower, and the net investment loss and total expense ratios would have been higher if the Trading Advisor management and incentive fees, as well as the sponsor fees, had been charged to the Master Fund instead of the Feeder Fund.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of, and for the year ended December 31, 2016 is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund – LRR

Master Fund (522) LLC

(A Delaware Limited Liability Company)

The attached annual report is filed under exemption pursuant to

Section 4.7 of the regulations under the Commodity Exchange Act.

Financial Report

December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – LRR Master Fund (522) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from April 28, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – LRR Master Fund (522) LLC as of December 31, 2016, and the results of its operations for the period from April 28, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $6,021,563 
Restricted cash - margin balance  1,134,600 
Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net)  157,324 
Options purchased, at fair value (cost: $287,229)  577,440 
Receivable from onshore feeder fund  3,000 
Other assets  33,202 
     
Total assets $7,927,129 
     
Liabilities and member’s equity    
     
Liabilities    
Deficit in in commodity trading accounts at clearing brokers:    
Options written, at fair value (proceeds: $360,249) $209,580 
Total liabilities  209,580 
     
Member’s equity  7,717,549 
     
Total liabilities and member’s equity $7,927,129 

See notes to financial statements.

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Galaxy Plus Fund - LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Options purchased on futures contracts:            
Agriculture            
Milk (cost: $287,229)1  226  $577,440   7.48%
Futures contracts:            
Agriculture  281   225,956   2.93 
Currency  94   (18,499)  (0.24)
Energy  18   18,203   0.24 
Metals  25   (60,620)  (0.79)
Foreign:            
Futures contracts:            
Metals  22   (117,607)  (1.52)
             
Total long positions      624,873   8.10 
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Options written on futures contracts:            
Agriculture (proceeds: $360,249)  344   (209,580)  (2.72)
Futures contracts:            
Agriculture  42   56,681   0.73 
Currency  71   89,474   1.16 
Index  11   16,640   0.22 
Interest  21   2,813   0.04 
Foreign:            
Futures contracts:            
Interest  38   (55,717)  (0.72)
             
Total short positions      (99,689)  (1.29)
             
Investments in future contracts, at fair value     $525,184   6.81%

1Maturities range from March 2017 through December 2017

See notes to financial statements.

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Galaxy Plus Fund - LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from April 28, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Net investment income $ 
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized gain from:    
Derivative contracts1  72,602 
Foreign currency transactions  31,408 
   104,010 
     
Net increase (decrease) in unrealized appreciation on:    
Derivative contracts  598,204 
Translation of assets and liabilities denominated in foreign currencies   
   598,204 
     
Net realized and unrealized gain on investments and foreign currency transactions  702,214 
     
Net increase in member’s equity resulting from operations $702,214 

1Includes broker trading commisions

See notes to financial statements.

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Galaxy Plus Fund - LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from April 28, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment income $ 
Net realized gain (loss) from derivative contracts and foreign currency transactions  104,010 
Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  598,204 
     
Net increase in member’s equity resulting from operations  702,214 
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  7,686,246 
In-kind assumed derivative liabilities  (27,740)
Payments for redemptions of capital  (643,171)
     
Net increase in member’s equity resulting from capital transactions  7,015,335 
     
Total increase  7,717,549 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $7,717,549 

See notes to financial statements.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – LRR Master Fund (522) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 26, 2016 and commenced operation on April 28, 2016. The Master Fund is a multi-advisor managed futures fund that allocates and reallocates its capital to different trading advisors implementing various trading programs. As of December 31, 2016, these trading advisors were Landmark Trading Company (“Landmark”), Rosetta Capital Management, LLC (“Rosetta”), and Red Oak Commodity Advisors, Inc (“Red Oak”) (collectively, the “Trading Advisors”). Landmark and Red Oak run discretionary programs and Rosetta runs a technical program. Each Trading Advisor runs their Program independently of one another.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisors are not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – LRR Feeder Fund (522) (“LLC522”), a separated series of the Onshore Platform and Galaxy Plus Fund – LRR Offshore Feeder Fund (522) Segregated Portfolio (“SPC522”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 522 had not yet commenced operations.

LLC522 and SPC522 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into tri-party contracts (the “Trading Agreements”) with the Trading Advisors pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisors in accordance with the Program. The Trading Advisors may alter their programs (including thier trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisors provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisors (or their affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund can holds various currencies at the clearing broker, of which $7,156,163 is held in USD and $0 in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $1,134,600. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition: Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Options purchased on futures contracts:                
Agriculture $577,440  $577,440  $  $ 
Futures contracts:                
Agriculture  344,861   344,861       
Currency  106,710   106,710       
Energy  18,203   18,203       
Index  16,640   16,640       
Interest  10,383   10,383       
                 
Total investment assets at fair value  1,074,237   1,074,237       
                 
Liabilities:                
Derivative contracts:                
Options written on futures contracts:                
Agriculture  (209,580)  (209,580)      
Futures contracts:                
Agriculture  (62,224)  (62,224)      
Currency  (35,735)  (35,735)      
Interest  (63,287)  (63,287)      
Metals  (178,227)  (178,227)      
                 
Total investment liabilities at fair value  (549,053)  (549,053)      
                 
Total net investment at fair value $525,184  $525,184  $  $ 

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

Description Quantity  Notional Value  Description Quantity  Notional Value 
Long:         Short:        
Agriculture  281  $9,678,311  Agriculture  42  $(1,091,702)
Currency  94   6,308,096  Currency  71   (8,840,750)
Energy  18   650,880  Index  11   (1,728,705)
Metals  47   3,703,237  Interest  59   (8,841,826)

During the period ended December 31, 2016, the Master Fund participated in 882 futures contract, and 96 options on futures contract transactions.

