SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM 10-K
☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2023
or
☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number 000-51274
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 WINTONGLOBAL FUND;
EQUINOX FRONTIER HERITAGE FUND
(Exact Name of Registrant as specified in Its Charter)
Delaware | 36-6815533 | |
(State or Other Jurisdiction of Incorporation or Organization) | (IRS Employer Identification No.) | |
| ||
c/o Frontier Fund Management, LLC
25568 Genesee Trail Road
Golden, Colorado 80401
(Address of Principal Executive Offices)
Registrant’s Telephone Number, Including Area Code: (303) 837-0600454-5500
Securities registered pursuant to Section 12(b) of the Act: None
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
N/A | N/A | N/A |
Securities registered pursuant to Section 12(g) of the Act:
Title of Each Class
Equinox Frontier Diversified Fund Class 1, Class 2 and Class 3 Units;
Equinox Frontier Long/Short Commodity Fund 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 1AP, Class 2, Class 2a and Class 3a Units;
Equinox Frontier Select Fund Class 1, Class 1AP, and Class 2 Units;
Equinox Frontier WintonGlobal 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, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer”filer,” “smaller reporting company,” and “smaller reporting“emerging growth company” in Rule 12b-2 of the Exchange Act. (Check One):
Large Accelerated Filer | Accelerated Filer | |||
Non–Accelerated Filer | Smaller Reporting Company | |||
Emerging Growth Company | ☐ |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☐
If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐
Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to § 240.10D-1(b). ☐
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, 20162023 were: 438,02422,727 for the Equinox Frontier Diversified Fund, 80,5935,422 for the EquinoxFrontier Masters Fund, 10,720 for the Frontier Long/Short Commodity Fund, 142,76172,578 for the Equinox Frontier Masters Fund, 555,520 for the Equinox Frontier Balanced Fund, 122,86916,674 for the Equinox Frontier Select Fund, 185,7488,097 for the Equinox Frontier WintonGlobal Fund and 78,770,14,981 for the Equinox Frontier Heritage Fund.
Documents Incorporated by Reference
Portions of the Prospectus filed by the registrant on May 2, 2016February 11, 2019 pursuant to rule 424(b)(3) of the Securities Act (File No. 333-210313) are incorporated by reference into Part I and Part II of this report.
Special Note About Forward-Looking Statements
THIS ANNUAL REPORT CONTAINS STATEMENTS WHICH CONSTITUTE FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995 AND OTHER FEDERAL SECURITIES LAWS. THESE FORWARD-LOOKING STATEMENTS REFLECT THE MANAGING OWNER’S CURRENT EXPECTATIONS ABOUT THE FUTURE RESULTS, PERFORMANCE, PROSPECTS AND OPPORTUNITIES OF THE TRUST. THE MANAGING OWNER HAS TRIED TO IDENTIFY THESE FORWARD-LOOKING STATEMENTS BY USING WORDS SUCH AS “MAY,” “WILL,” “EXPECT,” “ANTICIPATE,” “BELIEVE,” “INTEND,” “SHOULD,” “ESTIMATE” OR THE NEGATIVE OF THOSE TERMS OR SIMILAR EXPRESSIONS. THESE FORWARD-LOOKING STATEMENTS ARE BASED ON INFORMATION CURRENTLY AVAILABLE TO THE MANAGING OWNER AND ARE SUBJECT TO A NUMBER OFSEVERAL 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, 2016,2023, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.
Table of Contents
i
Summary of Risk Factors
An investment in the units of beneficial interest (the “Units”) of each series (the “Series”) of Frontier Funds (the “Trust”) is subject to a number of risks of which you should be aware before making an investment decision. The following summary should not be considered an exhaustive summary of the material risks facing the Trust, and it should be read in conjunction with the “Risk Factors” section and the other information contained in this Form 10-K.
Structural Risks
● | The Trust, the Trading Companies (as defined below) and the Galaxy Plus entities (as defined below) are not registered investment companies. |
● | Certain restrictions on redemption and transfer of | |
the Units apply, redemptions may be temporarily suspended, and a substantial number of redemption requests in a short period may result in losses. |
● | Unitholders have limited rights, including not being able to review any Series’ holdings on a daily basis, inability to prevent the Trust from taking actions which could cause losses, and lack of awareness of changes to trading programs or investments into, or divestments from, any Galaxy Plus entities. |
● | Frontier Fund Management, LLC (the “Managing Owner”) may allocate nominal assets in respect of a Series in excess of its Net Asset Value, and it may adjust the leverage employed by a Trading Advisor in its sole discretion. |
● | Each Series may be charged substantial fees and expenses regardless of profitability, including indirect fees and expenses associated with derivative instruments. |
● | The failure by one or more of a Series’ counterparties could result in a substantial loss of such Series’ assets. |
● | There are certain risks associated with investments in series LLCs (such as certain of the Trading Companies and the Galaxy Plus entities), and certain conflicts of interest exist in the structure and operation of the Trust. |
● | The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities, and the loss of such personnel could adversely affect the Trust. Unitholders do not have privity of contract with service providers to the Trust or any Series, including the Trading Advisors. |
Risks Relating to Trading and the Markets
● | The Trading Advisors may trade in futures, options, and swaps, each of which carry distinct risks. |
● | The trading on behalf of each Series will be margined, which means that sharp declines in prices could lead to large losses. |
● | Trading on unregulated or foreign exchanges involves risks that trading on regulated or U.S. exchanges does not, such as lack of investor protection regulation, possible government intervention, relatively new markets and exchange-rate exposure. |
● | 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. |
● | Turnover in each Series’ portfolio may be high, which could result in higher brokerage commissions and transaction fees and expenses. |
● | There are certain risks associated with the Trust’s investment in U.S. government debt securities, including market risk, interest rate risk and credit risk. |
● | Investments in reference programs through a swap or other derivative instrument may not always replicate exactly the performance of the relevant commodity trading adviser (“CTA”) trading program(s). |
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Risks Relating to the Trading Advisors
● | There are disadvantages to making trading decisions based on technical analysis and fundamental analysis. |
● | Increased competition from other systematic traders could reduce the Trading Advisors’ profitability. |
● | The incentive fees could be an incentive to the Trading Advisors to make riskier investments. |
● | The risk management approaches of one or all of the Trading Advisors may not be fully effective, and a Series may incur losses. |
● | Increases in assets under management of any of the Trading Advisors could lead to diminished returns. |
● | 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 Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust. |
● | Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts. |
● | The Managing Owner places significant reliance on the Trading Advisors and their key personnel; the loss of such personnel could adversely affect a Series. |
● | The 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. |
● | Stop-loss orders may not prevent large losses. |
Risks Relating to the Galaxy Plus Platform
● | The success of each Series depends on the performance of the Galaxy Plus entities in which each Series invests. |
● | The Galaxy Plus Platform is recently established and has a limited operating history, and the Galaxy Plus entities have limited or no operating history or track record. |
● | A Series may incur losses related to other investors’ large redemptions from, or investments into, a Galaxy Plus entity. |
● | The Galaxy Plus Platform operates independently from each Series, the Trust and the Managing Owner, and the Managing Owner will have no control over, or involvement in, the operation and administration of the commodity pools. |
● | The Galaxy Plus Platform and New Hyde Park Alts, LLC (“New Hyde Park”) may limit the ability of a Series to invest in, or divest from, a Galaxy Plus entity. New Hyde Park is the Galaxy Plus Platform sponsor and operator. |
● | Cessation of, or changes to, the operation of the Galaxy Plus Platform could adversely impact the performance of a Series. |
● | Investment in Galaxy Plus entities presents operational and administrative risk to each Series. |
● | 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 Trading Advisors’ trading programs bear some similarities and, therefore, may lessen the benefits to the Series which have multiple Trading Advisors. |
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Operating Risks
● | The Managing Owner may allocate notional assets in respect of a Series that are in excess of the net asset value of such Series. |
● | Differing levels of fees received may create an incentive for the Managing Owner to favor certain Series over others. |
● | 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. |
Taxation and Benefits Risks
● | 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, you may be subject to tax on gains that the Trust never realizes, and you will likely recognize short-term capital gain. |
● | Partnership treatment is not assured, and if the Trust or any Series is not treated as a Partnership, you could suffer adverse tax consequences. |
● | The IRS could challenge allocations of recognized gains to Unitholders who redeem. |
● | The IRS could take the position that deductions for certain Trust expenses are subject to various limitations. |
● | The investment of Benefit Plan Investors (as defined below) may be limited and/or subject to mandatory redemption in certain circumstances. |
● | Foreign investors may face exchange rate risk and local tax consequences. |
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 Series, the Trading Companies or Galaxy Plus entities are subject to speculative position limits. |
● | Commodity Futures Trading Commission (“CFTC”) registrations could be terminated which could adversely affect the Trust or a Series. |
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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”). The Trust is managed by EquinoxFrontier Fund Management, LLC (the “Managing Owner”).
Purchasers of Units (“Unitholders”) 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,Limited Owners, as amended from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust.
The Trust has been organized to pool investor funds for the purpose ofto engage in 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 trading futures contracts, forwards, option contracts and other interestinterests in derivative instruments, including swap 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 WintonGlobal 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; |
● | 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 |
● | maintains separate, distinct records for each Series, and separately accounts for the assets of each |
● | 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, |
● | 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 |
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● | all payments made to |
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, 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 December 31, 2016,2023, the Trust, with respect to the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund, separates Units into threetwo separate Classes—Class 1, Class 2 and Class 3. The Trust, with respect to the Equinox Frontier Select Fund Equinoxand Frontier WintonHeritage 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 2A2a and Class 3A.3a. The Trust, with respect to the Equinox Frontier Long/Short Commodity Fund, separates Units into a maximum of fivefour separate Classes—Class 1A, Class 2A,2a, Class 2, Class 3A3a and Class 3. Between April 15, 2016 and December 31, 2016, a portion of the interests in Equinox 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 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 contractedTrust, with the Trading Advisors to manage the portfolios of the Master Funds pursuantrespect to the advisors’ respective program.Frontier Global Fund, separates Units into two separate classes—Class 1 and Class 2. For those Series that invest in Galaxy Plus entities, approximately 30-70%75-95% of those Series assets are used to support the marginfor 30-7 requirements of the Master Funds.Funds (as defined below). The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus entities, their assets are split between investments in Trading Companies and investments in the pooled cash management account.
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TableAs of ContentsDecember 31, 2023, Frontier Global Fund has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the remaining Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities, and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.
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%75% and 30%95% of each Series’ assets normally will be invested in one or more Trading Companies or Galaxy Plus entities to be committed as margin for trading positions but, from time to time, these percentages may be substantially more or less. The remainder of each Series’ assets is maintained at the Trust level for cash management. Each of the respective Series has invested monies into pooled cash management assets which have included purchases of U.S. Treasury securities. Each Series’ ownership in these investments is based on its percentage ownership in the pooled cash management assets on the reporting date.
The Trading Advisors were selected based upon the Managing Owner’s evaluation of each Trading Advisor’s past performance, trading portfolios and strategies, as well as how each Trading Advisor’s performance, portfolio and strategies complement and differ from those of the other Trading Advisors.
The Managing Owner is a Delaware Limited Liability Company formed in June 2003.November 2016. The Managing Owner became registered with the Commodity Futures Trading Commission (“CFTC”) as ahas delegated its commodity pool operator (“CPO”), responsibilities to Wakefield Advisors LLC pursuant to the Commodity Pool Operator Delegation Agreement between the Managing Owner and Wakefield Advisors LLC, which has been registered with the CFTC as of August 6, 2003,a CPO since January 7, 2013 and has been a member of the National Futures Association (the “NFA”(“NFA”) in such capacity since that date. The Managing Owner remains jointly and severally liable with Wakefield Advisors LLC for violations of the Commodity Exchange Act of 1936, as amended (the “CEA”), and CFTC regulations thereunder (“CPO Regulations”). However, Wakefield Advisors LLC will indemnify the Managing Owner from and against any and all loss, liability, damage, penalty, fine, cost, and expense (including attorneys’, accountants’, experts’, and other professionals’ fees and expenses incurred in investigation or defense of any and all demands, claims, actions, suits, or arbitrations) actually and reasonably incurred by the Managing Owner, based upon, arising out of or from, or in any way in connection with, any act, activity, conduct, performance, omission, or non-performance by the Wakefield Advisors LLC of any of its functions as a CPO or which violates the CEA or CPO Regulations in connection with its functions as CPO.
The Managing Owner’s main business office is located at 1775 Sherman Street, Suite 2010, Denver,25568 Genesee Trail Road, Golden, Colorado 80203,80401, telephone (303) 837-0600.454-5500. A description of the Managing Owner’s responsibilities to the Trust is contained in a Prospectus dated April 29, 2016, filed February 11, 2019 with the SEC on May 2, 2016and made effective February 1, 2019 pursuant to Rule 424(b)(3) of the Securities Act of 1933, as amended (File No. 333-210313), which is referred to herein as the “Prospectus,” under the section captioned “The Managing Owner,” and such description is incorporated herein by reference from the Prospectus.
Regulation
Under the Commodity Exchange Act, as amended, (the “Commodity Exchange Act”)CEA, commodity exchanges and commodity futures trading are subject to regulation by the CFTC. The NFA, a registered futures association under the Commodity Exchange Act,CEA, is the only non-exchange self-regulatory organization for commodity industry professionals. The CFTC has delegated responsibility to the NFA for the registration of “commodity Trading Advisors,”trading advisors”, “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective “associated persons” and “floor brokers.” The Commodity Exchange ActCEA 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 ActCEA 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, many of which are not regulatedwere brought under the regulation of the CFTC by the CFTC. FederalDodd-Frank Wall Street Reform and state banking authorities also do not regulate forward trading or forward dealers.Consumer Protection Act (the “Dodd-Frank Act”). In addition, the Trust trades on foreign commodity exchanges, which are not subject to regulation by any U.S. government agency.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“Frontier Funds Trust,” “The Offering,” “Trading Limitations, Policies and swaps,” “The Trustee,” “The Managing Owner,” “Actual and Potential Conflicts of Interest,” “Fees and Expenses” and the appendix attached to the Prospectus for each Series of Units, and such description is incorporated herein by reference from the Prospectus.
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The Trading Companies and Galaxy Plus entities for each Series of Units engage in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swaps) and may, from time to time, engage in cash and spot transactions. A brief description of the Trust’s main types of investments is set forth below:
● | 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. |
Certain of the Trading Companies and Galaxy Plus entities have entered into contractual arrangements with independent commodity Trading AdvisorsCTAs that will manage all or a portion of such Trading Company’s and Galaxy Plus entity’s assets and make the trading decisions with respect to the assets of such Trading Company or Galaxy Plus entity.
Selection and Replacement of Trading Advisors
The Managing Owner is responsible for the selection, retention and termination of the Trading Advisors and reference programs on behalf of each Series. The actual allocation among Trading Advisors for each Series will vary based upon the relative trading performance of the Trading Advisors and/or reference programs, and the Managing Owner may otherwise vary such percentages from time to time in its sole discretion. The Managing Owner will adjust its allocations and rebalance the portfolio of any Series among Trading Advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant Series.
The Managing Owner utilizes certain quantitative and qualitative analysis in connection with the identification, evaluation and selection of the Trading Advisors. The Managing Owner’s proprietary and commercial analytical software programs and comprehensive Trading Advisor database provide the quantitative basis for the Trading Advisor selection, portfolio implementation process, and ongoing risk management, monitoring, and review.
The Managing Owner’s research department is continually refining ways to assimilate vast amounts of Trading Advisor performance data and due-diligence information. The proprietary and commercial database of alternative investment programs is always increasing. Research team members regularly interact with Trading Advisors throughout the due diligence and monitoring process. Only those programs that have met strict quantitative and qualitative review are considered as potential managers of client assets. Following is a summary of the quantitative and qualitative analysis:
Quantitative Analysis
The Managing Owner’s analytical software system applies a variety of statistical measures towards the evaluation of current and historical advisor performance data. Statistical measures include but are not limited to: (1) risk/reward analysis, (2) time window analysis, (3) risk analysis, (4) correlation analysis, (5) statistical overlays and (6) performance cycle analysis.
Qualitative Analysis
Although quantitative analysis statistically identifies the top performing Trading Advisors, qualitative analysis plays a major role in the Trading Advisor evaluation and final selection process. Each Trading Advisor in the Managing Owner’s top dociledecile universe initially undergoes extensive qualitative review by the Managing Owner’s research department, as well as continual monitoring. This analysis generally includes but is not limited to: (1) preliminary information and due diligence, (2) background review, (3) on-site due diligence, (4) extensive due diligence questionnaires and (5)(4) written review and periodic updates. This information allows a thorough review of each Trading 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 Advisors and access to broader global markets. Multiple Trading AdvisorsPortfolios comprised of multiple trading advisors can provide diversification across trading methodologies, trading time horizons, and markets traded. Additionally, multi-manager portfolios tend to provide a greater level of professional management with ongoing risk management and review. The result can betraded, resulting in more consistent performance returns withand overall lower volatility.
The
As of December 31, 2023, the trading system of each of the major commodity Trading Advisors and the means by which the Series access those Trading Advisors are as follows:
Major Commodity Trading Advisor | Trading System Style | Accessed Through | ||
Aspect Capital Limited | Systematic | Galaxy Plus | ||
Systematic | Galaxy Plus | |||
Systematic | Trading Company | |||
Systematic | ||||
Quantitative Investment Management, LLC | Systematic | Galaxy Plus | ||
Systematic | Galaxy Plus | |||
Rosetta Capital Management, LLC | Discretionary | Galaxy Plus | ||
Systematic | ||||
Systematic |
Effective January 11, 2024, Horizon3 Investment Management LLP, previously accessed through Frontier Trading Company I LLC, was changed to be accessed through the Galaxy Plus Fund-Horizon3 Feeder Fund (577) LLC. The trading strategy remains the same.
A commodity Trading 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, 2016,2023, the allocation of the assets of each applicable Series of the Trust betweenamong the Trading Advisors was as follows:
Allocation as of December 31, 20162023 (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 | % |
Advisor | Frontier Diversified Fund | Frontier Long/Short Commodity Fund | Frontier Masters Fund | Frontier Balanced Fund | Frontier Select Fund | Frontier Global Fund | Frontier Heritage Fund | |||||||||||||||||||||
Aspect Capital Limited | 29 | % | - | 60 | % | 28 | % | - | 100 | % | 93 | % | ||||||||||||||||
Fort, L.P. | 13 | % | - | - | 5 | % | - | - | - | |||||||||||||||||||
Horizon3 Investment Management LLP | - | - | - | 16 | % | - | - | - | ||||||||||||||||||||
Quantica Capital AG | 10 | % | - | 28 | % | 13 | % | 64 | % | - | - | |||||||||||||||||
Quantitative Investment Management, LLC | 13 | % | - | - | 14 | % | - | - | - | |||||||||||||||||||
Quest Partners LLC | 24 | % | - | - | 17 | % | - | - | - | |||||||||||||||||||
Rosetta Capital Management, LLC | - | 55 | % | - | - | - | - | - | ||||||||||||||||||||
Volt Diversified Alpha Fund | - | 29 | % | - | - | - | - | - | ||||||||||||||||||||
Welton Investment Partners LLC | 11 | % | 16 | % | 12 | % | 7 | % | 36 | % | - | 7 | % |
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 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, and all amendments to these reports, with the Securities and Exchange Commission (“SEC”). These reports are posted atwww.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
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 theThe Trust and the Series. PursuantSeries do not maintain an internet website for their filings; however, the SEC maintains an internet site that contains reports, proxy and information statements, and other information regarding issuers that file electronically with the SEC. The Trust’s SEC filings are available to the Agreement, Equinox agreedpublic from the EDGAR database on the SEC’s website at http://www.sec.gov. The Trust’s CIK number is 0001261379. The Trust will provide electronic or paper copies of its filings to transfer to the New Managing Owner such amountits investors free 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, andcharge 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.request.