Transactions in options written during the period ending December 31, 2016, were as follows:

  Number of  Premiums 
  Contracts  Received 
       
Options outstanding at April 28, 2016    $ 
Options written  939   722,649 
Options terminated in closing purchase transaction  (421)  (338,210)
Options expired  (174)  (24,190)
Options exercised      
Options outstanding at December 31, 2016  344  $360,249 

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Options on futures contracts:    
Agriculture $471,295 
Total options on futures contracts  471,295 
     
Futures contracts:    
Agriculture  (91,333)
Currency  238,953 
Energy  (96,311)
Index  (82,943)
Interest  195,280 
Metals  73,105 
Total futures contracts  236,751 
     
Trading costs  (37,240)
     
Total net trading gain (loss)  670,806 

*Includes both realized gain of $72,602 and unrealized gain of $598,204 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $496,797  $(339,473) $157,324 
Options purchased on futures contracts  577,440      577,440 
Options written on futures contracts  (209,580)     (209,580)
Total $864,657  $(339,473) $525,184 
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
          
Counterparty A $525,184  $1,134,600  $1,659,784 
Total $525,184  $1,134,600  $1,659,784 

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Subscription in kind

The Master Fund commenced operations on April 28, 2016. The first subscription into the Master Fund was made by LLC522 and was done, in part, via an assumption of liabilities on that date. The Master Fund assumed $27,740 in fair value of options written from LLC522.

Note 8.Financial Highlights

Financial highlights of the Master Fund for the period April 28, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)10.59%
Ratio to average member’s equity (B):
Net investment income (C)%
Total expenses%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return would have been lower, and the net investment income and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 9.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – LRR Master Fund (522) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from April 28, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund – QIM

Master Fund (526) LLC

(A Delaware Limited Liability Company)

The attached annual report is filed under exemption pursuant to

Section 4.7 of the regulations under the Commodity Exchange Act.

Financial Report

December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – QIM Master Fund (526) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from June 22, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – QIM Master Fund (526) LLC as of December 31, 2016, and the results of its operations for the period from June 22, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $6,500,666 
Restricted cash - margin balance  14,705,935 
Investments in futures contracts at fair value (represents unrealized appreciation on open derivative contracts, net)  331,143 
Other assets  12,026 
     
Total assets $21,549,770 
     
Liabilities and Member’s Equity    
     
Liabilities    
Due to feeder $93,147 
Total liabilities  93,147 
     
Member’s equity  21,456,623 
     
Total liabilities and member’s equity $21,549,770 

See notes to financial statements.

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Galaxy Plus Fund - QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Energy  69  $75,753   0.35%
Index  471   (225,052)  (1.05)
Metals  56   (3,328)  (0.02)
Foreign:            
Futures contracts:            
Energy  38   50,860   0.24 
Index  728   169,354   0.79 
Interest  507   540,355   2.52 
             
Total long positions      607,942   2.83 
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Currency  77   (49,524)  (0.23)
Index  6   5,720   0.03 
Interest  260   (86,257)  (0.40)
Foreign:            
Futures contracts:            
Index  13   (33,580)  (0.16)
Interest  119   (113,158)  (0.53)
             
Total short positions      (276,799)  (1.29)
             
Investments in futures contracts, at fair value     $331,143   1.54%

See notes to financial statements.

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Galaxy Plus Fund - QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from June 22, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Expenses:    
Interest expense $6,967 
     
Total expenses  6,967 
     
Net investment loss  (6,967)
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized gain from:    
Derivative contracts1  5,988,931 
Foreign currency transactions  15,085 
   6,004,016 
     
Net increase (decrease) in unrealized appreciation on:    
Derivative contracts  331,143 
Translation of assets and liabilities denominated in foreign currencies  (5,359)
   325,784 
     
Net realized and unrealized gain on investments and foreign currency transactions  6,329,800 
     
Net increase in member’s equity resulting from operations $6,322,833 

1Includes broker trading commisions

See notes to financial statements.

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Galaxy Plus Fund - QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from June 22, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(6,967)
Net realized gain (loss) from derivative contracts and foreign currency transactions  6,004,016 
Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  325,784 
     
Net increase in member’s equity resulting from operations  6,322,833 
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  18,192,995 
Payments for redemptions of capital  (3,059,205)
     
Net increase in member’s equity resulting from capital transactions  15,133,790 
     
Total increase  21,456,623 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $21,456,623 

See notes to financial statements.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – QIM Master Fund (526) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 19, 2016 and commenced operation on June 22, 2016. The Master Fund was created to serve as the trading entity managed by Quantitative Investment Management, L.L.C. (the “Trading Advisor”) pursuant to its Global Program (the “Program”). The Program is a short to medium-term trading strategy designed to capitalize on market inefficiencies across a wide array of futures markets.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – QIM Feeder Fund (526) (“LLC526”), a separated series of the Onshore Platform and Galaxy Plus Fund – QIM Offshore Feeder Fund (526) Segregated Portfolio (“SPC526”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 526 had not yet commenced operations.

LLC526 and SPC526 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $19,572,265 is held in USD and $1,634,336 in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $14,705,935. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition: Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Currency $6,194  $6,194  $  $ 
Energy  127,499   127,499       
Index  186,983   186,983       
Interest  563,253   563,253       
Metals  33,875   33,875       
                 
Total investment assets at fair value  917,804   917,804       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Currency  (55,718)  (55,718)      
Energy  (886)  (886)      
Index  (270,541)  (270,541)      
Interest  (222,313)  (222,313)      
Metals  (37,203)  (37,203)      
                 
Total investment liabilities at fair value  (586,661)  (586,661)      
                 
Total net investment at fair value $331,143  $331,143  $  $ 

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity  Notional Value  Description Quantity  Notional Value 
Long:         Short:        
Energy  107  $5,750,480  Currency  77  $(9,585,868)
Index  1,199   83,220,998  Index  19   (2,248,308)
Interest  507   89,166,742  Interest  379   (51,788,857)
Metals  56   4,835,880           

During the period ended December 31, 2016, the Master Fund participated in 15,996 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Currency $(72,964)
Energy  (599,938)
Index  6,853,123 
Interest  286,872 
Metals  (56,901)
Total futures contracts  6,410,192 
     
Trading costs  (90,118)
     
Total net trading gain (loss)  6,320,074 

*Includes both realized gain of $5,988,931 and unrealized gain of $331,143 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $(586,661) $917,804  $331,143 
Total $(586,661) $917,804  $331,143 
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
             
Counterparty A $331,143  $14,705,935  $15,037,078 
Total $331,143  $14,705,935  $15,037,078 

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period June 22, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)35.88%
Ratio to average member’s equity (B):
Net investment loss(C)(0.07)%
Total expenses0.07%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return would have been lower, and the net investment loss and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fee, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – QIM Master Fund (526) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 for the period from June 22, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund –
Quantmetrics
Master Fund (527) LLC
(A Delaware Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC (the Fund), which comprise the statement of financial condition as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from June 13, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC as of December 31, 2016, and the results of its operations for the period from June 13, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)

Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $19,152,703 
Restricted cash - margin balance  97,035 
Receivable from onshore feeder fund  1,000 
Other assets  10,720 
     
Total assets $19,261,458 
     
Liabilities and Member’s Equity    
     
Total Liabilities $ 
     
Member’s equity  19,261,458 
     
Total liabilities and member’s equity $19,261,458 

See notes to financial statements.

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Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from June 13, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Investment Income:    
Interest income $ 
     
Expenses:    
Interest expense  2,843 
     
Total expenses  2,843 
     
Net investment loss  (2,843)
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized loss from:    
Derivative contracts1  (260,477)
Foreign currency transactions  (32,767)
   (293,244)
     
Net increase (decrease) in unrealized depreciation on:    
Translation of assets and liabilities denominated in foreign currencies  822 
   822 
     
Net realized and unrealized loss on investments and foreign currency transactions  (292,422)
     
Net decrease in member’s equity resulting from operations $(295,265)

1Includes broker trading commissions

See notes to financial statements.

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Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from June 13, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(2,843)
Net realized gain (loss) from derivative contracts and foreign currency transactions  (293,244)
Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  822 
     
Net decrease in member’s equity resulting from operations  (295,265)
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  19,729,843 
Payments for redemptions of capital  (173,120)
     
Net increase in member’s equity resulting from capital transactions  19,556,723 
     
Total increase  19,261,458 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $19,261,458 

See notes to financial statements.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on April 20, 2016 and commenced operations on June 13, 2016. The Master Fund was created to serve as the trading entity managed by QuantMetrics Capital Management, L.L.C. (the “Trading Advisor”) pursuant to its QM Multi Strategy Program (the “Program”). The Program is a systematic trading strategy with a focus on short term imbalances in the futures markets.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quantmetrics Feeder Fund (527) (“LLC527”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quantmetrics Offshore Feeder Fund (527) Segregated Portfolio (“SPC527”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 527 had not yet commenced operations.

LLC527 and SPC527 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management and incentive fees due to the Trading Advisor, in accordance with the Trading Agreement, are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $19,022,620 is held in USD and $227,118 in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $97,035. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. As of December 31, 2016, the Master Fund held no investments. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. At December 31, 2016, the Master Fund had held no investments.

Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. The Master Fund held no open positions as of December 31, 2016.

During the period ended December 31, 2016, the Master Fund participated in 45,184 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Currency $(348,068)
Index  234,276 
Interest  28,147 
Total futures  (85,645)
     
Trading costs  (174,832)
     
Total net trading gain (loss)  (260,477)

*Includes realized loss of ($260,477) and is located in net realized gain (loss) on investments the statement of operations. Amounts exclude foreign currency transactions and translation.

Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty. There were no offsetting balances as the Master Fund did not hold any investments as of December 31, 2016.

Note 6.Related Party

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period June 13, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)(1.49)%
Ratio to average member’s equity (B):
Net investment loss (C)(0.03)%
Total expenses0.03%

(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The negative total return would have been larger, and the net investment loss and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fee, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 for the period from June 13, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

 
David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund –
Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Quest Master Fund (517) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from June 29, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Quest Master Fund (517) LLC as of December 31, 2016, and the results of its operations for the period from June 29, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $1,184,681 
Restricted cash - margin balance  2,477,718 
Investments in futures contracts at fair value
(represents unrealized appreciation on open derivative contracts, net)
  209,675 
Other assets  11,704 
     
Total assets $3,883,778 
     
Liabilities and Member’s Equity    
     
Total liabilities $ 
     
Member’s equity  3,883,778 
     
Total liabilities member’s equity $3,883,778 
     

See notes to financial statements.