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.
All trading and investment activities take place at the Trading Company level or through a Series’ investment in one or more Galaxy Plus entities Platform, and, since the Trust invests substantially all of the assets of each Series in one or more Trading Companies and/or Galaxy Plus entities, each of the risks applicable to the Trading Companies and/or Galaxy Plus entities flows through to the Series.
Structural Risks
Neither the Trust nor any of the Trading Companies nor any of the Galaxy Plus entities is a registered investment company.
Neither the Trust nor any of the Trading Companies nor any of the Galaxy Plus entities is an investment company subject to the Investment Company Act. Accordingly, Unitholders do not have the protections afforded by that statute. For example, the Investment Company Act requires investment companies to have a majority of disinterested directors and regulates the relationship between the investment company and its investment adviser.
Certain restrictions on redemption and transfer of the Units apply.
Unitholders generally may redeem Units daily on one business day notice, but certain restrictions on redemption and transfer will apply. For example, if a Unitholder invests in class 1 or 1a Units and redeems all or a portion of such Units on or before the end of the 12 full months following the purchase of such Units, a Unitholder will be charged a redemption fee of up to a percentage of the purchase price of any such Units being redeemed. Also, transfers of Units are permitted only with the prior written consent of the Managing Owner and provided that conditions specified in the Trust Agreement are satisfied. There is no secondary market for the Units and none is expected to develop.
Redemptions may be temporarily suspended.
The 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 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.
Market Risks
Reserves for contingent liabilities may be established upon redemption, and the Trust may withhold a portion of a Unitholder’s redemption amount.
The commodity interest markets
When a Unitholder redeems its Units, the Trust may find it necessary to set up a reserve for undetermined or contingent liabilities and withhold a certain portion of a Unitholder’s redemption amount. This could occur, for example, if (i) some of the positions of the Series in which a Unitholder is invested were illiquid, (ii) there are any assets which cannot be properly valued on the redemption date, or (iii) there is any pending transaction or claim by or against the Trust involving, or which may affect, a Unitholder’s capital account or a Unitholder’s obligations.
Unitholders have limited rights and cannot prevent the Trust from taking actions which could cause losses.
Unitholders exercise no control over the Trust’s day-to-day business. Therefore, the Trust will take certain actions and enter into certain transactions or agreements without the Unitholders’ approval. For example, the Trust may retain a trading advisor for a Series in which a Unitholder is invested, and such trading advisor may ultimately incur losses for the Series. As a Limited Owner, a Unitholder will have no ability to influence the hiring, retention or firing of such trading advisor. However, certain actions, such as termination or dissolution of a Series, may only be taken upon the affirmative vote of Unitholders holding Units representing at least a majority (over 50%) of the net asset value of the Series (excluding Units owned by the Managing Owner and its affiliates).
Unitholders will not be able to review any Series’ holdings on a daily basis and may suffer unanticipated losses.
The trading advisors make trading decisions on behalf of the assets of each Series. While the Trading Advisors receive daily trade confirmations from the clearing brokers of each transaction entered into on behalf of each Series for which they manage the trading, each Series’ trading results are highly volatile, whichonly reported to investors monthly in summary fashion. Accordingly, an investment in the Units does not offer investors the same transparency that a personal trading account offers. As a result, you may suffer unanticipated losses.
Unitholders will not be aware of changes to trading programs or investments into, or divestments from, any Galaxy Plus entities.
Because of the proprietary nature of each Trading Advisor’s trading programs, you generally will not be advised if adjustments are made to a trading program or to allocations made to one or more Galaxy Plus entities in order to accommodate additional assets under management or for any other reason.
The Trust could terminate before a Unitholder achieves its investment objective, causing potential loss of its investment or upsetting its investment portfolio.
Unforeseen circumstances, including substantial losses or withdrawal of the Trust’s Managing Owner, could cause the Trust to terminate before its stated termination date of December 31, 2053. The Trust’s termination would cause the liquidation and potential loss of your investment and could upset the overall maturity and timing of your investment portfolio.
The Managing Owner may allocate nominal assets in respect of a Series that are in excess of the Net Asset Value of such Series.
At any given time, the nominal assets of a Series may exceed the net asset value of such Series depending on the amount of notional equity that is being utilized, including through investments in the Galaxy Plus entities. The Managing Owner expects that the nominal assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. The Managing Owner also expects each of the Trading Advisors to the Galaxy Plus entities to maintain nominal assets at a level in excess of the net asset value of such Galaxy Plus entity. To the extent that nominal assets of a Series or Galaxy Plus entity are in excess of net asset value, investors should understand that the applicable Series or Galaxy Plus entity will experience greater volatility as measured by net asset value than it would if the nominal assets were maintained at a level equal to net asset value. In such case, any losses to the Series or Galaxy Plus entity will be greater as measured by a percentage of net asset value, as compared to the percentage loss incurred in respect of nominal assets. Consequently, the allocation of nominal assets in excess of a Series’ or Galaxy Plus entity’s net asset value will magnify exposure to the swings in market prices of futures, forwards, options or other assets held by a Trading Company, Galaxy Plus entity or referenced by a swap or other derivative instrument and may cause you to lose your entire investment.
Commodity interest contracts are highly volatileresult in increased volatility, and are subject to occasional rapid and substantial fluctuations. Consequently, you couldpotentially greater losses. You may lose all or substantially all of your investment in the Units of any Series should such Series’ trading positions suddenly turn unprofitable. The profitability of any Series depends primarily on the ability of its Trading Advisor(s) to predict these fluctuations accurately. Price movements for commodity interests are influenced by, among other things:a Series.
The Managing Owner may adjust the leverage employed by a Trading Advisor through a Trading Company to maintain the target rate of volatility.
In its sole discretion, the Managing Owner may modify the allocations between the Trading Advisors used by a particular Series at any time, including adding new Trading Advisors or terminating current Trading Advisor relationships, and the Managing Owner may also increase or decrease the amount of leverage employed by a specific Trading Advisor by allocating notional funds to a particular Trading Advisor in accordance with the Managing Owner’s proprietary management program. The Managing Owner may increase or decrease the notional equity allocated to one or more individual Trading Advisors over time in order to adjust the annual volatility for a Series within the target volatility range disclosed for such Series.
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The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected ina Series, either by increasing the technical input data analyzedactual funds which are traded by the Trading Advisors.Advisor at a leverage of greater than 1x or by allocating notional amounts to one or more Trading Advisors, the specific risks associated with the relevant Trading Advisors will be greater for the affected Series. As the notional equity under management of a specific Trading Advisor increases, the diversification benefits attributable to a multi-advisor pool will be decreased to an extent, since the Trading Advisor will manage a greater percentage of the notional exposure of the Series. Since the Managing Owner may change the applicable leverage used by a particular Trading Advisor at any time, the diversification of risks between the Trading Advisors is variable.
Each Series may be charged substantial fees and expenses regardless of profitability.
Each Series is charged brokerage charges, OTC dealer spreads and related transaction fees and expenses, and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, governments from timethe Managing Owner charges each Series an incentive fee based on a percentage of the new trading profits generated by each Trading Advisor for such Series or the profits generated by such Series’ investment in Galaxy Plus entities. Such incentive fee is reduced by an amount equal to time intervene, directlyany performance fees paid by the Galaxy Plus entity to its Trading Advisors, and to the extent any related incentive fee is paid by regulation, in certain markets, often with the intentSeries 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 Managing Owner will pay all or a portion of its incentive fee to the Series. As a result of the fact that incentive fees are calculated separately for each Trading Advisor and Galaxy Plus entity to which the Series has allocated assets and each Series allocates assets to multiple Trading Advisors and/or Galaxy Plus entities, it is possible that substantial incentive fees may be paid out of the net assets of a Series during periods in which such Series has no net new trading profits or in which such Series actually loses money. In addition, each Series must earn new trading profits and interest income sufficient to cover these fees and expenses in order for Equinox Frontier Winton Fundit to be profitable.
Investors should note that the management fee payable to the Managing Owner is based on nominal assets rather than net asset value. Therefore, the management fee will be greater as a percentage of a Series’ net asset value to the extent that the nominal assets of such Series exceed its net asset value. The Managing Owner expects that the nominal assets of each Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility. In addition, basing the management fee on nominal assets may result in the Managing Owner receiving a higher management fee than if it was based on net asset value. This method of calculating the management fee payable to the Managing Owner may differ from how other commodity pools that are similar to a single advisor fundthe Trust calculate their management fees.
There are certain risks associated with investments in whichTrading Companies and Galaxy Plus entities.
Certain of the Trading Companies and Galaxy Plus entities may be organized as series limited liability companies. This means that, under the Delaware Limited Liability Company Act, the assets of one rading Advisor makes allseries are not available to pay the liabilities of another series or the trading decisions.company as a whole. This statute has not been tested in a court of law in the United States. In single advisor funds, volatility may increase as comparedthe event series limited liability is not enforceable, a segregated series could be obligated to a fund with several Trading Advisors who, collectively, can diversify risk to a greater extent (assuming those advisors are non-correlated withpay the liabilities of another series or the trading company. In addition, 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’ tradingTrust’s Series is subject to, execution risks.and invests a portion of its assets in Galaxy Plus entities that are subject to, risks related to the operation and administration of the Galaxy Plus Managed Account Platform (“Galaxy Plus Platform”) by officers and employees of New Hyde Park.
Each Series invests in Trading Companies that, although they are organized as series limited liability companies, allocate assets to more than one commodity trading advisor without the establishment of separate series with segregated liabilities. For these Trading Companies, losses incurred by one commodity trading advisor may negatively impact the Trading Company as a whole, as the assets allocated to a different commodity trading advisor may be made available to pay the liabilities of the commodity trading advisor that has incurred the loss. Since each of the Frontier Diversified Fund, the Frontier Masters Fund and the Frontier Long/Short Commodity Fund currently invests in such Trading Companies, this could indirectly cause the assets of one Series to be used to pay the liabilities of another Series. For Trading Companies that allocate assets to more than one commodity trading advisor, a series may be allowed to allocate a portion of its assets to a particular commodity trading advisor accessed by the Trading Company, rather than to the Trading Company as a whole.
Although each
Conflicts of interest exist in the structure and operation of the Trust.
A number of actual and potential conflicts of interest exist in the operation of the Trust’s business. The Managing Owner, the Trading Advisors, the independent administrator, the independent transfer agent, the clearing brokers, the Trustee and their respective principals are all engaged in other investment activities and are not required to devote substantially all of their time to the Trust’s business.
Each Series may incur higher fees and expenses upon renewing existing or entering into new contractual relationships.
The clearing agreements between the clearing brokers and the Trading Companies generally will purchase and sell actively traded contracts, ordersare terminable by the clearing brokers once the clearing broker has given the Trading Company the required notice. Upon termination of a clearing agreement, the Managing Owner may be required to renegotiate that agreement or make other arrangements for obtaining clearing. The services of the clearing brokers may not be executedavailable, 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.
Each Series may be subject to indirect fees and expenses associated with investments in swaps or other derivative instruments.
A portion of each Series’ assets may be used to enter into principal-to-principal OTC derivative contracts, including swaps, which are individually negotiated by the parties and priced by the counterparty and may include fees and expenses that are accounted for in the pricing under the applicable contract. Such indirect embedded expenses may not be identifiable or enumerated explicitly in confirms or other transaction documentation. Each Series may pay a fee to a counterparty in respect of any swap or derivative instruments of up to 0.50% of the notional amount of such swap or derivative instrument. Any management fee or incentive fees embedded in a swap or other derivative instrument may be greater or less than the management fee or incentive fees that would otherwise be charged to the Series by the Managing Owner. During the periods covered in this report, none of the Series owned a derivative instrument or swap.
The failure or bankruptcy of one of its futures clearing brokers, central clearing brokers, banks, counterparties or other custodians could result in a substantial loss of one or more Series’ assets.
The Trust is subject to the risk of insolvency of an exchange, clearinghouse, central clearing broker, commodity broker, and counterparties with whom the Trading Companies trade. Trust assets could be lost or impounded in such an insolvency during lengthy bankruptcy proceedings. Were a substantial portion of the Trust’s capital tied up in a bankruptcy, the Managing Owner might suspend or limit trading, perhaps causing a Series to miss significant profit opportunities. The Trust is subject to the risk of the inability or refusal to perform on the part of the counterparties with whom contracts are traded. In the event that the clearing brokers are unable to perform their obligations, the Trust’s assets are at risk, and investors may only recover a pro rata share of their investment, or nearnothing 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 desired price, particularlyTrust’s account on a daily basis. The clearing brokers, as futures commission merchants for the Trust’s exchange-traded contracts, are required, pursuant to CFTC regulations, to segregate from their own assets, and for the sole benefit of its commodity customers, all funds held by such clients with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts. Similar requirements apply with respect to funds held in thinly traded markets,connection with cleared swap contracts. Bankruptcy law applicable to all U.S. futures brokers requires that, in marketsthe event of the bankruptcy of such a broker, all property held by the broker, including certain property specifically traceable to the Trust, will be returned, transferred, or distributed to the broker’s customers only to the extent of each customer’s pro rata share of the assets held by such futures broker. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that lack trading liquidity, or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur,even a well-capitalized, major losses could result.institution will not become bankrupt.
In the event of a shortfall in segregated customer funds held by the futures commission merchant, the Series’ assets on account with the futures commission merchant may be at risk in the event of the futures commission merchant’s bankruptcy or insolvency, and, in such event, the Series may only recover a portion of the available customer funds. If no property is available for distribution, the Series would not recover any of its assets. With respect to a Series’ OTC uncleared swaps, prior to the implementation of the provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act, as amended (the “Dodd-Frank Act”), there was no requirement to segregate funds held with respect to such contracts. There is now a requirement to segregate funds held as variation margin posted by a party engaging in uncleared swaps with a swap dealer or major swap participant; moreover, a party engaging in uncleared swaps with a swap dealer or major swap participant can ask that the initial margin posted by such party be held with an independent third-party custodian. Generally, the party requesting segregation will pay the costs of such custodial arrangement. There may also be costs and delays involved in negotiating the custodial arrangement and related contractual terms.
With respect to transactions a Series enters into that are not traded on an exchange, there are no daily settlements of variations in value, and there is no requirement to segregate funds held with respect to such accounts. Thus, the funds that a Series invests in such transactions may not have the same protections as funds used as margin or to guarantee exchange-traded futures and options contracts. If the counterparty becomes insolvent and a Series has a claim for amounts deposited or profits earned on transactions with the counterparty, the Series’ claim may not receive a priority. Without a priority, the Trust is a general creditor, and its claim will be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even funds of the Trust that the counterparty keeps separate from its own operating funds may not be safe from the claims of other general and priority creditors. There are no limitations on the amount of allocated assets a portfolio manager can trade on foreign exchanges or in forward contracts.
A Unitholder may not be able to establish a basis for liability against a Trading Advisor, a clearing broker or a swap counterparty.
Each Trading Advisor, clearing broker, and swap counterparty acts only as a Trading Advisor, clearing broker or swap counterparty, respectively, to the applicable Series and/or Trading Company. These parties do not act as Trading Advisors, clearing brokers, or swap counterparties to you. Therefore, you have no contractual privity with the Trading Advisors, the clearing brokers, or any swap counterparty. Due to this lack of contractual privity, you may not be able to establish a basis for liability against a Trading Advisor, clearing broker, or swap counterparty.
The Managing Owner is leanly staffed and relies heavily on its key personnel to manage the Trust’s trading activities. The loss of such personnel could adversely affect the Trust.
In managing and directing the day-to-day activities and affairs of the Trust, the Managing Owner relies heavily on its principals. The Managing Owner is leanly staffed, although there are back-up personnel for every key function. If any of the Managing Owner’s key persons were to leave or be unable to carry out his or her present responsibilities, it may have an adverse effect on the management of the Trust.
Risks Relating to Trading and the Markets
Futures interests trading is speculative and volatile.
The rapid fluctuations in the market prices of futures, forwards, and options make an investment in any of the Series volatile. Volatility is caused by, among other things: changes in supply and demand relationships; weather; agriculture, trade, fiscal, monetary and exchange control programs; domestic and foreign political and economic events and policies; and changes in interest rates. The Trading Advisors’ technical trading methods may not take account of these factors except as they may be reflected in the technical input data analyzed by the Trading Advisors. In addition, governments from time to time intervene, directly and by regulation, in certain markets, often with the intent to influence prices directly. The effects of governmental intervention may be particularly significant at certain times in the financial instrument and currency markets, and this intervention may cause these markets to move rapidly.
Each Series’ performance will be volatile, and a Series could lose all or substantially all of its assets. The multi-advisor feature of each Series, except for Equinox Frontier WintonGlobal Fund, along with its investments in Galaxy Plus entities, may reduce the return volatility relative of the performance of single-advisor investment funds.
Options trading can be more volatile and expensive than futures trading.
Options are volatilederivatives that give the purchaser the option to buy (call) or sell (put) an underlying asset from or to a counterparty at a specified price (the strike price) on or before an expiration date. Certain Trading Advisors may purchase or write (i.e., sell) put and inherently leveraged,call options on an underlying reference it is otherwise permitted to invest in. By investing in options, the Series are exposed to the risk that they may be required to buy or sell the underlying reference at a disadvantageous price on or before the expiration date. If a Series sells a put option, the Series may be required to buy the underlying reference at a strike price that is above market price, resulting in a loss. If a Series sells a call option, the Series may be required to sell the underlying reference at a strike price that is below market price, resulting in a loss. If a Series sells a call option that is not covered (it does not own the underlying reference), the Series’ losses are potentially unlimited. Options may involve economic leverage, which could result in greater volatility in price movement. Options may be traded on a securities exchange or in the OTC market. At or prior to maturity of an options contract, a Series may enter into an offsetting contract and sharp movementsmay incur a loss to the extent there has been adverse movement in prices could causeoptions prices. Options can increase a Series’ risk exposure to underlying references and their attendant risks, such as credit risk, market risk, foreign currency risk and interest rate risk, while also exposing the TrustSeries to incur large losses.correlation risk, counterparty risk, hedging risk, leverage risk, liquidity risk, pricing risk and volatility risk.
Certain Trading Advisors may trade options on futures. Although successful options trading requirerequires many of the same skills as successful futures trading, the risks involved are somewhat different. Successful options trading requirerequires 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. Swaps Creates Distinctive Risks.
The prices at which such transactions are executed are negotiated between the parties. If a Trading Advisor engaging in exchanges of futures for physicals were prevented from such trading as a result of regulatory changes, the performance of client accounts of such Trading Advisor could be adversely affected.
Cash flow needs may cause positions to be closed which may cause substantial losses.
Certain Trading AdvisorsSeries may trade options on futures. Futures contract gains and losses are marked-to-market daily for purposes of determining margin requirements. Option positions generally are not marked-to-market daily, although short option positions will require additional margin if the market moves against the position. Due to these differences in margin treatment betweencertain swaps. Unlike futures and options there may be periods in which positions on both sides must be closed down prematurely due to short term cash flow needs. If this occurs during an adverse move in a spread or straddle relationship, then a substantial loss could occur.