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Galaxy Plus Fund - Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  18  $3,954   0.10%
Currency  13   (1,156)  (0.03)
Energy  41   68,049   1.75 
Index  32   (14,175)  (0.36)
Metals  7   (11,945)  (0.31)
Foreign:            
Futures contracts:            
Energy  15   22,590   0.58 
Index  99   128,239   3.31 
Interest  49   23,765   0.61 
             
Total long positions      219,321   5.65 
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  46   36,553   0.94 
Currency  125   (41,748)  (1.07)
Interest  75   (3,328)  (0.09)
Metals  10   20,665   0.53 
Foreign:            
Futures contracts:            
Index  6   (9,396)  (0.24)
Interest  316   (12,392)  (0.32)
             
Total short positions      (9,646)  (0.25)
             
Investments in futures contracts, at fair value     $209,675   5.40%
             

See notes to financial statements.

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Galaxy Plus Fund - Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from June 29, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Expenses:    
Interest expense $4,008 
     
Total expenses  4,008 
     
Net investment loss  (4,008)
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized loss from:    
Derivative contracts  (1,750,466)
Foreign currency transactions  (3,279)
   (1,753,745)
     
Net increase (decrease) in unrealized appreciation on:    
Derivative contracts  209,675 
Translation of assets and liabilities denominated in foreign currencies  (88)
   209,587 
     
Net realized and unrealized loss on investments and foreign currency transactions  (1,544,158)
     
Net decrease in member’s equity resulting from operations $(1,548,166)
     

See notes to financial statements.

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Galaxy Plus Fund - Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from June 29, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(4,008)
Net realized gain (loss) from derivative contracts and foreign currency transactions  (1,753,745)
Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  209,587 
     
Net decrease in member’s equity resulting from operations  (1,548,166)
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  5,500,600 
Payments for redemptions of capital  (68,656)
     
Net increase in member’s equity resulting from capital transactions  5,431,944 
     
Total increase  3,883,778 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $3,883,778 
     

See notes to financial statements.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 1.Organization and Structure

Galaxy Plus Fund – Quest Master Fund (517) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 12, 2016 and commenced operation on June 29, 2016. The Master Fund was created to serve as the trading entity managed by Quest Partner, L.L.C. (the “Trading Advisor”) pursuant to its Quest Tracker Index “QTI” (the “Program”). The Program is a systematic program that seeks to replicate the performance generated by the broad class of managed futures trading strategies of trend following.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quest Feeder Fund (517) (“LLC517”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quest Offshore Feeder Fund (517) Segregated Portfolio (“SPC517”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 517 had not yet commenced operations.

LLC517 and SPC517 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $3,668,972 is held in USD and a payable balance of ($6,573) in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $2,477,718. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition: Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Such fluctuations are included with the unrealized appreciation (depreciation) on open derivative contracts, net. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Agriculture $50,117  $50,117  $  $ 
Currency  25,228   25,228       
Energy  90,639   90,639       
Index  130,467   130,467       
Interest  70,986   70,986       
Metals  20,700   20,700       
                 
Total investment assets at fair value  388,137   388,137       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Agriculture  (9,610)  (9,610)      
Currency  (68,132)  (68,132)      
Index  (25,799)  (25,799)      
Interest  (62,941)  (62,941)      
Metals  (11,980)  (11,980)      
                 
Total investment liabilities at fair value  (178,462)  (178,462)      
                 
Total net investment at fair value $209,675  $209,675  $  $ 

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity Notional Value  Description Quantity Notional Value 
Long:       Short:      
Agriculture 18 $732,117  Agriculture 46 $(1,067,729)
Currency 13  1,714,199  Currency 125  (10,354,445)
Energy 56  2,904,642  Index 6  (444,351)
Index 131  9,848,493  Interest 391  (101,275,507)
Interest 49  7,485,508  Metals 10  (940,915)
Metals 7  444,150         
               

During the period ended December 31, 2016, the Master Fund participated in 3,293 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Agriculture $(70,719)
Currency  (564,186)
Energy  (656,150)
Index  366,302 
Interest  (671,396)
Metals  97,913 
Total futures contracts  (1,498,236)
     
     
Trading costs  (42,555)
     
Total net trading gain (loss) $(1,540,791)
     
*Includes both realized loss of ($1,750,466) and unrealized gain of $209,675 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
Futures $(178,462) $388,137  $209,675 
Total $(178,462) $388,137  $209,675 
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
             
Counterparty A $209,675  $2,477,718  $2,687,393 
Total $209,675  $2,477,718  $2,687,393 
             

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period June 29, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)(28.26)%
Ratio to average member’s equity (B):
Net investment loss (C)(0.18)%
Total expenses0.18%
(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The negative total return would have been larger, and the net investment loss and total expense ratios would have been higher if the management and incentive fees, as well as sponsor fees, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Quest Master Fund (517) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 for the period from June 29, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

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Galaxy Plus Fund – Quest FIT
Master Fund (535) LLC
(A Delaware Limited Liability Company)
The attached annual report is filed under exemption pursuant to
Section 4.7 of the regulations under the Commodity Exchange Act.
Financial Report
December 31, 2016

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Independent Auditor’s Report

Board of Directors

Galaxy Plus Fund LLC

Report on the Financial Statements

We have audited the accompanying financial statements of Galaxy Plus Fund – Quest FIT Master Fund (535) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and the related statements of operations, and changes in member’s equity for the period from September 19, 2016 (commencement of operations) to December 31, 2016, and the related notes to the financial statements.

Management's Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Galaxy Plus Fund – Quest FIT Master Fund (535) LLC as of December 31, 2016, and the results of its operations for the period from September 19, 2016 (commencement of operations) to December 31, 2016, in accordance with accounting principles generally accepted in the United States of America.