The Trading Companies or Galaxy Plus entities and Trust may enter intofutures contracts, most swap and similar transactions which may create risks.
Swapscontracts currently are not traded on exchangesor cleared by an exchange or clearinghouse. The CFTC currently requires only a limited class of swap contracts (certain interest rate and are not subjectcredit default swaps) to the same type of government regulation asbe cleared and executed on an exchange markets. As a result, many of the protections afforded to participants onor other organized exchanges and in a regulated environment are not available in connectiontrading platform. In accordance with these transactions.
The Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, the CFTC will affectdetermine in the manner infuture which over-the-counter (“OTC”)other classes of swap contracts will be required to be cleared and executed on an exchange or other organized trading platform. Until such time as these transactions are tradedcleared, the Series will be subject to a greater risk of counterparty default on its swaps. Because swaps do not generally involve the delivery of underlying assets or principal, the amount payable upon default and early termination is usually calculated by reference to the credit risk associated with such trading. Any changes will likely impact the way swaps are traded and could impact the trading strategycurrent market value of the Trust,contract. Swap dealers and major swap participants require the series to deposit initial margin and variation margin as collateral to support such Series’ obligation under the swap agreement but may not themselves provide collateral for the benefit of any Series. If the counterparty to such a swap defaults, the Series would be a general unsecured creditor for any termination amounts owed by the counterparty to the Series as well as make it more expensivefor any collateral deposits in excess of the amounts owed by the Series to trade swaps.the counterparty, which would result in losses to the Series.
There are no limitations on daily price movements in swaps. Speculative position limits are not currently applicable to swaps althoughbut, in the counterparties tofuture, may be applicable for swaps may limit the size or duration of positions as a consequence of credit considerations. Participantson certain commodities. In addition, participants in the swap markets are not required to make continuous markets in the swaps they trade. Participants could refusetrade and determining a market value for calculation of termination amounts can lead to quote pricesuncertain results.
Trading of swaps has been and will continue to be subject to substantial change under the Dodd-Frank Act and related regulatory action. Under the Dodd-Frank Act, many commodity swaps will be required to be cleared through central clearing parties and executed on exchanges or other organized trading platforms. Security-based swaps will be subject to similar requirements. Additional regulatory requirements will apply to all swaps, whether subject to mandatory clearing or not. These include margin, collateral and capital requirements, reporting obligations, speculative position limits for certain swaps, or quote prices with an unusually wide spread between the price atand other regulatory requirements. Swaps which they are prepared to buy and the price at which they are prepared to sell. In the case of any swap that references a fund or program managednot offered for clearing by a Trading Advisor, certain or allclearinghouse will continue to be traded bi-laterally. Such bi-lateral transactions will remain subject to many of the risks discloseddiscussed in this reportthe preceding paragraphs.
Swap counterparties may hold collateral in relationU.S. or non-U.S. depositories. Non-U.S. depositories are not subject to U.S. regulation. The Series’ assets held in these depositories are subject to the Trading Advisors alsorisk that events could occur which would hinder or prevent the availability of these funds for distribution to customers, including the Series. Such events may apply, indirectly,include actions by the government of the jurisdiction in relation towhich the relevant Series’ investment in such swap.depository is located including expropriation, taxation, moratoria and political or diplomatic events.
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The trading on behalf of each Series will be margined, which means that sharp declines in prices could lead to large losses.
Because the amount of margin funds necessary to be deposited with a futures clearing broker to enter into a futures, forward contract or option position is typically about 2% to 10% of the total value of the contract, each Trading Advisor may take positions on behalf of a Series with face values equal to several times such Series’ NAV. These low margin requirements provide a large amount of leverage. As a result of margining, even a small movement in the price of a contract can cause major losses. Any purchase or sale of a futures or forward contract or option position may result in losses that substantially exceed the amount invested. If severe short-term price declines occur, such declines could force the liquidation of open positions with large losses. Margin is normally monitored through the margin-to-equity ratio employed by each Trading Advisor. Under normal circumstances, the Trading Advisors will vary between a 10% to 30% margin-to-equity ratio. In addition, OTC transactions present risks in addition to those associated with exchange-traded contracts, as discussed immediately below.
OTC transactions are subject to little, if any, regulation and may be subject to the riskThe unregulated nature of counterparty default.
A portion of each Series’ assets may be used to trade OTC derivative contracts, such as forward contracts, option contracts, or swaps, or spot contracts. OTC contracts are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are essentially unregulated by the CFTC. You therefore do not receive the protection of CFTC regulation or the statutory scheme of the 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 may remain in effect. Accordingly, even after the new regulatory framework is fully implemented, the risks of OTC foreign exchange transactions may continue to exist with respect to transactions entered into prior to the implementation of the provisions of the Dodd-Frank Act. Additionally, any changes will likely impact the way swaps are traded and could impact the trading strategy of the trust, as well as make it more expensive to trade swaps.
Assets Held in Accounts at U.S. Banks May Not Be Fully Insured.
The assets of each Trading Company or Galaxy Plus entity that are deposited with commodity brokers or their affiliates may be placed in deposit accounts at U.S. banks. The Federal Deposit Insurance Corporation (FDIC) insures deposit accounts at insured banks for up to $250,000 for each accountholder, and, if the funds in an account can be traced back to multiple individual co-owners, then each co-owner may be entitled to $250,000 in coverage. This amount of deposit insurance coverage was made permanent by the Dodd-Frank Act. Uninsured depositors also may receive funds in the event of a receivership of the bank holding the deposit accounts, but uninsured depositors have a lower priority in respect of payment than insured depositors or certain other creditors, and frequently there are insufficient funds in a receivership estate to pay off uninsured depositors fully or at all. If the FDIC were to become receiver of an insured U.S. bank holding deposit accounts that were established by a commodity broker or one of its affiliates, then it is uncertain whether the commodity broker, the affiliate involved, the Trading Company or Galaxy Plus entity, the Series involved, or the investor would be able to reclaim cash in the deposit accounts in the full amount.
Your investment could be illiquid.
A Trading Advisor may not always be able to liquidate its commodity interest positions at the desired time or price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as a foreign government taking political actions that disrupt the market in its currency or in a major export, can also make it difficult to liquidate a position. Alternatively, limits imposed by futures exchanges or other regulatory organizations, such as speculative position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some commodity interests. There is no secondary market for the Units and none is expected to develop.
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Certain Restrictions on Redemption and Transfer of the Units Will Apply.
Investors may redeem units daily on one business day notice, but certain restrictions on redemption and transfer will apply. For example, if you invest in Class 1 or 1a Units and redeem all or a portion of such Units on or before the end of the 12 full months following the purchase of such Units, you will be charged a redemption fee of up to 2.0% of the purchase price of any such units being redeemed. Also, transfers of Units are permitted only with the prior written consent of the Managing Owner and provided that conditions specified in the trust agreement are satisfied. There is no secondary market for the Units and none is expected to develop.
Redemptions may be temporarily suspended.
The Managing Owner may temporarily suspend redemptions for some or all of the Series for up to 30 days if the effect of any redemption, either alone or in conjunction with other redemptions, would be to impair the Trust’s ability to operate in pursuit of its objectives (for example, if the Managing Owner believes a redemption, if allowed, would materially advantage one investor over another investor). The Managing Owner anticipates suspending redemptions only under extreme circumstances, such as a natural disaster, force majeure, act of war, terrorism or other event which results in the closure of financial markets. During any suspension of redemptions, a redeeming Limited Owner invested in a Series for which redemptions were suspended would remain subject to market risk with respect to such Series.
An investment in Units may not diversify an overall portfolio.
Historically, managed futures have performed in a manner largely independent from the general equity and debt markets. If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. An investment in any Series of the Trust could increase, rather than reduce your overall portfolio losses during periods when the Trust and the equity and debt markets decline in value. There is no way of predicting whether the Trust will lose more or less than stocks and bonds in declining markets. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios. Past performance is not indicative of future results.
Trading Risks
There are disadvantages to making trading decisions based on technical analysis.
Many of the Trading Advisors except certain Trading Advisors trading for the 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 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.
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Discretionary decision-making may result in missed opportunities or losses.
Because each of the Trading Advisors’ strategies involves some discretionary aspects in addition to analysis of technical factors, certain Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in a Trading Advisor’s failing to capitalize on certain price trends or making unprofitableuncleared trades in a situation where another trader relying solely on a systematic approach might not have done so. Furthermore, such use of discretion may not enable the Series to avoid losses, and in fact, such use of discretion may cause the Series to forego profits which it may have otherwise earned had such discretion not been used.
The Trading Companies or Galaxy Plus entities are subject to speculative position limits.
The U.S. futures exchanges have established speculative position limits (referred to as “position limits”) on the maximum net long or net short position which any person or group of persons may hold or control in particular futures and options on futures. Most exchanges also limit the amount of fluctuation in commodity futures contract prices on a single trading day. Therefore, a Trading Advisor may have to modify its trading instructions or reduce the size of its positions in one or more futures or options contracts in order to avoid exceeding such position limits, which could adversely affect the profitability of the Trading Companies or Galaxy Plus entities. The futures exchange may amend or adjust these position limits or the interpretation of how such limits are applied, which could adversely affect the profitability of the Trading Companies or Galaxy Plus entities.
In December 2016, the CFTC voted unanimously to repropose regulations implementing limits on speculative positions in 25 core physical commodity futures contracts and their economically equivalent futures, options and swaps. Comments on these regulations were due by the end of February 2017. These rules could have an adverse effect on Trading Advisors’ trading for the Trading Companies and Galaxy Plus entities.
Increases in assets under management of any of the Trading Advisors could lead to diminished returns.
We believe that none of the Trading Advisors intend to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. However, the rates of returns achieved by a Trading Advisor often diminish as the assets under its management increase. This can occur for many reasons, including the inability of the Trading Advisor to execute larger position sizes at desired prices and because of the need to adjust the Trading Advisor’s trading program to avoid exceeding speculative position limits. These limits are established by the CFTC and the exchanges on the number of speculative futures and options contracts in a commodity that one trader may own or control. Furthermore, if the Trading Advisors for a Series cannot manage any additional allocation from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.
The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.
The use of multiple Trading Advisors for the 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 Company(ies) or Galaxy Plus entity(ies) in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.
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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 Advisors whose trading programs are referenced by swaps in which such Series invests.
There are disadvantages associated with terminating or replacing Trading Advisors, Trading Programs, or Reference Trading Programs
A Trading Advisor generally is required to recoup previous trading losses in its trading program or a reference trading program, as applicable, before it can earn performance-based compensation. However, the Managing Owner may elect to replace a Trading Advisor, or any trading program or reference trading program, that has a “loss carryforward.” In that case, the trust would lose the “free ride” of any potential recoupment of the prior losses of such Trading Advisor, trading program or reference trading program. In addition, the new Trading Advisor, trading program or reference trading program, or an existing Trading Advisor in respect of a new trading program or reference program, would earn performance-based compensation on the first dollars of investment profits.
It is also possible that (i) the advisory agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current advisory agreement for that Trading Advisor, (ii) if assets of any Series allocated to a particular Trading Advisor, trading program or reference trading program are reallocated to a new or different Trading Advisor, trading program or reference trading program, the new or different Trading Advisor, with respect to its applicable trading program or reference trading program, will not manage the assets on terms as favorable to the Series as those previously negotiated, (iii) the addition of a new Trading Advisor, trading program or reference trading program and/or the removal of one of the current Trading Advisors, trading programs or reference trading programs may cause disruptions in trading as assets are reallocated, or (iv) the services of a replacement Trading Advisor, in respect of a trading program, reference program or otherwise, may not be available. There is severe competition for the services of qualified Trading Advisors, and the Managing Owner may not be able to retain replacement or additional Trading Advisors on acceptable terms. The effect of the replacement of, or the reallocation of assets away from, a Trading Advisor, trading program or reference trading program therefore could be significant.
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.
The Unregulated Nature of Uncleared Trades in the OTC Markets Creates Counterparty Risksmarkets creates counterparty risks that Do Not Existdo not exist in Futures Tradingfutures trading on Exchangesexchanges or in Cleared Swaps.cleared swaps.
Unlike futures contracts and cleared swaps, uncleared trades, such as forward contracts, some swaps and some OTC “spot” contracts, are entered into between private parties off an exchange or other trading platform and are not subject to clearing. As a result, the performance of those contracts is not guaranteed by an exchange or its clearinghouse and the Series is at risk with respect to the ability of the counterparty to perform on the contract, including the creditworthiness of the counterparty. Trading of foreign exchange spot contracts of foreign exchange forwards and foreign exchange swaps (as such terms are defined in the Dodd-Frank Act), and of uncleared swaps is not regulated or is subject to limited regulation; therefore, there are limited or no specific standards or regulatory supervision of trade pricing and other trading activities that occur in those markets.
Foreign Currencycurrency and Spot Contracts Historically Were Not Regulated When Traded Between Certain “Eligible Contract Participants”spot contracts historically were not regulated when traded between certain “eligible contract participants” and Are Subjectare subject to Credit Risk.credit risk.
Each Series may trade forward contracts in foreign currencies and may engage in spot commodity transactions (transactions in physical commodities). These contracts, unlike futures contracts and options on futures, historically were not regulated by the CFTC when traded between certain “eligible contract participants,” as defined in the Commodity Exchange Act. On July 21, 2010,CEA. However, the President signed into law major financial services reform legislation in the form of the Dodd-Frank Act. The Dodd-Frank Act includes foreign currency forwards and foreign currency swaps (as such terms are defined in the Dodd-Frank Act) in the definition of “swap.” The CFTC has been granted authority to regulate all swaps but grants the U.S. Treasury Department the discretion to exempt foreign currency forwards and foreign currency swaps from all aspects of the Dodd-Frank Act other than reporting, recordkeeping and business conduct rules for swap dealers and major swap participants. In November 2012, Treasury determined that those transactions can be carved out of the swap category, and they are subject only to the noted categories of the Dodd-Frank Act requirements. Therefore, the Series will not receive the full benefit of CFTC regulation for certain of their foreign currency trading activities.
The percentage of each Series’ positions that are expected to constitute foreign currency forwards and foreign currency swaps can vary substantially from month to month.
Trading on Foreign Exchanges Presents Greater Risksforeign exchanges presents greater risks to the Series than Tradingtrading on U.S. Exchanges.exchanges.
Each Series trades on exchanges located outside the United States. Trading on U.S. exchanges is subject to CFTC regulation and oversight, including, for example, minimum capital requirements for commodity brokers, segregation of customer funds, regulation of trading practices on the exchanges, prohibitions against trading ahead of customer orders, prohibitions against filling orders off exchanges, prescribed risk disclosure statements, testing and licensing of industry sales personnel and other industry professionals, and recordkeeping requirements, and other requirements and restrictions for the purpose of preventing price manipulation and other disruptions to market integrity, avoiding systemic risk, preventing fraud and promoting innovation, competition and financial integrity of transactions. Trading on foreign exchanges is not regulated by the CFTC or any other U.S. governmental agency or instrumentality and may be subject to regulations that are different from those to which U.S. exchange trading is subject, provide less protection to investors than trading on U.S. exchanges, and may be less vigorously enforced than regulations in the U.S. The CFTC has no power to compel the enforcement of the rules of a foreign exchange or applicable foreign laws. Therefore, the Series will not receive any benefit of U.S. government regulation for these trading activities.
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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 Series in the event of the insolvency or bankruptcy of a non-U.S. market or broker are likely to differ from rights that the Series would have in the United States, and these rights may be more limited than in the case of failures of U.S. markets or brokers.
Possible Governmental Intervention
Generally, foreign brokers are not subject to the jurisdiction of the CFTC or any other U.S. regulator. In addition, the Series’ assets held outside of the United States to margin transactions on foreign exchanges are held in accordance with the client assets protection regime and the insolvency laws of the applicable jurisdiction. A foreign government might halt trading in a market and/or take possession of the Series’ assets maintained in its country, in which case the assets may never be recovered. The Managing Owner and the Series might have little or no notice that such events were happening. In such circumstances, the Managing Owner may not be able to obtain the Series’ assets.
Relatively New Markets
Some foreign exchanges on which the Series trade may be in developmental stages so that prior price histories may not be indicative of current price patterns.
Exchange-Rate Exposure
The Series are valued in U.S. dollars. Contracts on foreign exchanges are usually traded in the local currency. The Series’ assets held in connection with contracts priced and settled in a foreign currency may be held in a foreign depository in accounts denominated in a foreign currency. Changes in the value of the local currency relative to the U.S. dollar could cause losses to the Series even if the contract traded is profitable.
InvestmentsAssets held in Reference Programs Throughaccounts at U.S. banks may not be fully insured.
The assets of each Trading Company or Galaxy Plus entity that are deposited with commodity brokers or their affiliates may be placed in deposit accounts at U.S. banks. The Federal Deposit Insurance Corporation (“FDIC”) generally insures all deposit accounts of any one accountholder held at any one insured U.S. bank for up to $250,000 in the aggregate. If the funds in an account can be traced back to multiple individual co-owners, then each co-owner may be separately entitled to up to $250,000 in coverage. This $250,000 maximum amount of deposit insurance coverage was made permanent by the Dodd-Frank Act. Uninsured depositors also may receive funds in the event of a Swap or Other Derivative Instrument May Not Always Replicate Exactly Performancereceivership of the Relevant 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 bybank holding the Managing Owner. It is possible that the underlying indexdeposit accounts, but uninsured depositors have a lower priority in respect of payment than insured depositors or certain other creditors, and frequently, there are insufficient funds in a receivership estate to pay off uninsured depositors fully or at all. If the FDIC were to become receiver of an insured U.S. bank holding deposit accounts that were established by a commodity broker or one of its affiliates, then it is uncertain whether the commodity broker, the affiliate involved, the Trading Company or Galaxy Plus entity, the Series involved, or the investor would be able to reclaim cash in the deposit accounts in the full amount.
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.
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.
The Trading Advisors’ trading is subject to execution risks.
Although each Series generally will purchase and sell actively traded contracts, orders may not be executed at or near the desired price, particularly in thinly traded markets, in markets that lack trading liquidity, or because of applicable “daily price fluctuation limits,” “speculative position limits” or market disruptions. If market illiquidity or disruptions occur, major losses could result.
An investment in Units may not diversify an overall portfolio.
Historically, managed futures have performed in a manner largely independent from the general equity and debt markets. If, however, a Series does not perform in a non-correlated manner with respect to the general financial markets or does not perform successfully, you will obtain little or no diversification benefits by investing in the Units. An investment in any swap ownedSeries of the Trust could increase, rather than reduce your overall portfolio losses during periods when the Trust and the equity and debt markets decline in value. There is no way of predicting whether the Trust will lose more or less than stocks and bonds in declining markets. You should therefore not consider the Units to be a hedge against losses in your core stock and bond portfolios. Past performance is not indicative of future results.
Markets or positions may be correlated and may expose a Series to significant risk of loss.
Different markets traded or individual positions held by a Series of Units may not fully replicatebe highly correlated to one another at times. Accordingly, a significant change in one such market or position may affect other such markets or positions. The Trading Advisors cannot always predict correlation. Correlation may expose such Series of Units both to significant risk of loss and significant potential for profit.
The Trading Advisors’ positions may be concentrated from time to time, which may render each Series susceptible to larger losses than if the performancepositions were more diversified.
One or more of the relevant CTA programsTrading Advisors may from time to time cause a Series to hold a few relatively large positions in respectrelation to its assets. Consequently, a loss in any such position could result in a proportionately greater loss to such Series than if the Series’ assets had been spread among a wider number of instruments.