/s/ RSM US LLP

Denver, Colorado

March 24, 2017

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Galaxy Plus Fund - Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Statement of Financial Condition
December 31, 2016
(Expressed in U.S. Dollars)

Assets    
     
Equity in commodity trading accounts at clearing brokers:    
Cash $6,429,802 
Restricted cash - margin balance  4,623,294 
Investments in futures contracts at fair value
(represents unrealized appreciation on open derivative contracts, net)
  134,483 
Other assets  13,407 
     
Total assets $11,200,986 
     
Liabilities and Member’s Capital    
     
Liabilities    
Other liability $2,026 
Total liabilities  2,026 
     
Member’s equity  11,198,960 
     
Total liabilities and member’s equity $11,200,986 
     

See notes to financial statements.

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Galaxy Plus Fund - Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Condensed Schedule of Investments
December 31, 2016
(Expressed in U.S. Dollars)

  Number of     Percent of 
  Contracts/Units  Fair Value  Member’s Equity 
Long positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  36  $1,830   0.02%
Currency  14   (6,955)  (0.06)
Energy  34   65,767   0.59 
Index  31   (12,833)  (0.11)
Metals  11   (15,395)  (0.14)
Foreign:            
Futures contracts:            
Energy  20   30,100   0.27 
Index  170   176,847   1.58 
             
Total long positions      239,361   2.15 
             
Short positions:            
Derivative contracts:            
Domestic (United States):            
Futures contracts:            
Agriculture  21   1,352   0.01 
Currency  170   (69,524)  (0.62)
Interest  173   10,383   0.09 
Metals  14   38,410   0.34 
Foreign:            
Futures contracts:            
Interest  549   (85,499)  (0.76)
             
Total short positions      (104,878)  (0.94)
             
Investments in futures contracts, at fair value     $134,483   1.21%
             

See notes to financial statements.

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Galaxy Plus Fund - Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Statement of Operations
For the period from September 19, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Investment Income:    
Interest income $ 
     
Expenses:    
Interest expense  2,085 
     
Total expenses  2,085 
     
Net investment loss  (2,085)
     
Realized and unrealized gain (loss) on investments and foreign currency transactions:    
Net realized gain (loss) from:    
Derivative contracts1  2,320,422 
Foreign currency transactions  (16,819)
   2,303,603 
     
Net increase (decrease) in unrealized appreciation on:    
Derivative contracts  134,483 
Translation of assets and liabilities denominated in foreign currencies  (342)
   134,141 
     
Net realized and unrealized gain on investments and foreign currency transactions  2,437,744 
     
Net increase in member’s equity resulting from operations $2,435,659 
     
1Includes broker trading commissions

See notes to financial statements.

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Galaxy Plus Fund - Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Statement of Changes in Member’s Equity
For the period from September 19, 2016 (Commencement of Operations) to December 31, 2016
(Expressed in U.S. Dollars)

Changes in member’s equity from operations:    
Net investment loss $(2,085)
Net realized gain (loss) from derivative contracts and foreign currency transactions  2,303,603 
Net increase (decrease) in unrealized appreciation on derivative contracts and translation of assets and liabilities denominated in foreign currencies  134,141 
     
Net increase in member’s equity resulting from operations  2,435,659 
     
Changes in member’s equity from capital transactions:    
Proceeds from issuance of capital  8,800,000 
Payments for redemptions of capital  (36,699)
     
Net increase in member’s equity resulting from capital transactions  8,763,301 
     
Total increase  11,198,960 
     
Member’s equity, beginning of period   
     
Member’s equity, end of period $11,198,960 
     

See notes to financial statements.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Note 1.Organization and Structure

Galaxy Plus Fund – Quest FIT Master Fund (535) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on June 23, 2016 and commenced operations on September 19, 2016. The Master Fund was created to serve as the trading entity managed by Quest Partners L.L.C. (the “Trading Advisor”) pursuant to its Quest Fixed Income Hedge Program (the “Program”). The Program is a quantitative trading program designed to capture short-term, medium-term, and long-term trends in various markets.

The Master Fund and other separately formed Delaware limited liability companies (“Other Master Funds”), are investment vehicles available under the Galaxy Plus Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by Gemini Alternative Funds, LLC (the “Sponsor” or “GAF”) as a means of making available, to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”), a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor.

GAF was formed in October 2013 and its principal office is located in Chicago, Illinois. GAF is registered with the U.S. Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor, and is a member of the National Futures Association (NFA).

Galaxy Plus Fund LLC, a Delaware Series Limited Liability Company (the “Onshore Platform”), and Galaxy Plus Fund SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”) serve as the feeder funds for the Platform and invest substantially all of the assets of the respective segregated portfolios (each a “Fund”) in the Master Fund or other Master Funds. Galaxy Plus Fund – Quest FIT Feeder Fund (535) (“LLC535”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quest FIT Offshore Feeder Fund (535) Segregated Portfolio (“SPC535”), a segregated portfolio of the Offshore Platform, each can invest in the Master Fund. As of December 31, 2016, SPC 535 had not yet commenced operations.

LLC535 and SPC535 are collectively hereafter referred to as the “Feeder Funds”.

Subscriptions and redemptions into the Feeder Funds are the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.