Turnover in each Series’ portfolio may be high, which could result in higher brokerage commissions and transaction fees and expenses.
Each Trading Advisor will make certain trading decisions on the basis of short-term market considerations. The portfolio turnover rate may be substantial at times, either due to such decisions or to market conditions, and this could result in one or more Series incurring substantial brokerage commissions and other 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 notransaction fees were deducted.and expenses.
There Are Certain Risks Associatedare certain risks associated with the Trust’s Investmentinvestment in U.S. Government Debt Securities.government debt securities.
With respect to the portion of the Trust’s assets apportioned for cash management, the Trust may invest in U.S. government securities, which include any security issued or guaranteed as to principal or interest by the United States, or by a person controlled by or supervised by and acting as an instrumentality of the government of the United States pursuant to authority granted by Congress of the United States or any certificate of deposit for any of the foregoing, including U.S. Treasury bonds, U.S. Treasury bills and issues of agencies of the U.S. government (such as Ginnie Mae, Fannie Mae, or Freddie Mac). U.S. government securities are subject to market risk, interest rate risk and credit risk. Securities, such as those issued or guaranteed by Ginnie Mae or the U.S. Treasury, that are backed by the full faith and credit of the United States are guaranteed only as to the timely payment of interest and principal when held to maturity and the market prices for such securities will fluctuate. Notwithstanding that these securities are backed by the full faith and credit of the United States, circumstances could arise that would prevent the payment of interest or principal. This would result in losses to the Trust. Securities issued or guaranteed by U.S. government-related organizations, such as Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the U.S. government and no assurance can be given that the U.S. government would provide financial support. Therefore, U.S. government-related organizations may not have the funds to meet their payment obligations in the future.
The Trust’s Investmentinvestment in U.S. Government Debt Securities Will Be Subjectgovernment debt securities will be subject to Interest Rate Risk.interest rate risk.
The Trust’s cash management pool includes investments in U.S. government debt securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. On the other hand, if rates fall, the value of these investments generally increases. U.S. government securities with greater interest rate sensitivity and longer maturities tend to produce higher yields but are subject to greater fluctuations in value. Usually, the changes in the value of fixed income securities will not affect cash income generated but may affect the value of your investment. Given
Investments in reference programs through a swap or other derivative instrument may not always replicate exact exactly the performance of the relevant CTA trading program(s).
From time to time, certain Series invested in reference programs through total return swaps with Deutsche Bank AG. Such swaps reference an index comprised of shares in segregated investment portfolios directed by CTAs selected by the Managing Owner. It is possible that the underlying index in respect of any swap owned by a Series may not fully replicate the performance of the relevant CTA programs in respect of other accounts traded by such CTAs. Further, the calculation of the underlying index for such swaps will include a deduction for a fee payable to the swap counterparty. Each of these deductions will mean that the return of such investment will be less than would be the case if no fees were deducted. During the periods covered by this report, no Series was invested in any derivative instruments including swaps.
Our investments and operations are subject to the risk of a potential public health crisis.
A public health crisis, pandemic, epidemic or outbreak of a contagious disease, such as the recent global outbreak of a disease caused by a novel and highly contagious form of coronavirus (COVID-19), could have an adverse impact on global, national and local economies, which in turn could negatively impact the Series. An outbreak such as COVID-19, and the reactions to such an outbreak, are expected to adversely affect the performance of the U.S. and global economies, including due to market volatility, market and business uncertainty and closures, supply chain and travel interruptions, the need for employees to work at external locations and extensive medical absences among the workforce. Disruptions to commercial activity relating to the imposition of quarantines, stay-at-home orders or travel restrictions (or more generally, a failure of containment efforts) may adversely impact the Series’ investments. In addition, such restrictions may significantly impair the ability of the Trading Advisors’ personnel to travel in connection with potential or existing investments of the Series, which could negatively impact the ability of such Trading Advisors to effectively identify, monitor, operate and dispose of investments.
Risks Relating to the Trading Advisors
There are disadvantages to making trading decisions based on technical analysis.
Many of the Trading Advisors, except certain Trading Advisors trading for the Frontier Long/Short Commodity Fund, may base their trading decisions on trading strategies that use mathematical analyses of technical factors relating to past market performance rather than fundamental analysis. The buy and sell signals generated by a technical, trend-following trading strategy are derived from a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets. The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded.
A danger for trend-following traders is whip-saw markets, that is, markets in which a potential price trend may start to develop but reverses before an actual trend is realized. A pattern of false starts may generate repeated entry and exit signals in technical systems, resulting in unprofitable transactions. In the past, there have been prolonged periods without sustained price moves. Presumably these periods will continue to occur. Periods without sustained price moves may produce substantial losses for trend-following trading strategies. Further, any factor that may lessen the prospect of these types of moves in the future, such as increased governmental control of, or participation in, the relevant markets, may reduce the prospect that any trend- following trading strategy will be profitable in the future.
There are disadvantages to making trading decisions based on fundamental analysis.
Certain Trading Advisors will base their decisions on trading strategies which utilize, in whole or in part fundamental analysis of underlying market forces. Fundamental analysis attempts to examine factors external to the trading market which affect the supply and demand for a particular commodity interest in order to predict future prices. Such analysis may not result in profitable trading because certain Trading Advisors may not have knowledge of all factors affecting supply and demand or may incorrectly interpret the information they do have. Furthermore, prices may often be affected by unrelated or unexpected factors, and fundamental analysis may not enable the Trading Advisor to determine whether its previous decisions were incorrect in sufficient time to avoid substantial losses. In addition, fundamental analysis assumes that commodity markets are inefficient—i.e., that commodity prices do not always reflect all available information—which some market analysts dispute.
Discretionary decision-making may result in missed opportunities or losses.
Because each of the Trading Advisors’ strategies involves some discretionary aspects in addition to analysis of technical factors, certain Trading Advisors may occasionally use discretion in investing the assets of a Series. For example, the Trading Advisors often use discretion in selecting contracts and markets to be followed. In exercising such discretion, such Trading Advisor may take positions opposite to those recommended by the Trading Advisor’s trading system or signals. Discretionary decision making may also result in a Trading Advisor’s failing to capitalize on certain price trends or making unprofitable trades in a situation where another trader relying solely on a systematic approach might not have done so. Furthermore, such use of discretion may not enable the Series to avoid losses, and in fact, such use of discretion may cause the Series to forego profits which it may have otherwise earned had such discretion not been used.
Increased competition from other systematic traders could reduce the Trading Advisors’ profitability.
There has been a dramatic increase over the past 15 to 25 years in the amount of assets managed pursuant to trading systems like those that some of the Trading Advisors may employ. This means increased trading competition among a larger number of market participants for transactions at favorable prices, which could operate to the detriment of some or all Series by preventing the Trading Advisors from effecting transactions at the desired prices. It may become more difficult for the Trading Advisors to implement their trading strategies if other commodity trading advisors using technical systems are attempting to initiate or liquidate commodity interest positions at the same time as the Trading Advisors. The more competition there is for the same positions, the more costly and harder they will be to acquire.
The incentive fees could be an incentive to the Trading Advisors to make riskier investments.
The Managing Owner pays each Trading Advisor incentive fees based on the trading profits earned by it for the applicable Series, including unrealized appreciation on open positions. Accordingly, it is possible that the Managing Owner will pay an incentive fee on trading profits that do not become realized. Also, because the Trading Advisors are compensated based on the trading profits earned, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation.
The risk management approaches of one or all of the Trading Advisors may not be fully effective, and a Series may incur losses.
The mechanisms employed by each Trading Advisor to monitor and manage the risks associated with its trading activities on behalf of the Series for which it trades may not succeed in mitigating all identified risks. Even if a Trading Advisor’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. If one or more of the Trading Advisors fails to identify and adequately monitor and manage all of the risks associated with its trading activities, the Series for which it trades may suffer losses.
Increases in assets under management of any of the Trading Advisors could lead to diminished returns.
We believe that none of the Trading Advisors intend to limit the amount of additional equity that it may manage, and each will continue to seek major new accounts. However, the rates of returns achieved by a Trading Advisor often diminish as the assets under its management increase. This can occur for many reasons, including the inability of the Trading Advisor to execute larger position sizes at desired prices and because of the need to adjust the Trading Advisor’s trading program to avoid exceeding speculative position limits.
These limits are established by the CFTC and the exchanges on the number of speculative futures and options contracts in a commodity that one trader may own or control. Furthermore, if the Trading Advisors for a Series, including through a Galaxy Plus entity, cannot manage any additional allocations from the Trust, the Managing Owner may add additional Trading Advisors for such Series who may have less experience or less favorable performance than the existing Trading Advisors.
Each Series relies on its Trading Advisor(s) for success, and, if a Trading Advisor’s trading is unsuccessful, the Series may incur losses.
The Trading Advisor(s) for each Series will make the commodity trading decisions for that Series. Therefore, the success of each Series depends on the judgment and ability of the Trading Advisors. A Trading Advisor’s trading for any Series may not prove successful under all or any market conditions. If a Trading Advisor’s trading is unsuccessful, the applicable Series may incur losses. Similarly, the success of each Series that invests in swaps largely depends on the judgment and ability of the Trading Advisors whose trading programs are referenced by swaps in which such Series invests.
There are disadvantages associated with terminating or replacing Trading Advisors, Trading Programs, or Reference Trading Programs
A Trading Advisor generally is required to recoup previous trading losses in its trading program or a reference trading program, as applicable, before it can earn performance-based compensation. However, the Managing Owner and/or the commodity pool operator may elect to replace a Trading Advisor, or any trading program or reference trading program, that has a “loss carryforward.” In that case, the Trust would lose the “free ride” of any potential recoupment of the prior losses of such Trading Advisor, trading program or reference trading program. In addition, the new Trading Advisor, trading program or reference trading program, or an existing Trading Advisor in respect of a new trading program or reference program, would earn performance-based compensation on the first dollars of investment profits.
It is also possible that (i) the advisory agreement with any Trading Advisor, once it expires, will not be renewed on the same terms as the current lowadvisory agreement for that Trading Advisor, (ii) if assets of any Series allocated to a particular Trading Advisor, trading program or reference trading program are reallocated to a new or different Trading Advisor, trading program or reference trading program, the new or different Trading Advisor, with respect to its applicable trading program or reference trading program, will not manage the assets on terms as favorable to the Series as those previously negotiated, (iii) the addition of a new Trading Advisor, trading program or reference trading program and/or the removal of one of the current Trading Advisors, trading programs or reference trading programs may cause disruptions in trading as assets are reallocated, or (iv) the services of a replacement Trading Advisor, in respect of a trading program, reference program or otherwise, may not be available. There is severe competition for the services of qualified Trading Advisors, and the Managing Owner may not be able to retain replacement or additional Trading Advisors on acceptable terms. The effect of the replacement of, or the reallocation of assets away from, a Trading Advisor, trading program or reference trading program therefore could be significant.
The Managing Owner’s allocation of the Trust’s assets among Trading Advisors may result in less than optimal performance by the Trust.
The Managing Owner may reallocate assets among the Trading Advisors in a Series upon termination of a Trading Advisor or retention of a new Trading Advisor, including through divestments out of, or investments into, Galaxy Plus entities, or at the commencement of any month. Consequently, the net assets for such Series may be allocated among the Trading Advisors in a different manner than the currently anticipated allocations. The Managing Owner’s allocation of assets of any such Series may adversely affect the profitability of the trading of such Series. For example, a Trading Advisor for a Series may experience a high rate of return but may be managing only a small percentage of the net assets of such Series. In this case, the Trading Advisor’s performance could have a minimal effect on the NAV of such Series.
Each Trading Advisor advises other clients and may achieve more favorable results for its other accounts.
Each of the Trading Advisors currently manages other trading accounts, and each will remain free to manage additional accounts, including its own accounts, in the future. A Trading Advisor may vary the trading strategies applicable to the Series for which it trades from those used for its other managed accounts, or its other managed accounts may impose a different cost structure than that of the Series for which it trades. Consequently, the results any Trading Advisor achieves for the Series for which it trades may not be similar to those achieved for other accounts managed by the Trading Advisor or its affiliates at the same time. Moreover, it is possible that those other accounts managed by the Trading Advisor or its affiliates may compete with the Series for which it trades for the same or similar positions in the commodity interest rate environment,markets and that those other accounts may make trades at better prices than the Series for which it trades.
A Trading Advisor may also have a financial incentive to favor other accounts because the compensation received from those other accounts exceeds, or may in the future exceed, the compensation that it receives from managing the account of the Series for which it trades. Because records with respect to other accounts are not accessible to investors in the Units, investors will not be able to determine if any Trading Advisor is favoring other accounts.
The Managing Owner places significant reliance on the Trading Advisors and their key personnel; the loss of such personnel could adversely affect a Series.
The Managing Owner relies on the Trading Advisors to achieve trading gains for each Series, entrusting each of them with the responsibility for, and discretion over, the investment of their allocated portions of the Trust’s assets. The Trading Advisors, in turn, are dependent on the services of a limited number of persons to develop and refine their trading approaches and strategies and execute the trading transactions. The loss of the services of any Trading Advisor’s principals or key employees, or the failure of those principals or key employees to function effectively as a team, may have an adverse effect on that Trading Advisor’s ability to manage its trading activities successfully or may cause the Trading Advisor to cease operations entirely. This, in turn, could negatively impact one or more Series’ performance. Each of the Trading Advisors is wholly- (or majority-) owned and controlled, directly or indirectly, by single individuals who have major roles in developing, refining and implementing the Trading Advisor’s trading strategies and operating its business. The death, incapacity or other prolonged unavailability of such individuals likely would greatly hinder these Trading Advisors’ operations and could result in their ceasing operations entirely, which could adversely affect the value of your investment.
The success of each Series depends on the ability of the personnel of its Trading Advisor(s) to accurately implement their trading systems, and any failure to do so could subject a Series to losses.
The Trading Advisors’ computerized trading systems rely on the Trading Advisors’ personnel to accurately process the systems’ outputs and execute the transactions called for by the systems. In addition, each Trading Advisor relies on its staff to properly operate and maintain the computer and communications systems upon which its trading systems rely. Execution and operation of each Trading Advisor’s systems is therefore subject to human errors. Any failure, inaccuracy or delay in implementing any of the Trading Advisors’ systems and executing transactions could impair the Trading Advisor’s ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses.
Stop-loss orders may not prevent large losses.
Certain of the Trading Advisors may use stop-loss orders. Such stop-loss orders may not effectively prevent substantial losses, and depending on market factors at the time, may not be able to be executed at such stop-loss levels. No risk control technique can assure that large losses will be avoided.
Risks Relating to the Galaxy Plus Platform
The success of each Series depends on the performance of the Galaxy Plus entities in which each Series invests.
The assets of each Series are substantially invested in Galaxy Plus entities, and, accordingly, each Series’ performance depends substantially upon the performance of each such Galaxy Plus entity. Factors that may significantly affect a Galaxy Plus entity’s performance include the investment strategies selected for it by New Hyde Park and/or such Galaxy Plus entity’s trading advisor, in their sole discretion, the Galaxy Plus entity’s adherence to the selected strategies, the effectiveness of such strategies and the specific trading activities of the Galaxy Plus entity’s trading advisor, including the trading advisor’s selection of financial instruments. Each Galaxy Plus entity is advised by an independent trading advisor. As a result, many of the risks outlined above with respect to the Trading advisors of each Series will also apply to the trading advisors of each Galaxy Plus entity.
The Galaxy Plus Platform is recently established and has a limited operating history, and the Galaxy Plus entities have limited or no operating history or track record.
The Galaxy Plus Platform was formed in April 2015 and has a limited history of operations. The commodity pools offered on the platform are recently established, with a limited operating history or, in some cases, newly established with no operating history. There is a limited performance history, or in some cases, no performance history, to serve as a factor in evaluating an investment in the commodity pools on the Galaxy Plus Platform.
A Series may be one of multiple investors in each Galaxy Plus entity.
The Galaxy Plus Platform allows multiple investors to subscribe for interests in its commodity pools. Investors other than a Series could cause a commodity pool to take, or omit to take, actions that may adversely affect the performance of, or value of a Series’ investments in, a commodity pool.
A Series may incur losses related to other investors’ large redemptions from, or investments into, a Galaxy Plus entity.
A commodity pool may experience relatively large redemptions or investments related to actions of other investors in the commodity pool. In the event of such redemptions or investments, a Trading Advisor to the commodity pool could be required to sell futures, options or other investments or to invest cash at a time when it is not advantageous to do so, harming the performance of a Series.
The Galaxy Plus Platform operates independently from each Series, the Trust and the Managing Owner.
The commodity pools on the Galaxy Plus Platform operate independently from each Series, the Trust and the Managing Owner. The Managing Owner will have no control over, or involvement in, the operation and administration of the commodity pools. New Hyde Park, 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 New Hyde Park may limit the ability of a Series to invest in, or divest from, a Galaxy Plus entity.
The Galaxy Plus Platform and/or its Sponsor will have the ability to restrict investments into, or divestments from, any of the commodity pools on the Galaxy Plus Platform. The success of each Series depends upon the ability to select Trading Advisors in the Galaxy Plus Platform through investments into, or divestments from, one or more commodity pools. If investments into or out of a commodity pool are limited or restricted by the Galaxy Plus Platform and/or its Sponsor, New Hyde Park, the performance of a Series may be adversely affected.
Cessation of, or changes to, the operation of the Galaxy Plus Platform could adversely impact the performance of a Series.
Unlike the Trading Companies managed by the Managing Owner, the on-going business operations of the Galaxy Plus Platform are administered by New Hyde Park. If New Hyde Park ceases operating, or effects administrative or other changes to, the Galaxy Plus Platform, a Series may no longer be able to access one or more Trading Advisors available through commodity pools on the Galaxy Plus Platform. The inability to gain exposure to Trading Advisors through the Galaxy Plus Platform may materially affect the performance of a Series.
Investment in Galaxy Plus entities presents operational, administrative risk to each Series.
Each Series is subject to certain risks related to the operation and administration of the Galaxy Plus Platform by New Hyde Park 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 New Hyde Park, prohibited trading activity by a commodity pool’s Trading Advisors due to a lack of internal controls or failed trading systems, New Hyde Park’s noncompliance with applicable laws, rules and regulations and external events such as service provider failure, hardware or software failure or acts of god.
The reliance on technology by the Managing Owner, Trading Advisors, Sponsor Clearing brokers, and Swap Counterparties may lead to loss of data and economic losses.
In addition, as the use of technology increases, each Series may be more susceptible to operational risks through breaches in cybersecurity. A breach in cybersecurity 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 rising ratescorrective measures, and/or financial loss. In addition, cybersecurity 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 cybersecurity breaches.
The use of multiple Trading Advisors may result in offsetting or opposing trading positions and may also require one Trading Advisor to fund the margin requirements of another Trading Advisor.
The use of multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may result in developments or positions that adversely affect the respective Series’ NAV. For example, because the Trading Advisors trading for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund will be acting independently, such Series could buy and sell the same futures contract, thereby incurring additional expenses but with no net change in its holdings. The Trading Advisors also may compete, from time to time, for the same trades or other transactions, increasing the cost to such Series of making trades or transactions or causing some of them to be foregone altogether. Even though the margin requirements resulting from each Trading Advisor’s trading for any such Series ordinarily will be met from that Trading Advisor’s allocated net assets of such Series, a Trading Advisor for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, or Frontier Long/Short Commodity Fund may incur losses of such magnitude that such Series is heightened.unable to meet margin calls from the allocated net assets of that Trading Advisor. If losses of such magnitude were to occur, the clearing brokers for the Trading Company(ies) or Galaxy Plus entity(ies) in which such Series invests its assets may require liquidations and contributions from the allocated net assets of another Trading Advisor for such Series.
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Each Trading Advisor has, over time, developed and modified the program it will use in trading. Nevertheless, the Trading Advisors’ trading programs have some similarities. These similarities may, in fact, mitigate the positive effect of having multiple Trading Advisors for the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund Frontier Long/Short Commodity Fund and Frontier Global Fund. For example, in periods where one Trading Advisor experiences a draw-down, it is possible that these similarities will cause the other Trading Advisors to also experience a draw-down.
Operating Risks
Past performance is not necessarily indicative of future performance.
The Managing Owner has selected each Trading Advisor to manage the assets of each Series because each Trading Advisor performed well through the date of its selection. You must consider, however, the uncertain significance of past performance, and you should not rely to a substantial degree on the Trading Advisors’ or the Managing Owner’s records to date for predictive purposes. You should not assume that any Trading Advisor’s future trading decisions will create profit, avoid substantial losses or result in performance for the Series comparable to that Trading Advisor’s or to the Managing Owner’s past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently than not under-perform the past performance records included in their prospectuses. The Managing Owner believes that the past performance of the Trading Advisors may be of interest to prospective investors but encourages you to look at such information as an example of the respective objectives of the Managing Owner and each Trading Advisor rather than as any indication that the investment objectives of any Series will be achieved.
Because you and other investors will acquire, exchange, and redeem Units at different times, you may experience a loss on your Units even though the Series in which you have invested as a whole, is profitable and even though other investors in that Series experience a profit. The past performance of any Series may not be representative of each investor’s investment experience in it.
Likewise, you and other investors will invest in different Series managed by different Trading Advisors. Each Series’ assets are valued and accounted for separately from every other Series. Consequently, the past performance of one Series has no bearing on the past performance of another Series. You cannot, for example, consider the 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 nominalnotional assets in respect of a Series that are in excess of the NAV of such Series.
At any given time, the nominalnotional assets, which are the total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, 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 nominalnotional 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 nominalnotional 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 nominalnotional 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 nominalnotional assets. Consequently, the allocation of nominalnotional assets in excess of a Series’ NAV will magnify exposure to the swings in market prices of futures, forwards, options or other assets held by a Trading Company or Galaxy Plus entity or referenced by a swap or other derivative instrument and result in increased volatility, and potentially greater losses. You may lose all or substantially all of your investment in a Series.
Each Series is charged substantial fees and expenses regardless of profitability.
Each Series is charged brokerage charges, OTC dealer spreads and related transaction fees and expenses and management fees in all cases regardless of whether any Series’ activities are profitable. In addition, the Managing Owner charges each Series an incentive fee based on a percentage of the trading profits generated by each Trading Advisor for such Series, and the Managing Owner pays all or a portion of such incentive fees to the Trading Advisor(s) for such Series. Because the 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.
The Trading Companies are organized as Series limited liability companies. This means that, under the Delaware Limited Liability Company Act, the assets of one Series are not available to pay the liabilities of another Series or the trading company as a whole. This statute has not been tested in a court of law in the United States. In the event Series limited liability is not enforceable, a segregated Series could be obligated to pay the liabilities of another Series or the trading company.
All of the Series invest in trading companies that, although they are organized as series limited liability companies, allocate assets to more than one commodity Trading Advisor without the establishment of separate series with segregated liabilities. For these trading companies, losses incurred by one commodity Trading Advisor may negatively impact the trading company as a whole, as the assets allocated to a different commodity Trading Advisor may be made available to pay the liabilities of the commodity Trading Advisor that has incurred the loss. Since 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, a Series may be allowed to allocate a portion of its assets to a particular commodity Trading Advisor accessed by the trading company, rather than to the trading company as a whole.
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 Companies and Galaxy Plus entities under the customer agreements with a variety of Clearing Brokers. In the event that one Series is unable to meet its obligations to the Clearing Brokers, the assets of the other Series will be available to those Clearing Brokers as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company or Galaxy Plus entity. As such, even if you are not invested in the defaulting Series, your investment could be impacted. The Trust, or any Series of the Trust, may enter into similar guarantees in the future.
The incentive fees could be an incentive to the Trading Advisors to make riskier investments.
The Managing Owner pays each Trading Advisor incentive fees based on the trading profits earned by it for the applicable Series, including unrealized appreciation on open positions. Accordingly, it is possible that the Managing Owner will pay an incentive fee on trading profits that do not become realized. Also, because the Trading Advisors are compensated based on the trading profits earned, each of the Trading Advisors has a financial incentive to make investments that are riskier than might be made if a Series’ assets were managed by a Trading Advisor that did not receive performance-based compensation.
You have limited rights, and you cannot prevent the Trust from taking actions which could cause losses.
You will exercise no control over the Trust’s day-to-day business. Therefore, the Trust will take certain actions and enter into certain transactions or agreements without your approval. For example, the Trust may retain a Trading Advisor for a Series in which you are invested, and such Trading Advisor may ultimately incur losses for the Series. As a Limited Owner, you will have no ability to influence the hiring, retention or firing of such Trading Advisor. However, certain actions, such as termination or dissolution of a Series, may only be taken upon the affirmative vote of Limited Owners holding Units representing at least a majority (over 50%) of the NAV of the Series (excluding Units owned by the Managing Owner and its affiliates).
You may not be able to establish a basis for liability against a Trading Advisor, a Clearing Broker or the Swap Counterparty.
Each Trading Advisor, Clearing Broker and swap counterparty acts only as a trading advisor, clearing broker or swap counterparty, respectively, to the applicable Series and/or Trading Company. These parties do not act as trading advisors, clearing brokers, or swap counterparties to you. Therefore, you have no contractual privity with the Trading Advisors, the Clearing Brokers or any swap counterparty. Due to this lack of contractual privity, you may not be able to establish a basis for liability against a Trading Advisor, Clearing Broker or swap counterparty.
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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 Companies and Galaxy Plus entities trade. Trust assets could be lost or impounded in such an insolvency during lengthy bankruptcy proceedings. Were a substantial portion of the Trust’s capital tied up in a bankruptcy, the Managing Owner might suspend or limit trading, perhaps causing a Series to miss significant profit opportunities. The Trust is subject to the risk of the inability or refusal to perform on the part of the counterparties with whom contracts are traded. In the event that the Clearing Brokers are unable to perform their obligations, the Trust’s assets are at risk and investors may only recover apro ratashare of their investment, or nothing at all.
Exchange-traded futures and futures-styled option contracts are marked to market on a daily basis, with variations in value credited or charged to the Trust’s account on a daily basis. The Clearing Brokers, as futures commission merchants for the Trust’s exchange-traded contracts, are required, pursuant to CFTC regulations, to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by such clients with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts. Similar requirements apply with respect to funds held in connection with cleared swap contracts. Bankruptcy law applicable to all U.S. futures brokers requires that, in the event of the bankruptcy of such a broker, all property held by the broker, including certain property specifically traceable to the Trust, will be returned, transferred, or distributed to the broker’s customers only to the extent of each customer’spro rata share of the assets held by such futures broker. The Managing Owner will attempt to limit the Trust’s deposits and transactions to well-capitalized institutions in an effort to mitigate such risks, but there can be no assurance that even a well-capitalized, major institution will not become bankrupt.
In the event of a shortfall in segregated customer funds held by the futures commission merchant, the Series’ assets on account with the futures commission merchant may be at risk in the event of the futures commission merchant’s bankruptcy or insolvency, and in such event, the Series may only recover a portion of the available customer funds. If no property is available for distribution, the Series would not recover any of its assets. With respect to a Series’ OTC uncleared swaps, prior to the implementation of the Dodd-Frank Act’s provisions, there was no requirement to segregate funds held with respect to such contracts. On December 16, 2015, the CFTC finalized rules regarding margin for uncleared swaps which will impose certain requirements beginning September 1, 2016. These rules require, among other things, daily two-way margin (posting and collecting) for all trades between covered swap entities (“CSEs”) and swap dealers (“SDs”) and major swap participants (“MSPs”), and daily two-way margin for all trades between CSEs and financial end users that have over $8 billion in gross notional exposure in uncleared swaps. The rules also require daily cash payments for all trades between CSEs and SD/MSPs and daily posting for all trades between SD/MSPs and financial end users. There may be costs and delays involved in negotiating the custodial arrangement and related contractual terms.
With respect to transactions a Series enters into that are not traded on an exchange, there are no daily settlements of variations in value and there is no requirement to segregate funds held with respect to such accounts. Thus, the funds that a Series invests in such transactions may not have the same protections as funds used as margin or to guarantee exchange-traded futures and options contracts. If the counterparty becomes insolvent and a Series has a claim for amounts deposited or profits earned on transactions with the counterparty, the Series’ claim may not receive a priority. Without a priority, the Trust is a general creditor and its claim will be paid, along with the claims of other general creditors, from any monies still available after priority claims are paid. Even funds of the Trust that the counterparty keeps separate from its own operating funds may not be safe from the claims of other general and priority creditors. There are no limitations on the amount of allocated assets a portfolio manager can trade on foreign exchanges or in forward contracts.
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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.
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 FundTaxation 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’s ability to identify profit opportunities and benefit from them. It could also result in decisions to undertake transactions based on inaccurate or incomplete information. This could cause substantial losses.
Regulation of the commodity interest markets is extensive and constantly changing; future regulatory developments are impossible to predict and may significantly, but adversely affect the Trust.
The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. With respect to traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the United States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict, but could be substantial and adverse.
The Risk Management Approaches of One or All of the Trading Advisors May Not Be Fully Effective, and a Series May Incur Losses.
The mechanisms employed by each Trading Advisor to monitor and manage the risks associated with its trading activities on behalf of the Series for which it trades may not succeed in mitigating all identified risks. Even if a Trading Advisor’s risk management approaches are fully effective, it cannot anticipate all risks that it may face. If one or more of the Trading Advisors fails to identify and adequately monitor and manage all of the risks associated with its trading activities, the Series for which it trades may suffer losses.
The Managing Owner May Adjust the Leverage Employed by a Trading Advisor to Maintain the Target Rate of Volatility.
In its sole discretion, the Managing Owner may modify the allocations between the Trading Advisors used by a particular Series at any time, including adding new Trading Advisors or terminating current Trading Advisor relationships, and the Managing Owner may also increase or decrease the amount of leverage employed by a specific Trading Advisor by allocating notional funds to a particular Trading Advisor in accordance with the Managing Owner’s proprietary management program. The Managing Owner may increase or decrease the notional equity allocated to one or more individual Trading Advisors over time in order to adjust the annual volatility for a Series within the target volatility range disclosed for such Series.
To the extent that the Managing Owner increases the leverage employed by a particular Trading Advisor to maintain the target volatility of a Series, either by increasing the actual funds which are traded by the Trading Advisor at a leverage of greater than 1x or by allocating notional amounts to one or more Trading Advisors, the specific risks associated with the relevant Trading Advisors will be greater for the affected Series. As the notional equity under management of a specific Trading Advisor increases, the diversification benefits attributable to a multi-advisor pool will be decreased to an extent, since the Trading Advisor will manage a greater percentage of the notional exposure of the Series. Since the Managing Owner may change the applicable leverage used by a particular Trading Advisor at any time, the diversification of risks between the Trading Advisors is variable.
Tax and ERISABenefits Risks
You are strongly urged to consult your own tax advisor and counsel about the possible tax consequences to you of an investment in the Trust. Tax consequences may differ for different investors, and you could be affected by changes in the tax laws.
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You May Have Tax Liability Attributablemay have tax liability attributable to Your Investmentyour investment in a Series Eveneven if You Have Received No Distributionsyou have received no distributions and Redeemed Noredeemed no Units, and Eveneven if the Series Generatedgenerated an Economic Loss.economic loss.
If a Series has profit for a taxable year (as determined for federal income tax purposes), the profit will be includible in your taxable income, whether or not cash or other property is actually distributed to you by the Series. The Managing Owner does not intend to make any distributions from any Series. Accordingly, it is anticipated thatyour liability for federal income taxes as well as other taxes on your allocable share of a Series’ profits will exceed the amount of distributions to you, if any, for a taxable year. As such, you must be prepared to satisfy any tax liability from redemptions of Units or other sources. In addition, a Series may have capital losses from trading activities that cannot be deducted against the Series’ interest income, so that you may havebe subject to pay taxes on interest income even if the Series generates a net economic loss for a taxable year.
You may be taxedsubject to tax on gains that the Trust never realizes.
Because a substantial portion of the Trust’s open positions are “marked-to-market” at the end of each taxable year, someall or a portion of your tax liability for each taxable year may be based on unrealized gains that the Trust may never actually realize.
Partnership treatment is not assured, and, if the Trust or any Series is not treated as a Partnership, you could suffer adverse tax consequences.
The Managing Owner believesIt is expected that each of the Trust and eachTrust’s Series will be treated as a separate partnership for Federalfederal income tax purposes and, assuming that at least 90% of the gross income of the Trust and each Series each taxable year has always constituted and will continue to constitute “qualifying income” within the meaning of Section 7704(d) of the Internal Revenue Code of 1986 ( the “Code”), neither the Trust nor any Series will be treated as a publicly traded partnership treated as a corporation. The Managing Owner believes that it is likely, but not certain, that the Trust, and each Series, will meet this income test. The Trust has not requested, and does not intend to request, a ruling from the Internal Revenue Service (the “IRS”), concerning its tax treatment or the tax treatment of any Series.
If the Trust, or any Series, were to be treated as a corporation for Federalfederal income tax purposes: the net income of the Trust, or the Series, would be taxedsubject to tax at corporate income tax rates, thereby substantially reducing its distributable cash; you would not be allowed to deduct losses of the Trust, or a Series; and distributions to you, other than liquidating distributions, would constitute dividends to the extent of the current or accumulated earnings and profits of the Trust, or a Series, and would be taxable as such.
There is the possibility of a tax audit, which could result in additional taxes to you.
The Trust’s tax returns may be audited by a taxing authority, and such an audit could result in adjustments to the Trust’s returns. If an audit results in an adjustment, you may be compelled to file amended returns and to pay additional taxes plus interest and penalties.
You will likely recognize short-term capital gain.
Profits on futures contracts traded in regulated U.S. and some foreign exchanges, foreign currency contracts traded in the interbank market, and U.S. and some foreign exchange-traded options on commodities treated as Section 1256 contracts under the Code are generally taxedtreated 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 agreementTrust 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’sLimited Owner’s share of recognized gains would be increased.
The IRS could take the position that deductions for certain Trust expenses are subject to various limitations.
Non-corporate taxpayers are subject to certain limitations for deductions for “investment advisory expenses” for federal income tax and alternative minimum tax purposes. The IRS could argue that certain expenses of the Trust are investment advisory expenses.
The investment of Benefit Plan Investors may be limited and/or Subject to Mandatory Redemption if any or all of the Series (or Class of any Series) are deemed to hold plan assets or if the Trading Advisors have fiduciary relationships with certain investing Benefit Plan Investors and Benefit Plan Investors are required to consider their fiduciary responsibilities in making an investment decision.
Special considerations apply to investments in the Trust by individual retirement accounts, pension, profit-sharing, stock bonus, Keogh, welfare benefit and other employee benefit plans, whether or not subject to ERISAthe Employee Retirement Income Security Act of 1974 (“ERISA”) or Section 4975 of the Code, each(each, a Plan, 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,(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,(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,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,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 Marketscommodity interest markets is Extensiveextensive and Constantly Changing; Future Regulatory Developmentsconstantly changing; future regulatory developments are Impossibleimpossible to Predict,predict but May Significantlymay significantly and Adversely Affectadversely affect the Trust.
The futures, options on futures and security futures markets are subject to comprehensive statutes, regulations and margin requirements. With respect to traditional futures exchanges, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. The regulation of commodity interest transactions in the United States is a rapidly changing area of law and is subject to ongoing modification by governmental and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change is impossible to predict but could be substantial and adverse.
The Series, the Trading Companies or Galaxy Plus entities are subject to speculative position limits.
The U.S. futures exchanges have established speculative position limits (referred to as “position limits”) on the maximum net long or net short position which any person or group of persons may hold or control in particular futures and options on futures. Most exchanges also limit the amount of fluctuation in commodity futures contract prices on a single trading day. Additionally, on October 15, 2020, the CFTC approved a final rule that amended the existing federal position limits regime, as well as the framework for exchange-set position limits and exemptions (such final rule, the “Position Limits Rule”). The Position Limits Rule established federal position limits for 25 core referenced futures contracts (comprised of agricultural, energy and metals futures contracts), futures and options linked to the core referenced futures contracts, and swaps that are economically equivalent to the core referenced futures contracts. Compliance with all new position limits was required by January 1, 2023. Therefore, a Trading Advisor may have to modify its trading instructions or reduce the size of its positions in one or more futures or options contracts in order to avoid exceeding such position limits, which could adversely affect the profitability of the Trading Companies or Galaxy Plus entities. The futures exchange may amend or adjust these position limits or the interpretation of how such limits are applied and adversely affect the profitability of the Trading Companies or Galaxy Plus entities.
CFTC registrations could be terminated which could adversely affect the Trust or a Series.
If the Commodity Exchange ActCEA 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.
Not applicable.
Item 1C. Cybersecurity.
The Trust understands the importance of preventing, identifying, assessing, and managing material risks associated with cybersecurity threats. To manage material risks from cybersecurity threats and to protect against, detect, and prepare to respond to cybersecurity incidents, the Trust undertakes the below-listed activities:
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None.
● | Conducting training for employees, including regular phishing email simulations; |
● | Reviewing third-party service providers to assess each vendor’s cybersecurity processes prior to engaging and on an ongoing basis; |
● | Implementing access controls that restrict third-party service provider access to systems necessary to provide services; |
● | Performing a cyber risk assessment, internally or by engaging a third party, to evaluate cybersecurity program, policies, and procedures; and |
The Trust’s cybersecurity risk management program is overseen by the Executive Committee of the Managing Owner. Periodically, the Chief Information Security Officer of the Managing Owner provides an update to the Executive Committee of the Managing Owner on the Trust’s cybersecurity threat risk management and strategy processes, including potential impact on the Trust, the efforts to manage the risks that are identified, and the Trust’s disaster recovery preparations.
As of April 1, 2024, the Trust’s business strategy, operations, or financial condition have not been materially affected by, and are not likely to be materially affected by, any cybersecurity threats or incidents.
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,Treasury Notes, and, through each Trading Company or Galaxy entity, U.S. and international futures and forward contracts and other interests in derivative instruments, including options contracts on futures forwards and swap contracts. The Managing Owner’s main office is located at 1775 Sherman Street, Suite 2010, Denver,25568 Genesee Trail Road, Golden, Colorado 80203.80401.
23
Table of ContentsItem 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 pending againstto which the Trust or any Series.of its affiliates is a party or of which any of their assets are the subject.
Item 4. MINE SAFETY DISCLOSURES
Not applicable.
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 methodology 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 material 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 any issue of law or fact, the 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.
Not applicable.
24
Item 5. MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY 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 and 1a Units of any Series on or before the end of twelve full months following the effective date of the purchase of the Units being redeemed, such Limited Owner is charged a redemption fee of up to 2.0% of the NAV at which the Units are redeemed. The redemption fee charged will depend on, among other things, the particular Series of Units being redeemed. The Trust Agreement also contains restrictions on the transfer or assignment of the Units.
The Managing Owner has the sole discretion in determining what distributions, if any, the Trust will make to the Limited Owners. The Trust has not affectedeffected 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, 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.
25
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, 2016:2023:
Number of Limited | Number of Units | |||||||
Owners | Outstanding | |||||||
Equinox Frontier Diversified Fund (Class 1) | 73 | 44,569 | ||||||
Equinox Frontier Diversified Fund (Class 2) | 341 | 284,124 | ||||||
Equinox Frontier Diversified Fund (Class 3) | 395 | 105,594 | ||||||
Equinox Frontier Long/Short Commodity Fund (Class 1a) | 149 | 20,628 | ||||||
Equinox Frontier Long/Short Commodity Fund (Class 2) | 51 | 3,924 | ||||||
Equinox Frontier Long/Short Commodity Fund (Class 2a) | 54 | 6,893 | ||||||
Equinox Frontier Long/Short Commodity Fund (Class 3) | 287 | 33,685 | ||||||
Equinox Frontier Long/Short Commodity Fund (Class 3a) | 100 | 10,816 | ||||||
Equinox Frontier Masters Fund (Class 1) | 116 | 47,530 | ||||||
Equinox Frontier Masters Fund (Class 2) | 145 | 41,318 | ||||||
Equinox Frontier Masters Fund (Class 3) | 202 | 51,022 | ||||||
Equinox Frontier Balanced Fund (Class 1) | 2,030 | 422,530 | ||||||
Equinox Frontier Balanced Fund (Class 1AP) | 20 | 4,671 | ||||||
Equinox Frontier Balanced Fund (Class 2) | 290 | 112,166 | ||||||
Equinox Frontier Balanced Fund (Class 2a) | 13 | 1,817 | ||||||
Equinox Frontier Balanced Fund (Class 3a) | 64 | 10,380 | ||||||
Equinox Frontier Select Fund (Class 1) | 664 | 112,059 | ||||||
Equinox Frontier Select Fund (Class 1AP) | 7 | 296 | ||||||
Equinox Frontier Select Fund (Class 2) | 50 | 10,444 | ||||||
Equinox Frontier Winton Fund (Class 1) | 498 | 131,283 | ||||||
Equinox Frontier Winton Fund (Class 1AP) | 1 | 214 | ||||||
Equinox Frontier Winton Fund (Class 2) | 36 | 54,044 | ||||||
Equinox Frontier Heritage Fund (Class 1) | 348 | 62,779 | ||||||
Equinox Frontier Heritiage Fund (Class 1AP) | 3 | 45 | ||||||
Equinox Frontier Heritage Fund (Class 2) | 39 | 15,518 |
Number of Limited Owners | Number of Units Outstanding | |||||||
Frontier Diversified Fund (Class 2) | 11 | 2963 | ||||||
Frontier Diversified Fund (Class 3) | 86 | 19765 | ||||||
Frontier Long/Short Commodity Fund (Class 2) | 4 | 113 | ||||||
Frontier Long/Short Commodity Fund (Class 2a) | 7 | 816 | ||||||
Frontier Long/Short Commodity Fund (Class 3) | 59 | 7739 | ||||||
Frontier Long/Short Commodity Fund (Class 3a) | 31 | 2052 | ||||||
Frontier Masters Fund (Class 2) | 8 | 1165 | ||||||
Frontier Masters Fund (Class 3) | 35 | 4257 | ||||||
Frontier Balanced Fund (Class 1) | 375 | 60916 | ||||||
Frontier Balanced Fund (Class 1AP) | 3 | 587 | ||||||
Frontier Balanced Fund (Class 2) | 44 | 7950 | ||||||
Frontier Balanced Fund (Class 2a) | 1 | 187 | ||||||
Frontier Balanced Fund (Class 3a) | 17 | 2938 | ||||||
Frontier Select Fund (Class 1) | 143 | 15961 | ||||||
Frontier Select Fund (Class 1AP) | 1 | 115 | ||||||
Frontier Select Fund (Class 2) | 9 | 598 | ||||||
Frontier Global Fund (Class 1) | 71 | 7943 | ||||||
Frontier Global Fund (Class 2) | 2 | 154 | ||||||
Frontier Heritage Fund (Class 1) | 89 | 13937 | ||||||
Frontier Heritage Fund (Class 1AP) | 1 | 64 | ||||||
Frontier Heritage Fund (Class 2) | 8 | 890 |
No Units are authorized for issuance by the Trust under equity compensation plans. During the year ended December 31, 2016,2023, 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, 20162023 were in the ordinary course of business. There have not been any purchases of unitsUnits by the trustTrust or any affiliated purchasers during the year ended December 31, 2016.2023.
26
Item 6. [RESERVED]
The selected financial information as of and for the years ended December 31, 2016, 2015, 2014, 2013, and 2012, 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
ASItem 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND FOR THE YEAR ENDED DECEMBER 31, 2016RESULTS OF OPERATIONS.
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 | 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
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 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
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 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
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 | |||||||||||||
2014 (unaudited) | 2014 (unaudited) | 2014 (unaudited) | 2014 (unaudited) | |||||||||||||
Equinox Frontier Diversified Fund (1): | ||||||||||||||||
Net gain (loss) on investments | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 1 units | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 3 units | $ | (1.29 | ) | $ | 4.45 | $ | 9.67 | $ | 17.99 | |||||||
Net asset value per Class 1 units | $ | 82.77 | $ | 86.77 | $ | 95.89 | $ | 113.09 | ||||||||
Net asset value per Class 2 units | $ | 90.05 | $ | 94.81 | $ | 105.24 | $ | 124.67 | ||||||||
Net asset value per Class 3 units | $ | 82.92 | $ | 87.37 | $ | 97.04 | $ | 115.03 | ||||||||
Equinox Frontier Masters Fund (2): | ||||||||||||||||
Net gain (loss) on investments | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 1 unit | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 3 unit | $ | (4.11 | ) | $ | 6.17 | $ | 8.73 | $ | 16.36 | |||||||
Net asset value per Class 1 unit | $ | 87.30 | $ | 92.97 | $ | 101.09 | $ | 116.61 | ||||||||
Net asset value per Class 2 unit | $ | 94.96 | $ | 101.57 | $ | 110.93 | $ | 128.53 | ||||||||
Net asset value per Class 3 unit | $ | 87.80 | $ | 93.97 | $ | 102.70 | $ | 119.06 | ||||||||
Equinox Frontier Long/Short Commodity Fund (3): | ||||||||||||||||
Net gain (loss) on investments | $ | (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 | ) | ||||||
Increase (decrease) in net asset value per Class 1a units | $ | (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 | ) | ||||||
Increase (decrease) in net asset value per Class 2a units | $ | (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 | ) | ||||||
Increase (decrease) in net asset value per Class 3a units | $ | (10.73 | ) | $ | 0.82 | $ | 23.82 | $ | (2.61 | ) | ||||||
Net asset value per Class 1a units | $ | 82.42 | $ | 82.76 | $ | 104.00 | $ | 101.12 | ||||||||
Net asset value per Class 2 units | $ | 111.48 | $ | 112.17 | $ | 141.50 | $ | 138.30 | ||||||||
Net asset value per Class 2a units | $ | 89.56 | $ | 90.32 | $ | 114.02 | $ | 111.35 | ||||||||
Net asset value per Class 3 units | $ | 111.51 | $ | 112.20 | $ | 141.54 | $ | 138.34 | ||||||||
Net asset value per Class 3a units | $ | 89.74 | $ | 90.56 | $ | 114.38 | $ | 111.77 | ||||||||
Equinox Frontier Balanced Fund (4): | ||||||||||||||||
Net gain (loss) on investments | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 1 units | $ | (4.30 | ) | $ | 1.87 | $ | 10.39 | $ | 17.29 | |||||||
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 | |||||||
Increase (decrease) in net asset value per Class 2a units | $ | (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 | |||||||
Net asset value per Class 1 units | $ | 101.99 | $ | 103.86 | $ | 114.25 | $ | 131.54 | ||||||||
Net asset value per Class 1AP units (8) | $ | 114.83 | $ | 133.20 | ||||||||||||
Net asset value per Class 2 units | $ | 135.81 | $ | 139.35 | $ | 154.45 | $ | 179.16 | ||||||||
Net asset value per Class 2a units | $ | 115.17 | $ | 118.48 | $ | 131.64 | $ | 153.02 | ||||||||
Net asset value per Class 3a units | $ | 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 | |||||||
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 | |||||||
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 | |||||||
Net asset value per Class 1 units | $ | 75.01 | $ | 78.23 | $ | 85.32 | $ | 95.61 | ||||||||
Net asset value per Class 1AP units (8) | $ | 85.75 | $ | 96.82 | ||||||||||||
Net asset value per Class 2 units | $ | 98.55 | $ | 103.56 | $ | 113.79 | $ | 128.48 | ||||||||
Equinox Frontier Winton Fund (6): | ||||||||||||||||
Net gain (loss) on investments | $ | (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 | |||||||
Increase (decrease) in net asset value per Class 1 units | $ | (2.66 | ) | $ | 8.14 | $ | 4.10 | $ | 26.78 | |||||||
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 | $ | (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 (8) | $ | 149.92 | $ | 178.18 | ||||||||||||
Net asset value per Class 2 units | $ | 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
Overview
The Trust is a Delaware statutory trust formed on August 8, 2003. The Trust is a multi-advisor commodity pool, as described in CFTC Regulation § 4.10(d)(2). The Trust is authorized to issue multiple Series of Units, pursuant to the requirements of the Trust Act. The assets of each Series are held and accounted for in separate and distinct records separately from the assets of other Series. The Trust is managed by the Managing Owner, and its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances).
The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forward (including interbank foreign currencies) and options contracts and other derivative instruments (including swaps). The Trust allocates funds to affiliated Trading Companies and Galaxy Plus entities, each of which has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s or Galaxy Plus entity’s assets and make the trading decisions for the assets of each Series vested in such Trading Company or GeminiGalaxy Plus entity. The assets of each Trading Company and Galaxy Plus entity will be segregated from the assets of each other Trading Company and Galaxy Plus entity. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies). For additional overview of the Trust’s structure and business activities, see Item 1 “BUSINESS.” For a discussion of fees paid by the Trust, see Item 11 “EXECUTIVE COMPENSATION.”
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. treasuryTreasury securities and investments in unconsolidated Trading Companies and Galaxy Plus entities. The majority of these investments are exchange tradedexchange-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 Combined Consolidated Statements of Operations.
Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets or liabilities. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset or liability based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset or liability based on the best information available in the circumstances.
In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard, ASC 820 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. A full disclosure of the fair value hierarchy is presented in Note 3 of the financial statements—Fair Value Measurements.Measurements.
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, 2016,2023, cash deposited at the clearing brokers was $31,611,050$723,899 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%5.25 to 0.25%5.50%, this amount is estimated to be 0.00%5.25%. 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 US. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier WintonLong/Short Commodity Fund Equinox(Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a,2a and Class 2a, Class 3a only)3a), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 20% of the total interest allocated to the 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. The amount reflected in the financial statements for the Trust and Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.
Approximately 10%75% to 30%95% of the Trust’s assets are expected to be committed as required margin for futures contracts and forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange ActCEA and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, 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%5% to 88%25% 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, 2016,2023, total cash and cash equivalents held at banking institutions were $674,227$98,119 for the Equinox Frontier Diversified Fund, $0$50,991 for the Equinox Frontier Long/Short Commodity Fund, $546,509$25,514 for the Equinox Frontier Masters Fund, $1,083,579$230,796 for the Equinox Frontier Balanced Fund, $432,021$91,807 for the Equinox Frontier Select Fund, $1,628,208$85,804 for the Equinox Frontier WintonGlobal Fund, and $382,499$88,561 for the Equinox Frontier Heritage Fund.
As a commodity pool, the RegistrantTrust 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 RegistrantTrust has not been forced to liquidate positions to fund redemptions. As of December 31, 2023, the redemptions payable were $21,822 for the Frontier Diversified Fund, $2,601 for the Frontier Master Fund and $485 for the Frontier Long/Short Commodity Fund. During the fiscal year ended December 31, 2016,2023, the RegistrantTrust was able to pay all redemptions.redemptions on a timely basis.
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 interestsinterest 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 interestsinterest 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.
37
In addition to market risk, trading futures forward and swap contracts entails credit risk which is the risk that a counterparty will not be able to meet its obligations to a Trading Company. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in contrast to U.S. exchanges, are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
In the case of forward contracts traded on the interbank market and swaps, neither is necessarily traded on an exchange. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus, there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to any Trading Company.
The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or bad faith.willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote.
Disclosure of Contractual Obligations
The business of the Trust is the speculative trading of commodity interests. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.
Results of Operations for the Twelve Months Ended December 31, 20162023
Series Returns and Other Information
The returns for each Series and Class of Units for the twelve months ended December 31, 2016,2023, and related information, are discussed below. The activities of the Trust on a combined consolidated basis are explained through the activity of theeach underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a combined consolidated basis.
Each Series had exposure to commodity interest positions within one or more sectors during fiscal 2016.2023. 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
20162023
The Equinox Frontier Diversified Fund – —Class 12 NAV gained 0.79%lost 29.25% for the twelve months ended December 31, 2016,2023 net of fees and expenses; the Equinox Frontier Diversified Fund – —Class 23 NAV gained 2.58%lost 29.07% for the twelve months ended December 31, 20162023 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, 20162023 the Equinox Frontier Diversified Fund recorded atotal expenses of $83,415, net gaininvestment loss of $78,559, and net realized/unrealized loss on investments of $4,169,841, net investment income of $323,854, and total expenses of $3,330,405,$667,781, resulting in a net increasedecrease in Owners’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.$746,340. The NAV per Unit, Class 2, increaseddecreased from $129.60$96.37 at December 31, 2015,2022, to $132.94$68.18 as of December 31, 2016.2023. The NAV per Unit, Class 3, increaseddecreased from $119.87$90.72 at December 31, 2015,2022, to $123.27$64.35 as of December 31, 2016. Total Class 1 subscriptions and redemptions for the period were $560,094 and $7,446,278, respectively.2023. Total Class 2 subscriptions and redemptions for the period were $8,879,067$0 and $6,038,305,$97,165, respectively. Total Class 3 subscriptions and redemptions for the period were $6,329,267$0 and $2,690,710,$546,679, respectively. Ending capital at December 31, 2016, is $5,189,420 for Class 1 and $38,231,5812023, was $201,966 for Class 2 and $13,050,390$1,271,822 for Class 3.
38
For the twelve months ended December 31, 2023, Frontier Diversified Fund did not own a swap investment.
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 & Major Advisor Attribution for the Equinox Frontier Diversified Fund
39
TwoOne of the six sectors traded in the Equinox Frontier Diversified Fund werewas profitable in Q4 2016.2023. Stock Indices andwere positive while Agriculturals, Currencies, were profitable whileEnergies, Interest Rates Energies, Agriculturals, and Metals finishedwere negative for the quarter.
The Stock Indices and Interest Rates sectorsAgriculturals were positive year-to-date (“YTD”) while Currencies, Energies, Interest Rates, Metals Currencies, Agriculturals and EnergiesStock Indices were negative YTD.
In terms of major CTA performance, four of the ten majorno 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, Quantica, Quest, QIM and WintonWelton finished negative for the quarter. In terms of YTD performance Crabel, Emil Van Essen, and QIM areNo CTAs were positive YTD while Aspect, Chesapeake, Fort, H2O, Quantmetrics,Quantica, Quest, QIM, and Winton areWelton were negative YTD.
Equinox Frontier Long/Short CommodityMasters Fund
20162023
The Equinox Frontier Long/Short Commodity Fund – Masters Fund—Class 2 NAV lost 2.09%30.91% for the twelve months ended December 31, 2016,2023, net of fees and expenses;expenses, the Equinox Frontier Long/Short Commodity Fund – Masters Fund—Class 3 NAV lost 1.01%30.73% for the twelve months ended December 31, 2016,2023, 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, 2016,2023 the Equinox Frontier Long/Short CommodityMasters Fund recorded total expenses of $37,573, net gaininvestment loss of $34,998, and net realized/unrealized loss on investments of $483,619, net investment income of $21,855, and total expenses of $506,768,$170,633, resulting in a net decrease in Owners’owners’ capital from operations attributable to controlling interests of $133,170 after operations attributable to non-controlling interests of $131,876.$205,631. The NAV per Unit, Class 2, decreased from $132.10$94.64 at December 31, 2015,2022, to $129.56$65.39 as of December 31, 2016.2023. The NAV per Unit, Class 3 decreased from $132.14$89.45 at December 31, 2015,2022 to $130.80$61.96 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, 2016.2023. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $167,296,$55,886, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $1,457,594,$94,641, respectively. Ending capital at December 31, 2023, was $76,186 for Class 2 and $263,776 for Class 3.
For the twelve months ended December 31, 2023, Frontier Masters Fund did not own a swap investment.
The Frontier Masters Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, Hybrids and Commodities sectors.
Sector & Major Advisor Attribution for the Frontier Masters Fund
One of the six sectors traded in the Frontier Masters Fund was profitable in Q4 2023. Stock Indices were positive while Agriculturals, Currencies, Energies, Interest Rates and Metals were negative for the quarter.
Agriculturals were positive YTD while Currencies, Energies, Interest Rates, Metals and Stock Indices were negative YTD.
In terms of major CTA performance, there were no CTAs that finished positive for the quarter while Aspect, Quantica and Welton were negative for the quarter. In terms of YTD performance, no CTAs were positive while Aspect, Quantica and Welton were negative YTD.
Frontier Long/Short Commodity Fund
2023
The Frontier Long/Short Commodity Fund—Class 2 NAV lost 33.66% for the twelve months ended December 31, 2023, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 3 NAV lost 33.66% for the twelve months ended December 31, 2023, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV lost 32.77% for the twelve months ended December 31, 2023, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 3a NAV lost 32.60% for the twelve months ended December 31, 2023, net of fees and expenses.
For the twelve months ended December 31, 2023, the Frontier Long/Short Commodity Fund recorded total expenses of $25,372, net investment loss of $21,707, and net realized/unrealized loss on investments of $393,717, resulting in a net decrease in owners’ capital from operations of $415,424. The NAV per Unit, Class 2, decreased from $109.65 at December 31, 2022, to $72.74 as of December 31, 2023. The NAV per Unit, Class 3, decreased from $115.03 at December 31, 2022, to $76.31 as of December 31, 2023.The NAV per Unit, Class 2a, decreased from $71.93 at December 31, 2022, to $48.36 as of December 31, 2023. The NAV per Unit, Class 3a, decreased from $76.29 at December 31, 2022, to $51.42 as of December 31, 2023. Total Class 1a2 subscriptions and redemptions for the twelve months were $0 and $2,078,012,$13,338, respectively. Total Class 3 subscriptions and redemptions for the twelve months were $0 and $91,605, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $0 and $314,992,$24,666, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $534,064$0 and $210,324,$73,472, respectively. Ending capital at December 31, 2016, is $808,1372023, was $8,235 for Class 2, $4,404,630$590,578 for Class 3, 1,913,059 for Class 1a, $962,925$39,437 for Class 2a and $1,174,183$105,519 for Class 3a.
For the twelve months ended December 31, 2023, Frontier Long/Short Commodity Fund did not own a swap investment.
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.
40
Sector & Major Advisor Attribution for the Equinox Frontier Long/Short Commodity Fund
41
ThreeAll of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitablenegative in Q4 2016.2023. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished negative for the quarter. There were no positive sectors for the quarter.
Base Metals, Energies, Financials, Grains, Meats, Precious Metals and Softs were negative YTD. There were no positive sectors YTD.
In terms of major CTA performance, no CTAs finished positive for the quarter while Base Metals, Meats, Grains,Rosetta, Volt 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 RosettaWelton were negative for the quarter.
In terms of YTD performance, Emil Van Essen and Red Oak areno CTAs were positive YTD while Chesapeake, JE Moody,Rosetta, Volt and Rosetta areWelton were negative YTD.
Frontier Balanced Fund
Equinox2023
The Frontier Masters Fund
2016
The Equinox Frontier Masters Fund – Balanced Fund—Class 1 NAV lost 0.06%36.85% for the twelve months ended December 31, 2016,2023, net of fees and expenses, the Equinoxexpenses; The Frontier Masters Fund – Balanced Fund—Class 21AP NAV gained 1.72%lost 34.93% for the twelve months ended December 31, 2016,2023, net of fees and expenses,expenses; the Equinox Frontier Masters Fund – Balanced Fund—Class 32 NAV gained 1.97%lost 34.93% for the twelve months ended December 31, 2016,2023, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV lost 34.81% for the twelve months ended December 31, 2023, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV lost 34.81% for the twelve months ended December 31, 2023, net of fees and expenses.
For the twelve months ended December 31, 20162023, the Equinox Frontier MastersBalanced Fund recorded atotal expenses of $502,010, net gaininvestment loss of $497,226, and net realized/unrealized loss on investments of $1,745,161, net investment income of $133,801, and total expenses of $1,386,826,$2,678,804, resulting in a net increasedecrease in Owners’owners’ capital from operations attributable to controlling interests of $492,136.$3,176,030. The NAV per Unit, Class 1, decreased from $112.87$99.17 at December 31, 2015,2022, to $112.80$62.63 as of December 31, 2016.2023. The NAV per Unit, Class 1AP, decreased from $127.56 at December 31, 2022, to $83.01 as of December 31, 2023. The NAV per Unit, Class 2, increaseddecreased from $126.60$172.01 at December 31, 2015,2022, to $128.78$111.93 as of December 31, 2016. The2023. For Class 2a, the NAV per Unit Class 3 increaseddecreased from $117.57$149.47 at December 31, 20152022, to $119.89$97.44 as of December 31, 2016.2023. For Class 3a, the NAV per Unit decreased from $148.96 at December 31, 2022, to $97.10 as of December 31, 2023. Total Class 1 subscriptions and redemptions for the twelve months were $125,188$0 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.
42
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
43
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,$853,070, respectively. Total Class 1AP subscriptions and redemptions for the twelve months were $0 and $95,000,$0, respectively. Total Class 2 subscriptions and redemptions for the twelve months were $19,471$0 and $2,180,977,$199,732, respectively. Total Class 2a subscriptions and redemptions for the twelve months were $0 and $78,366,$13,000, respectively. Total Class 3a subscriptions and redemptions for the twelve months were $0 and $897,320,$27,771, respectively. Ending capital at December 31, 2016,2023, was $56,955,371$3,815,001 for Class 1, $677,181$48,720 for Class 1 AP, $22,401,557$889,894 for Class 2, $516,256$18,194 for Class 2a, and $1,749,006$285,316 for Class 3a.
For the twelve months ended December 31, 2023, Frontier Balanced Fund did not own a swap investment.
The Equinox Frontier Balanced Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
44
Sector & Major Advisor Attribution for the Frontier Equinox Frontier Balanced Fund
45
Four
One of the six sectors traded in the Equinox Frontier Balanced Fund werewas profitable in Q4 2016. Currencies,2023. Stock Indices Agricultures and Metals were profitablepositive while Agriculturals, Currencies, Energies, Interest Rates and Energies finishedMetals were negative for the quarter.
The Stock Indices, Interest Rates, Agriculturals and Energies sectors were positive YTD while Currencies, Energies, Interest Rates, Metals and CurrenciesStock Indices were negative YTD.
In terms of major CTA performance, Beach Horizon, Emil Van Essen, H2O, QIM, and Quantmetricsno CTAs finished positive for the quarter. Aspect, Crabel, Fort, Horizon3, Quantica, Quest, QIM and WintonWelton finished negative for the quarter. Brandywine, Cantab, Crabel, Emil Van Essen, Fort, H2O, and QIMNo CTAs were positive YTD.YTD while Aspect, Beach Horizon, Quantmetrics,Fort, Horizon3, Quantica, Quest, QIM, and WintonWelton were negative YTD. The series deallocated to Brandywine and Cantab during the year.
Equinox Frontier Select Fund
20162023
The Equinox Frontier Select Fund – Fund—Class 1 NAV gained 4.11%lost 35.47% for the twelve months ended December 31, 2016,2023, net of fees and expenses; The Equinox Frontier Select Fund – Frontier Select Fund—Class 1AP NAV gained 7.30%lost 33.50% for the twelve months ended December 31, 2016,2023, net of fees and expenses; the Equinox Frontier Select Fund – Fund—Class 2 NAV gained 7.31%lost 33.50% for the twelve months ended December 31, 2016,2023, net of fees and expenses.
46
For the twelve months ended December 31, 2016,2023, the Equinox Frontier Select Fund recorded total expenses of $65,590, net gaininvestment loss of $65,590, and net realized/unrealized loss on investments of $2,398,954, net investment income of $1,025, and total expenses of $792,796,$443,611, resulting in a net increasedecrease in Owners’owners’ capital from operations attributable to controlling interests of $617,789 after operations attributable to non-controlling interests of $989,394.$509,201. The NAV per Unit, Class 1, increaseddecreased from $90.35$71.23 at December 31, 2015,2022, to $94.06$45.97 as of December 31, 2016.2023. The NAV per Unit, Class 1AP, increaseddecreased from $94.28$91.71 at December 31, 2015,2022, to $101.16$60.98 as of December 31, 2016.2023. The NAV per Unit, Class 2, increaseddecreased from $125.11$121.70 at December 31, 2015,2022, to $134.25$80.92 as of December 31, 2016.2023. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2016,period were $16,022$0 and $1,700,518,$202,580, respectively. Total Class 1AP subscriptions and redemptions for the twelve months ended December 31, 2016,period were $0 and $21,949,$0, respectively. Total Class 2 subscriptions and redemptions for the twelve months ended December 31, 2016,period were $0 and $25,360,$1,750, respectively. Ending capital, at December 31, 2016,2023, was $10,540,702$733,700 for Class 1, $ 29,897$7,018 for Class 1AP, and $1,411,440$48,357 for Class 2.
For the twelve months ended December 31, 2023, Frontier Select Fund did not own a swap investment.
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.
47
Sector & Major Advisor Attribution for the Equinox Frontier Select Fund
48
Three
One of the sevensix sectors traded in the Equinox Frontier Select Fund werewas profitable in Q4 2016.2023. Stock Indices were positive while Agriculturals, Currencies, Energies, Interest Rates and Metals were negative for the quarter.
Agriculturals, Currencies, Energies, Interest Rates, Metals and Stock Indices were negative YTD. There were no positive while, Energies, Agriculturals, Interest Rates, and Hybrids were negative for the quarter.sectors YTD.
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 Howardno CTA finished positive for the quarter. Brevan Howardquarter while Quantica and TranstrendWelton finished the quarter negative. No CTAs were positive for the year while Quantica and Welton finished the year positive.negative.
Equinox Frontier WintonGlobal Fund
20162023
The Equinox Frontier Winton Fund – Global Fund—Class 1 NAV lost 5.88%27.35% for the twelve months ended December 31, 2016,2023, net of fees and expenses; The Equinoxthe Frontier Winton Fund – Global Fund—Class 1AP2 NAV lost 3.00%25.14% 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, 2016,2023, net of fees and expenses.
For the twelve months ended December 31, 2016,2023, the Equinox Frontier WintonGlobal Fund recorded total expenses of $150,281, net gaininvestment loss of $150,281, and net realized/unrealized loss on investments of $1,071,349, net investment income of $7,717, and total expenses of $2,240,389,$405,523, resulting in a net decrease in Owners’owners’ capital from operations attributable to controlling interests of $1,625,498 after operations attributable to non-controlling interests of $464,175.$555,804. The NAV per Unit, Class 1, decreased from $164.17$185.27 at December 31, 20152022 to $154.51$134.60 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, 2016.2023. The NAV per Unit, Class 2, decreased from $217.51$297.25 at December 31, 2015,2022, to $210.98$222.53 as of December 31, 2016.2023. Total Class 1 subscriptions and redemptions for the year were $159,082 and redemptions were $1,620,516. Total Class 1AP subscriptions for the yearperiod were $0 and redemptions were $0.$1,085,295, respectively. Total Class 2 subscriptions and redemptions for the yearperiod were $0 and redemptions were $88,086.$83,688, respectively. Ending capital, at December 31, 2016,2023, was $20,228,679$1,069,125 for Class 1, $35,380 for Class 1AP, and $11,446,113$34,291 for Class 2.
For the twelve months ended December 31, 2023, Frontier Global Fund did not own a swap investment.
The Equinox Frontier WintonGlobal Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
49
Sector Attribution for the Equinox Frontier WintonGlobal Fund
Two
Four of the six sectors traded in the Equinox Frontier WintonGlobal Fund were profitable in Q4 2016. Currencies2023. Agriculturals, Energies, Metals and Stock Indices were positive while Metals, Energies, Agriculturals,Currencies and Interest Rates were negative for the quarter.
Agriculturals were positive YTD while Currencies, Energies, Metals, Stock Indices and Interest Rates were positive YTD while Metals, Energies, Agriculturals, and Stock Indices were negative YTD.
50
Equinox Frontier Heritage Fund
20162023
The Equinox Frontier Heritage Fund – Fund—Class 1 NAV lost 3.77%30.94% for the twelve months ended December 31, 2016,2023, net of fees and expenses; The Equinox Frontier Heritage Fund – Fund—Class 1AP NAV lost 0.83%28.84% for the twelve months ended December 31, 2016,2023, net of fees and expenses; the Equinox Frontier Heritage Fund – Fund—Class 2 NAV lost 0.83%28.84% for the twelve months ended December 31, 2016,2023, net of fees and expenses.
For the twelve months ended December 31, 2016,2023, the Equinox Frontier Heritage Fund recorded total expenses of $169,079, net gaininvestment loss of $169,079, and net realized/unrealized loss on investments of $524,782, net investment income of $1,430, and total expenses of $610,757,$679,714, resulting in a net decrease in Owners’owners’ capital from operations of $301,637, after non-controlling interest of $217,092.$848,793. The NAV per Unit, Class 1, decreased from $124.27$154.14 at December 31, 2015,2022, to $119.58$106.45 as of December 31, 2016.2023. The NAV per Unit, Class 1AP, decreased from $129.67$198.42 at December 31, 2015,2022, to $128.60$141.20 as of December 31, 2016.2023. The NAV per Unit, Class 2, decreased from $173.54$265.55 at December 31, 2015,2022, to $172.10$188.97 as of December 31, 2016.2023. Total Class 1 subscriptions and redemptions for the twelve monthsperiod were $35,716$0 and $871,326,$571,014, respectively. Total Class 1AP subscriptions and redemptions for the twelve monthsperiod were $0 and $56,051,$0, respectively. Total Class 2 subscriptions and redemptions for the twelve monthsperiod were $0 and $90,031,$5,750, respectively. Ending capital, at December 31, 2016,2023, was $7,507,072$1,483,520, for Class 1, $5,826$9,007 for Class 1AP, and $2,744,375$168,273 for Class 2.
For the twelve months ended December 31, 2023, Frontier Heritage Fund did not own a swap investment.
The Equinox Frontier Heritage Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
51
Sector & Major Advisor Attribution for the Equinox Frontier Heritage Fund
52
Two
One of the six sectors traded in the Equinox Frontier Heritage Fund werewas profitable in Q4 2016. Currencies and2023. Stock Indices were positive while Metals,Agriculturals, Currencies, Energies, Agriculturals,Interest Rates and Interest RatesMetals were negative for the quarter.
Agriculturals, Currencies, Energies, Interest Rates, Metals and Stock Indices were positive YTD while Metals, Currencies, Energies, and Agriculturals were negative YTD. There were no positive sectors YTD.
In terms of major CTA performance, Brevan Howard and Wintonno CTAs finished downpositive for the quarter, while Brevan HowardAspect and Welton finished the quarter negative. No CTAs were positive YTD.for the year while Aspect and Welton finished negative.
Results of Operations for the Twelve Months Ended December 31, 20152022
Series Returns and Other Information
The returns for each Series and Class of Units for the twelve months ended December 31, 2015,2022, 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 2015.2022. 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
20152022
The Equinox Frontier Diversified Fund– Fund—Class 12 NAV gained 2.15%8.30% for the twelve months ended December 31, 2015,2022 net of fees and expenses; the Equinox Frontier Diversified Fund– Fund—Class 23 NAV gained 3.95%8.57% for the twelve months ended December 31, 20152022 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, 20152022 the Equinox Frontier Diversified Fund recorded atotal expenses of $114,673, net investment loss of $108,392, and net realized/unrealized gain on investments of $7,062,279, net investment income of $603,350, and total expenses of $4,859,068,$432,659, resulting in a net increase in Owners’owners’ capital from operations of $2,585,692. The$324,267. For Class 2, the NAV per Unit Class 1, increased from $113.09$88.98 at December 31, 2014,2021, to $115.52$96.37 as of December 31, 2015. The2022. For Class 3, the NAV per Unit Class 2, increased from $124.67$83.56 at December 31, 2014,2021, to $129.60$90.72 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.2022. Total Class 2 subscriptions and redemptions for the period were $4,193,326$0 and $6,595,532,$15,125, respectively. Total Class 3 subscriptions and redemptions for the period were $6,490,334$0 and $2,875,045,$478,310, respectively. Ending capital at December 31, 2015,2022, was $11,814,234 for Class 1, $34,633,100$401,179 for Class 2 and $9,267,632$2,462,793 for Class 3.
For the twelve months ended December 31, 2022, Frontier Diversified Fund did not own a swap investment.
The Equinox Frontier Diversified Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.
53
Sector & Major Advisor Attribution for the Equinox Frontier Diversified Fund
TwoOne of the six sectors traded in the Equinox Frontier Diversified Fund werewas profitable in Q4 2015. Metals and Energies2022. Agriculturals were profitablepositive while Currencies, Energies, Interest Rates, Metals and Stock Indices finishedwere negative for the quarter.
The Currencies, sector was positive year-to-date (“YTD”) while Metals, Agriculturals,Energies and Interest Rates were positive YTD while Agriculturals, Metals and Stock Indices and Energies were negative YTD.
In terms of major CTA performance, sevenQIM finished positive for the quarter. Aspect, Fort, Quantica, Quest and Welton finished negative for the quarter. Aspect, Quantica, QIM, Quest and Welton were positive YTD while Fort was negative YTD
Frontier Masters Fund
2022
The Frontier Masters Fund—Class 2 NAV gained 34.87% for the twelve months ended December 31, 2022, net of fees and expenses, the Frontier Masters Fund—Class 3 NAV gained 35.22% for the twelve months ended December 31, 2022, net of fees and expenses.
For the twelve months ended December 31, 2022 the Frontier Masters Fund recorded total expenses of $57,142, net investment loss of $54,327, and net realized/unrealized gain on investments of $286,396, resulting in a net increase in owners’ capital from operations of $232,069. For Class 2, the NAV per Unit increased from $70.17 at December 31, 2021, to $94.64 as of December 31, 2022. For Class 3, the NAV per Unit increased from $66.15 at December 31, 2021 to $89.45 as of December 31, 2022. Total Class 2 subscriptions and redemptions for the period were $0 and $69,840, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $173,783, respectively. Ending capital at December 31, 2022, was $182,202 for Class 2 and $513,918 for Class 3.
For the twelve months ended December 31, 2022, Frontier Masters Fund did not own a swap investment.
The Frontier Masters Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, Hybrids and Commodities sectors.
Sector & Major Advisor Attribution for the Frontier Masters Fund
None of the eleven major CTAssix sectors traded in the Equinox Frontier DiversifiedMasters Fund were profitable in Q4 2015. Chesapeake, Crabel, Doherty, Emil Van Essen, H20, QIM2022. Agriculturals, Currencies, Energies, Interest Rates, Metals and WintonStock Indices were negative for the quarter. There were no positive sectors for the quarter.
Currencies, Energies and Interest Rates were positive YTD while Agriculturals, Metals and Stock Indices were negative YTD.
In terms of major CTA performance, there were no CTAs that finished positive for the quarter. Brevan Howard, Fort, Quantmetricsquarter while Aspect, Quantica and Quest finishedWelton were negative for the quarter. In terms of YTD performance, Chesapeake, Doherty, Emil Van Essen, H20, QIMAspect, Quantica and Winton areWelton were positive YTD while Brevan Howard, Fort, Quatmetrics, Quest and Crabel areno CTAs were negative YTD.
54
Equinox Frontier Long/Short Commodity Fund
20152022
The Equinox Frontier Long/Short Commodity Fund – Fund—Class 2 NAV lost 4.48%gained 21.87% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Fund—Class 3 NAV lost 4.48%gained 21.87% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Fund—Class 1a2a NAV lost 6.29%gained 22.43% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund – Fund—Class 2a3a NAV lost 4.63%gained 22.74% 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, 2015,2022, net of fees and expenses.
For the twelve months ended December 31, 2015,2022, the Equinox Frontier Long/Short Commodity Fund recorded total expenses of $42,222, net investment loss of $38,795, and net realized/unrealized gain on investments of $391,811, net investment income of $141,120, and total expenses of $1,207,403,$307,206, resulting in a net decreaseincrease in Owners’owners’ capital from operations attributable to controlling interests of $1,458,094. The$268,411. For Class 2, the NAV per Unit Class 2, decreasedincreased from $138.30$89.97 at December 31, 2014,2021, to $132.10$109.65 as of December 31, 2015. The2022. For Class 3, the NAV per Unit Class 3, decreasedincreased from $138.34$94.38 at December 31, 2014,2021, to $132.14$115.03 as of December 31, 2015. The2022. For Class 2a, the NAV per Unit Class 1a, decreasedincreased from $101.12$58.75 at December 31, 2014,2021, to $94.76$71.93 as of December 31, 2015. The2022. For Class 3a, the NAV per Unit Class 2a, decreasedincreased from $111.35$62.16 at December 31, 2014,2021, to $106.19$76.29 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, 2015.2022. Total Class 2 subscriptions and redemptions for the twelve monthsperiod were $0 and $226,318,$2,000, respectively. Total Class 3 subscriptions and redemptions for the twelve monthsperiod were $0 and $1,101,195, respectively. Total Class 1a subscriptions and redemptions for the twelve months were $67,800 and $1,587,283,$120,894, respectively. Total Class 2a subscriptions and redemptions for the twelve monthsperiod were $29,300$0 and $402,748,$12,788, respectively. Total Class 3a subscriptions and redemptions for the twelve monthsperiod were $415,099$0 and $167,791,$10,780, respectively. Ending capital at December 31, 2015,2022, was $993,600$28,713 for Class 2, $5,906,669$998,095 for Class 3, $4,053,754 for Class 1a, $1,287,665$90,017 for Class 2a and $851,163$245,448 for Class 3a.
For the twelve months ended December 31, 2022, Frontier Long/Short Commodity Fund did not own a swap investment.
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.
55
Sector & Major Advisor Attribution for the Equinox Frontier Long/Short Commodity Fund
56
TwoAll of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitablenegative in Q4 2015.2022. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished negative for the quarter. There were no positive sectors for the quarter.
Base Metals, Energies, Financials, Grains, Meats, Precious Metals and Softs were positive YTD. There were no negative sectors YTD.
In terms of major CTA performance, Rosetta finished positive for the quarter while Meats, Grains, Precious Metals, Precious Metals, FinancialsVolt 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 RosettaWelton were negative for the quarter.
In terms of YTD performance, Chesapeake, Emil Van EssenRosetta and JE Moody areWelton were positive YTD while Abraham, Red Oak and Rosetta areVolt was negative YTD.
Frontier Balanced Fund
Equinox2022
The Frontier Masters Fund
2015
The Equinox Frontier Masters Fund – Balanced Fund—Class 1 NAV lost 3.21%gained 19.75% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the EquinoxThe Frontier Masters Fund – Balanced Fund—Class 21AP NAV lost 1.50%gained 23.39% for the twelve months ended December 31, 2015,2022, net of fees and expenses,expenses; the Equinox Frontier Masters Fund – Balanced Fund—Class 32 NAV lost 1.25%gained 23.39% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV gained 23.55% for the twelve months ended December 31, 2022, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV gained 23.54% for the twelve months ended December 31, 2022, net of fees and expenses.
For the twelve months ended December 31, 20152022, the Equinox Frontier MastersBalanced Fund recorded atotal expenses of $976,966, net investment loss of $976,966, and net realized/unrealized gain on investments of $1,398,913, net investment income of $260,900, and total expenses of $2,122,056,$3,151,174, resulting in a net decreaseincrease in Owners’owners’ capital from operations attributable to controlling interests of $462,243. The$2,174,208. For Class 1, the NAV per Unit Class 1, decreasedincreased from $116.61$82.82 at December 31, 2014,2021, to $112.87$99.17 as of December 31, 2015. The2022. For Class 1AP, the NAV per Unit Class 2, decreasedincreased from $128.53$103.38 at December 31, 2014,2021, to $126.60$127.56 as of December 31, 2015. The2022. For Class 2, the NAV per Unit Class 3 decreasedincreased from $119.06$139.40 at December 31, 20142021, to $117.57$172.01 as of December 31, 2015.2022. For Class 2a, the NAV per Unit increased from $120.98 at December 31, 2021, to $149.47 as of December 31, 2022. For Class 3a, the NAV per Unit increased from $120.57 at December 31, 2021, to $148.96 as of December 31, 2022. Total Class 1 subscriptions and redemptions for the period were $2,092,649$0 and $5,299,823,$2,018,252, respectively. Total Class 1AP subscriptions and redemptions for period were $0 and $7,580, respectively. Total Class 2 subscriptions and redemptions for the period were $174,300$0 and $1,041,711,$302,031, respectively. Total Class 32a subscriptions and redemptions for the period were $3,820,000$0 and $2,162,727,$28,650, respectively. Total Class 3a subscriptions and redemptions for the period were $0 and $0, respectively. Ending capital at December 31, 2015,2022, was $8,323,800$7,134,145 for Class 1, $7,893,358$74,869 for Class 1 AP, $1,602,786 for Class 2, and $6,611,141$43,282 for Class 3.2a, and $471,646 for Class 3a.
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 Equinox2022, 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 indid not own 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.swap investment.
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 & Major Advisor Attribution for the Frontier Equinox Frontier Balanced Fund
60
Two
None of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q4 2015.2022. Agriculturals, Currencies, and Energies, were profitable while Metals, Agriculturals, Interest Rates, Metals and Stock Indices finishedwere negative for the quarter. There were no positive sectors for the quarter.
The Currencies, Energies and Interest Rates and Energies sectors were positive YTD while Agriculturals, 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. BeachAspect, Fort, Quantica, QIM, Welton and Wimmer 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,Aspect, Quantica, QIM Welton and Wimmer Horizon were positive YTD while Fort (GC), Quantica, Quantmetrics, Quest and Systematic Alpha werewas negative YTD.
61
Equinox Frontier Select Fund
20152022
The Equinox Frontier Select Fund – Fund—Class 1 NAV lost 5.50%gained 12.37% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the EquinoxThe Frontier Select Fund – Frontier Select Fund—Class 1AP NAV lost 2.62%gained 15.78% for the twelve months ended December 31, 2015,2022, net of fees and expenses. The Equinoxexpenses; the Frontier Select Fund – Fund—Class 2 NAV lost 2.62%gained 15.79% for the twelve months ended December 31, 2015,2022, net of fees and expenses.
For the twelve months ended December 31, 2015,2022, the Equinox Frontier Select Fund recorded total expenses of $113,333, net investment loss of $113,333, and net realized/unrealized gain on investments of $272,917, net investment income of $0, and total expenses of $968,941,$309,094, resulting in a net decreaseincrease in Owners’owners’ capital from operations of $730,624. The$195,761. For Class 1, the NAV per Unit Class 1, decreasedincreased from $95.61$63.39 at December 31, 2014,2021, to $90.35$71.23 as of December 31, 2015. The2022. For Class 1AP, the NAV per Unit Class 1AP, decreasedincreased from $96.82$79.21 at December 31, 2014,2021, to $94.28$91.71 as of December 31, 2015. The2022. For Class 2, the NAV per Unit Class 2, decreasedincreased from $128.48$105.10 at December 31, 2014,2021, to $125.11$121.70 as of December 31, 2014.2022. Total Class 1 subscriptions and redemptions for the twelve months ended December 31, 2015,period were $18,418$0 and $1,275,096,$100,095, respectively. Total Class 1AP subscriptions and redemptions for the period were $0 and $1,330, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $7,600, respectively. Ending capital, at December 31, 2022, was $1,417,113 for Class 1, $10,554 for Class 1AP, and $74,939 for Class 2.
For the twelve months ended December 31, 2015,2022, Frontier Select Fund did not own a swap investment.
The Frontier Select Fund may have both long and short exposure to the Interest Rates, Currencies, Stock Indices, Energies, Metals, Hybrids and Commodities sectors.
Sector & Major Advisor Attribution for the Frontier Select Fund
None of the six sectors traded in the Frontier Select Fund were $930profitable in Q4 2022. Agriculturals, Currencies, Energies, Interest Rates, Metals and $0, respectively. Total Stock Indices were negative for the quarter. There were no positive sectors for the quarter.
Currencies, Energies, Interest Rates and Metals were positive YTD while Agriculturals and Stock Indices were negative YTD.
In terms of major CTA performance, no CTA finished positive for the quarter while Quantica and Welton finished the quarter negative. Quantica and Welton were positive for the year while no CTAs finished the year negative.
Frontier Global Fund
2022
The Frontier Global Fund—Class 2 redemptions1 NAV gained 69.28% for the twelve months ended December 31, 2015, were $187,051. There were no 2022, net of fees and expenses; the Frontier Global Fund—Class 2 subscriptions.NAV gained 74.44% for the twelve months ended December 31, 2022, net of fees and expenses.
For the twelve months ended December 31, 2022, the Frontier Global Fund recorded total expenses of $232,383, net investment loss of $232,383, and net realized/unrealized gain on investments of $1,642,945, resulting in a net increase in owners’ capital from operations of $1,410,562. For Class 1, the NAV per Unit increased from $109.45 at December 31, 2021 to $185.27 as of December 31, 2022. For Class 2, the NAV per Unit increased from $170.40 at December 31, 2021, to $297.25 as of December 31, 2022. Total Class 1 subscriptions and redemptions for the period were $0 and $540,252, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $153,448, respectively. Ending capital, at December 31, 2015,2022, was $11,710,517$2,689,125 for Class 1, $47,365 for Class 1AP and $1,338,173$139,078 for Class 2.
For the twelve months ended December 31, 2022, Frontier Global Fund did not own a swap investment.
The Equinox Frontier SelectGlobal 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 SelectGlobal Fund
Two
Three of the sevensix sectors traded in the Equinox Frontier SelectGlobal Fund were profitable in Q4 2015.2022. Metals, Currencies and EnergiesStock Indices were positive while Energies, Agriculturals Currencies,and Interest Rates Hybrids and Stock Indices were negative for the quarter.
Currencies,Metals, Energies, Agriculturals and MetalsStock Indices were positive YTD while Agriculturals,Currencies and 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 WintonHeritage Fund
20152022
The Equinox Frontier Winton Fund – Heritage Fund—Class 1 NAV lost 6.70%gained 49.03% for the twelve months ended December 31, 2015,2022, net of fees and expenses; the EquinoxThe Frontier Winton Fund – Heritage Fund—Class 1AP NAV lost 3.86%gained 53.59% for the twelve months ended December 31, 2015,2022, net of fees and expensesexpenses; the Equinox Frontier Winton Fund – Heritage Fund—Class 2 NAV lost 3.85%gained 53.58% for the twelve months ended December 31, 2015,2022, net of fees and expenses.
For the twelve months ended December 31, 2015,2022, the Equinox Frontier WintonHeritage Fund recorded total expenses of $232,736, net investment loss of $232,736, and net realized/unrealized gain on investments of $1,380,625, net investment income of $28, and total expenses of $2,967,166,$1,376,459, resulting in a net decreaseincrease in Owners’owners’ capital from operations of $2,160,638. The$1,143,723. For Class 1, the NAV per Unit Class 1, decreasedincreased from $175.95$103.43 at December 31, 20142021, to $164.17$154.14 as of December 31, 2015. The2022. For Class 1AP, the NAV per Unit Class 1AP, decreasedincreased from $178.18$129.19 at December 31, 20142021, to $171.31$198.42 as of December 31, 2015. The2022. For Class 2, the NAV per Unit Class 2, decreasedincreased from $226.23$172.91 at December 31, 2014,2021, to $217.51$265.55 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.
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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, 2015.2022. Total Class 1 subscriptions and redemptions for the twelve monthsperiod were $41,712$0 and $766,234,$316,598, respectively. Total Class 1AP subscriptions and redemptions for the twelve monthsperiod were $1,288. There were no redemptions for Class 1AP.$0 and $0, respectively. Total Class 2 subscriptions and redemptions for the twelve monthsperiod were $312,995. There were no subscriptions for Class 2.$0 and $63,076, respectively. Ending capital, at December 31, 2015,2022, was $8,628,726$2,830,832, for Class 1, $58,523$12,657 for Class 1AP, and $2,853,353$242,868 for Class 2.
For the twelve months ended December 31, 2022, Frontier Heritage Fund did not own a swap investment.
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 & Major Advisor Attribution for the Equinox Frontier Heritage Fund
Two
None of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q4 2015. Metals and2022. Agriculturals, Currencies, Energies, were positive while Currencies, Agriculturals, Interest Rates, Metals and Stock Indices were negative for the quarter. There were no positive sectors for the quarter.
Currencies, MetalsEnergies and EnergiesInterest Rates were positive YTD while Agriculturals, Interest RatesMetals and Stock Indices were negative YTD.
In terms of major CTA performance, Brevan Howardno CTAs finished downpositive for both the quarter, while John Locke and Welton finished the quarter negative. Welton was positive for the year while WintonJohn Locke finished down YTD as well.negative.
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Results of Operations for the Twelve Months Ended December 31, 20142022
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 Trust2022 can be found in our annual report 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) andForm 10-K 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 monthsfiscal year ended December 31, 2014, net2022, located within Part II, Item 7. “Management’s Discussion and Analysis of feesFinancial Condition and expenses; the Equinox Frontier Diversified Fund– Class 2 NAV gained 32.14% for the twelve months ended December 31, 2014 netResults 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 $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 of $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 December 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.Operations”.
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.Item 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.
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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.
70
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 $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 $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 twelve months 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.
72
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 twelve 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.
74
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, 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 year 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.
76
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 twelve months 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
The Trust is a speculative commodity pool. The market sensitive instruments, which are held by the Trading Companies or Galaxy Plus entities in which the Series are invested, are acquired for speculative trading purposes, and all or a substantial amount of the Series’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Series’ main line of business.
Market movements result in frequent changes in the fair market value of each Trading Company’s open positions, and, consequently, in each Series of the Trust’s earnings and cash flow. The Trading Companies’ and Galaxy Plus entities’ and consequently the Series’ market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the open positions and the liquidity of the markets in which trades are made.
Each Trading Company and Galaxy Plus entity rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance for any Series is not necessarily indicative of the future results of such Series.
Additional risk of trading loss from investment in an unaffiliated Trading Company may result from the Managing Owner’s inability to directly control or stop trading in the event of exercise of certain withdrawal provisions in the investment agreement.
The Trading Companies and Galaxy Plus entities, and, consequently the Series’ primary market risk exposures as well as the strategies used and to be used by the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s and the Managing Owner’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trading Companies and Galaxy Plus entities and consequently the Trust. There can be no assurance that the Trading Companies’ and Galaxy Plus entities’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in a Series.
Quantitative Market Risk
Trading Risk
The Series’ approximate risk exposure in the various market sectors traded by its Trading Advisors is quantified below in terms of value at risk. Due to the Series’ mark-to-market accounting, any loss in the fair value of the Series’ (through the Trading Companies and Galaxy Plus entities) open positions is directly reflected in the Series’ earnings, realized or unrealized gain/loss.
Exchange maintenance margin requirements have been used by the Trust as the measure of its value at risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% to 99% of any one-day interval. The maintenance margin levels are established by brokers, dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component that is not relevant to value at risk.
In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals, the margin requirements for the equivalent futures positions have been used as value at risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Series, which is valued in U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars.
In quantifying each Series’ value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk. The diversification effects resulting from the fact that the Series’ positions held through the Trading Companies and Galaxy Plus entities are rarely, if ever, 100% positively correlated have not been reflected.
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, 20162023 and 2015.2022. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.
Equinox Frontier Diversified Fund:DOMESTIC EXPOSURE
December 31, 2016 | December 31, 2015 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 54,560 | 0.10 | % | $ | 1,482,594 | 2.66 | % | ||||||||
Currencies | 6,695,287 | 11.86 | % | 1,825,578 | 3.28 | % | ||||||||||
Stock Indices | 136,448 | 0.24 | % | 2,256,114 | 4.05 | % | ||||||||||
Metals | 76,463 | 0.14 | % | 290,196 | 0.52 | % | ||||||||||
Agriculturals/Softs | 56,026 | 0.10 | % | 1,230,266 | 2.21 | % | ||||||||||
Energy | 34,416 | 0.06 | % | 1,558,897 | 2.80 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | (3,667 | ) | -0.04 | % | $ | 308,877 | 2.36 | % | |||||||
Currencies | 4,103,478 | 44.30 | % | 593,315 | 4.53 | % | ||||||||||
Stock Indices | (4,847 | ) | -0.05 | % | 176,530 | 1.35 | % | |||||||||
Metals | (1,394 | ) | -0.02 | % | 27,511 | 0.21 | % | |||||||||
Agriculturals/Softs | (82 | ) | 0.00 | % | 343,977 | 2.63 | % | |||||||||
Energy | (2,483 | ) | -0.03 | % | 1,795,669 | 13.71 | % | |||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 147,424 | 0.86 | % | $ | 745,322 | 3.26 | % | ||||||||
Currencies | 846,815 | 4.93 | % | 1,116,000 | 4.89 | % | ||||||||||
Stock Indices | 162,087 | 0.94 | % | 1,155,610 | 5.06 | % | ||||||||||
Metals | 132,588 | 0.77 | % | 120,696 | 0.53 | % | ||||||||||
Agriculturals/Softs | 80,299 | 0.47 | % | 581,297 | 2.55 | % | ||||||||||
Energy | 102,721 | 0.60 | % | 828,577 | 3.63 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 111,080 | 0.13 | % | $ | 2,770,118 | 3.07 | % | ||||||||
Currencies | 16,050,306 | 19.50 | % | 2,793,664 | 3.10 | % | ||||||||||
Stock Indices | 251,376 | 0.31 | % | 3,101,604 | 3.44 | % | ||||||||||
Metals | 203,879 | 0.25 | % | 452,392 | 0.50 | % | ||||||||||
Agriculturals/Softs | 310,953 | 0.38 | % | 2,343,248 | 2.60 | % | ||||||||||
Energy | 59,842 | 0.07 | % | 2,470,484 | 2.74 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 142,902 | 0.89 | % | $ | 501,177 | 2.52 | % | ||||||||
Currencies | 3,767,631 | 23.44 | % | 667,887 | 3.35 | % | ||||||||||
Stock Indices | 108,220 | 0.67 | % | 949,390 | 4.77 | % | ||||||||||
Metals | 106,501 | 0.66 | % | 60,331 | 0.30 | % | ||||||||||
Agriculturals/Softs | 56,513 | 0.35 | % | 326,993 | 1.64 | % | ||||||||||
Energy | 101,803 | 0.63 | % | 115,282 | 0.58 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 181,898 | 0.45 | % | $ | 783,573 | 1.90 | % | ||||||||
Currencies | 2,203,203 | 5.42 | % | 1,718,649 | 4.16 | % | ||||||||||
Stock Indices | 496,922 | 1.22 | % | 706,493 | 1.71 | % | ||||||||||
Metals | 291,318 | 0.72 | % | 273,910 | 0.66 | % | ||||||||||
Agriculturals/Softs | 222,576 | 0.55 | % | 691,213 | 1.67 | % | ||||||||||
Energy | 113,092 | 0.28 | % | 347,931 | 0.84 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 35,111 | 0.34 | % | $ | 181,696 | 1.17 | % | ||||||||
Currencies | 3,730,499 | 36.37 | % | 343,190 | 2.22 | % | ||||||||||
Stock Indices | 91,176 | 0.89 | % | 133,965 | 0.87 | % | ||||||||||
Metals | 52,124 | 0.51 | % | 52,162 | 0.34 | % | ||||||||||
Agriculturals/Softs | 38,923 | 0.38 | % | 132,697 | 0.86 | % | ||||||||||
Energy | 22,016 | 0.21 | % | 63,333 | 0.41 | % | ||||||||||
Total: | $ | 3,969,849 | 38.70 | % | $ | 907,043 | 5.87 | % |
80
December 31, 2023 | December 31, 2022 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | - | 0.00 | % | $ | 50 | 0.00 | % | ||||||||
Currencies | 723,899 | 14.31 | % | 321,385 | 3.45 | % | ||||||||||
Stock Indices | - | 0.00 | % | - | 0.00 | % | ||||||||||
Metals | 14,434 | 0.29 | % | 897 | 0.01 | % | ||||||||||
Agriculturals/Softs | - | 0.00 | % | 1,590 | 0.02 | % | ||||||||||
Energy | - | 0.00 | % | - | 0.00 | % | ||||||||||
Total: | $ | 738,333 | 14.60 | % | $ | 323,922 | 3.48 | % |
As of December 31, 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 swap contracts (Please refer to Note 4 in the Series Financial Statements). Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.
Value at Risk: Foreign Markets
The following 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, 20162023 and 2015,2022, 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 FundFOREIGN EXPOSURE
December 31, 2016 | December 31, 2015 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 35,331 | 0.06 | % | $ | 648,857 | 1.08 | % | ||||||||
Currencies | 6,213,135 | 11.00 | % | 448,492 | 0.75 | % | ||||||||||
Stock Indices | 107,207 | 0.19 | % | 626,690 | 1.04 | % | ||||||||||
Metals | — | 0.00 | % | 63,844 | 0.11 | % | ||||||||||
Agriculturals/Softs | 6,