The Platform has appointed the Sponsor, under the terms of the Limited Liability Company Agreement (the “LLC Agreement”) as the managing member of the Master Fund. In such capacity, the Sponsor has the authority, to manage, with wide discretionary powers, the business and affairs of the Master Fund including the authority to select the administrator for the Master Fund. The LLC Agreement will continue to remain in force until terminated by either the Sponsor or the Platform upon not less than sixty (60) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Platform by the Advisors are suspended), the LLC Agreement may be immediately terminated by either party.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The Master Fund and the Sponsor have entered into a tri-party contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with the Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provide prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisors (or their affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Trading Advisor (or its affiliates) are aggregated for the purposes of applying speculative position limits. The management, incentive, and sponsor fees are paid directly by the Feeder Funds, and for this reason are not recorded as expenses of the Master Fund.

Note 2.Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements.

Principles of accounting:The accompanying financial statements are expressed in United States dollars (USD) and have been prepared in accordance with Generally Accepted Accounting Principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations. The Master Fund is an investment company and follows the accounting and reporting guidance in FASB Account Standards Codification Topic 946.

Cash and restricted cash: Cash held in the commodity trading accounts at clearing broker consists of either cash maintained in the custody of the broker, a portion of which is required margin for open positions, or amounts due to/from the broker for margin or unsettled trades. The Master Fund may also hold cash in a non-interest bearing USD commercial bank account. The Master Fund holds various currencies at the clearing broker, of which $11,069,528 is held in USD and a payable of ($16,432) in foreign currencies as of December 31, 2016, and are recorded in cash and restricted cash – margin balance on the statement of financial condition. The non-U.S. currencies fluctuate in value on a daily basis relative to the USD. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 2016 included restricted cash for margin requirements of $4,623,294. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2016 included amounts due to the broker for unsettled trades of $0.

Offsetting of amounts related to certain contracts: When the requirements are met, the Master Fund offsets certain fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting arrangement (See Note 5).

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Valuation and Revenue Recognition:Depending on the Program and Investments traded, The Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.

Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, The Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the FIFO method.

Foreign currency transactions: The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on the date of such transactions, respectively. Net realized foreign exchange gain or loss arises from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gain and loss arises from changes in the fair value of assets and liabilities resulting from changes in exchange rates.

Trading costs: Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual purchase and sale transaction. These costs are recognized as expenses for futures and options on futures transactions and are included in net realized gain/loss from derivative contracts on the Statement of Operations.

Interest income/expense: Interest income and expense is recognized on an accrual basis.

Allocation of income and gains and losses: Profits and losses for each monthly accounting period, or shorter period if there are mid-month subscriptions and/or redemptions, are allocated pro-rata to the Feeder Funds based on their respective ownership percentage on the first day of each period throughout the year.

Income taxes: The Master Fund will not be subject to United States federal income taxation other than certain withholding taxes. The Master Fund evaluates tax positions taken or expected to be taken to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. For tax positions meeting the more-likely-than-not threshold, the tax amount recognized in the financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. The Master Fund has determined that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken with respect to all open tax years. The Master Fund’s U.S. Federal tax returns for the period ended December 31, 2016, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Master Fund did not accrue any interest or penalties.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Use of estimates:The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Indemnifications:The Sponsor and its affiliates are indemnified against certain liabilities arising out of the performance of their duties for The Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote.

Statement of cash flows: The Master Fund has elected not to provide a statement of cash flows as permitted by GAAP as all of the following conditions have been met:

During the period, substantially all of the Master Fund’s investments were carried at fair value and classified as Level 1 or Level 2 measurements in accordance with FASB ASC 820;

The Master Fund had little or no debt during the period;

The Master Fund’s financial statements include a statement of changes in member’s equity.

Subscriptions and redemptions: Subscriptions and redemptions can typically be made on a weekly basis as of the first day (Monday) of each week; (or, if such day is not a business day, the first business day thereafter) (each, a Subscription Date or a Redemption Date). The Master Fund may accept subscriptions or redemptions more frequently than the first day of each week, depending upon the size of the requested subscription or redemption amount, with the approval of the Sponsor.

Note 3.Fair Value Measurements

The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values.

A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

inputs can be either observable or unobservable. All of the inputs for the Master Fund were observable as of December 31, 2016. The availability of observable inputs can vary between investments and is affected by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace.

Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (OTC) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy.

The Master Fund assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Master Fund’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. There were no transfers among levels 1, 2, and 3 during the period ended December 31, 2016.

The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2016. Presentation is gross – as an asset if in a gain position and a liability if in a loss position.

     Fair Value Measurements at Reporting Date Using 
     Quoted Prices  Significant Other  Significant 
     in Active  Observable  Unobservable 
     Markets  Inputs  Inputs 
Description Fair Value  (Level 1)  (Level 2)  (Level 3) 
Assets:                
Derivative contracts:                
Futures contracts:                
Agriculture $21,754  $21,754  $  $ 
Currency  27,589   27,589       
Energy  95,867   95,867       
Index  181,417   181,417       
Interest  106,989   106,989       
Metals  38,480   38,480       
                 
Total investment assets at fair value  472,096   472,096       
                 
Liabilities:                
Derivative contracts:                
Futures contracts:                
Agriculture  (18,572)  (18,572)      
Currency  (104,068)  (104,068)      
Index  (17,403)  (17,403)      
Interest  (182,105)  (182,105)      
Metals  (15,465)  (15,465)      
                 
Total investment liabilities at fair value  (337,613)  (337,613)      
                 
Total net investment at fair value $134,483  $134,483  $  $ 

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 4.Derivative Financial Instruments

Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures, options on futures contracts, and forward currency contracts (collectively, derivatives) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks.

Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisors according to each respective Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk due to exchange traded derivative financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. The credit risk exposure for the Master Fund’s outstanding OTC derivatives was $0 at December 31, 2016.

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

The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of The Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

The notional value represents amounts related to the Master Fund’s stock exchange indices, commodities, interest rate and foreign currencies upon which the fair value of the futures contracts held by the Master Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Master Fund’s futures and forward contracts. Further, the underlying price changes in relation to variables specified by the notional values affects the fair value of these derivative financial instruments. Theoretically, the Master Fund’s exposure is equal to the notional value of contracts purchased and unlimited on such contracts sold short. As of December 31, 2016, the Master Fund had open futures contracts with the following notional values by sector:

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements

Description Quantity Notional Value  Description Quantity Notional Value 
Long:       Short:      
Agriculture 36 $1,220,205  Agriculture 21 $(655,515)
Currency 14  1,845,422  Currency 170  (14,304,117)
Energy 54  3,121,817  Interest 722  (173,451,824)
Index 201  12,952,702  Metals 14  (1,296,485)
Metals 11  694,700         

During the period ended December 31, 2016, the Master Fund participated in 1,372 futures contract transactions.

Below is a summary of net trading gains and (losses) by investment type and industry:

  Net Trading 
  Gain (Loss)* 
Futures contracts:    
Agriculture $(139,027)
Currency  730,385 
Energy  (54,259)
Index  495,186 
Interest  985,234 
Metals  462,350 
Total futures  2,479,869 
     
     
Trading costs  (24,964)
     
Total net trading gain (loss)  2,454,905 
     
*Includes both realized gain of $2,320,422 and unrealized gain of $134,483 and is located in net realized and unrealized gain (loss) on investments on the statement of operations. Amounts exclude foreign currency transactions and translation.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 5.Balance Sheet Offsetting

The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the statement of financial condition to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities include financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of set-off criteria: each of the two parties owes the other determinable amounts, the Master Fund has the right to set-off the amounts owed with the amounts owed by the other party, the Master Fund intends to set off, and the Fund’s right of set-off is enforceable at law.

The Master Fund is subject to enforceable master netting agreements with certain counterparties. These agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying offsetting mechanisms and collateral posting arrangements at prearranged exposure levels. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different master netting arrangement, possibly resulting in the need for multiple agreements with a single counterparty. Master netting agreements may not be specific to each different asset type; in such instances, they would allow the Master Fund to close out and net its total exposure to a specified counterparty in the events of default or early termination with respect to any and all the transactions governed under a single agreement with the counterparty.

The following tables summarize the Master Fund’s netting arrangements:

        Net Amount of 
  Gross Amounts  Offset in the  Assets (Liabilities) 
  of Recognized  Statement of  in the Statement of 
Description Assets (Liabilities)  Financial Condition  Financial Condition 
             
             
Futures $(337,613) $472,096  $134,483 
Total $(337,613) $472,096  $134,483 
             
        Net Amount 
  Net amount in  Cash Collateral  which is not offset 
  the Statement of  Received by  in the Statement of 
  Financial Condition  Counterparty  Financial Condition 
             
Counterparty A $134,483  $4,623,294  $4,757,777 
Total $134,483  $4,623,294  $4,757,777 

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Notes to the Financial Statements
Note 6.Related Parties

Gemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.

Note 7.Financial Highlights

Financial highlights of the Master Fund for the period September 19, 2016 (commencement of operations) through December 31, 2016 are presented in the table below. The information has been derived from information presented in the financial statements.

Total return (A)27.75%
Ratio to average member’s equity (B):
Net investment income (C)(0.07)%
Total expenses0.07%
(A)Total return is based on the change in average member’s equity during the period of a theoretical investment made at the inception of the Master Fund.

(B)The total expense and net investment loss ratios are computed based upon weighted-average member’s equity as a whole for the period ended December 31, 2016.

(C)The net investment loss ratio excludes net realized and unrealized gains (losses) on investments.

Financial highlights are calculated for each member class taken as a whole. An individual member’s return and ratios may vary based on the timing of capital transactions. The total return would have been lower, and the net investment loss and total expense ratios would have been higher if the management, incentive fees as well as sponsor fee, had been charged to the Master Fund. The ratios, excluding nonrecurring expenses, have been annualized. Total return has not been annualized.

Note 8.Subsequent Events

In accordance with FASB ASC 855,Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017, the date the financial statements were available for issuance. The Sponsor has determined that there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date.

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Galaxy Plus Fund – Quest FIT Master Fund (535) LLC
(A Delaware Limited Liability Company)
Oath and Affirmation of the Commodity Pool Operator

To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of December 31, 2016 and for the period from September 19, 2016 (commencement of operations) to December 31, 2016, is accurate and complete.

David Young, President
Gemini Alternative Funds, LLC — Sponsor

F-305

Table of Contents

SIGNATURES

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

 

Equinox Frontier Funds

(Registrant)

(Registrant)
Date: March 31, 20152017By:/s/     ROBERT J. ENCK
Robert J. Enck
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management, LLC,

the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

      BY:

/s/ 

Robert J. Enck

March 31, 2015

Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds

President and Chief Executive Officer of Equinox Fund

Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/

Vance Sanders

March 31, 2015

Vance Sanders, Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/

Richard E. Bornhoft

March 31, 2015

Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/

David P. DeMuth

March 31, 2015

David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds


SIGNATURES

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

Equinox Frontier Balanced Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: March 31, 2015

By:/s/ ROBERT J. ENCK
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management, LLC,

the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

      BY:

/s/ 

Robert J. Enck

March 31, 2015

Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds

President and Chief Executive Officer of Equinox Fund

Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Vance Sanders

March 31, 2015

Vance Sanders, Chief Financial Officer of

Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015
Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/ 

David P. DeMuth

March 31, 2015

David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

Equinox Frontier Heritage Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: March 31, 2015

By:/s/ ROBERT J. ENCK
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management, LLC,

the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

BY:

/s/

Robert J. Enck

March 31, 2015

2017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds

President and Chief Executive Officer of Equinox Fund

Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Vance Sanders

March 31, 2015

Vance Sanders, Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015

Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/

David P. DeMuth

March 31, 2015

2017
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

F-306

Table of Contents

SIGNATURES


SIGNATURES

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

 

Equinox Frontier Balanced Fund,

Equinox Frontier Winton Fund,

a Series of Equinox Frontier Funds

(Registrant)

(Registrant)

Date: March 31, 2015

2017By:/S/ ROBERT J. ENCK
s/     Robert J. Enck
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management, LLC,

the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

BY:

/s/

Robert J. Enck

March 31, 2015

2017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds

President and Chief Executive Officer of Equinox Fund

Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Vance Sanders

March 31, 2015

Vance Sanders, Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/David P. DeMuth

Richard E. Bornhoft

March 31, 2015

2017
Richard E. Bornhoft,David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC the Managing Owner of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick Kane

David P. DeMuth

March 31, 2015

2017
David P. DeMuth,Patrick Kane, Member of the Executive Committee of Equinox Frontier Funds


SIGNATURES

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

Equinox Frontier Select Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: March 31, 2015

By:/S/ ROBERT J. ENCK
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management LLC

/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Managing OwnerExecutive Committee of Equinox Frontier Funds

Fund Management LLC

Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

Equinox Frontier Heritage Fund,

      BY:

/s/ 

Robert J. Enck

March 31, 2015

Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds

President and Chief Executive Officer of Equinox Fund

Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Vance Sanders

March 31, 2015

Vance Sanders, Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015

Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/ 

David P. DeMuth

March 31, 2015

David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds


SIGNATURES

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

Equinox Frontier Long/Short Commodity Fund,

a Series of Equinox Frontier Funds

(Registrant)

(Registrant)

Date: March 31, 2015

2017By:/S/ ROBERT J. ENCK
s/     Robert J. Enck
Robert J. Enck

President and Chief Executive

Officer

of Equinox
Fund Management, LLC,

the Managing Owner of Equinox
Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

BY:

/s/

Robert J. Enck

March 31, 20152017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/David P. DeMuth

Vance Sanders

March 31, 20152017

Vance Sanders, Chief Financial Officer of

Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015
Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/ 

David P. DeMuth

March 31, 2015
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

Table of Contents

SIGNATURES


SIGNATURES

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

 

Equinox Frontier Winton Fund,

Equinox Frontier Diversified Fund,

a Series of Equinox Frontier Funds

(Registrant)

(Registrant)

Date: March 31, 2015

2017By:/S/ ROBERT J. ENCK
s/     Robert J. Enck
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund Management, LLC,

the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

BY:

/s/

Robert J. Enck

March 31, 20152017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/David P. DeMuth

Vance Sanders

March 31, 20152017

Vance Sanders, Chief Financial Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015
Richard E. Bornhoft, Member of the Executive Committee of Equinox Frontier Funds
Chief Investment Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/ 

David P. DeMuth

March 31, 2015
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

Table of Contents

SIGNATURES


SIGNATURES

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

 

Equinox Frontier Select Fund,

Equinox Frontier Masters Fund,

a Series of Equinox Frontier Funds

(Registrant)

(Registrant)

Date: March 31, 2015

2017By:/S/ ROBERT J. ENCK
s/     Robert J. Enck
Robert J. Enck

President and Chief Executive Officer

of Equinox Fund

Management, LLC,

the Managing Owner

of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

 

BY:

/s/

Robert J. Enck

March 31, 20152017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/David P. DeMuth

Vance Sanders

March 31, 20152017

Vance Sanders, Chief Financial Officer of

Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

/s/ 

Richard E. Bornhoft

March 31, 2015
Richard E. Bornhoft,David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

Table of Contents

SIGNATURES

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

Equinox Frontier Long/Short Commodity Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: March 31, 2017By:/s/Robert J. Enck
Robert J. Enck
President and Chief InvestmentExecutive Officer
of Equinox Fund Management, LLC,
the Managing Owner of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:/s/Robert J. EnckMarch 31, 2017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/

David P. DeMuth

March 31, 20152017
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

Table of Contents

SIGNATURES

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

Equinox Frontier Diversified Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: March 31, 2017By:/s/     Robert J. Enck
Robert J. Enck
President and Chief Executive Officer of Equinox Fund
Management, LLC, the Managing Owner
of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:/s/Robert J. EnckMarch 31, 2017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/David P. DeMuthMarch 31, 2017
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC

Table of Contents

SIGNATURES

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

Equinox Frontier Masters Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: March 31, 2017By:/s/     Robert J. Enck
Robert J. Enck
President and Chief Executive Officer of Equinox Fund
Management, LLC, the Managing Owner
of Equinox Frontier Funds

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Equinox Fund Management, LLC

BY:/s/Robert J. EnckMarch 31, 2017
Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier Funds
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds
/s/David P. DeMuthMarch 31, 2017
David P. DeMuth, Member of the Executive Committee of Equinox Frontier Funds
Frontier Fund Management LLC
BY:/s/Patrick KaneMarch 31, 2017
Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC
/s/Patrick HartMarch 31, 2017
Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLC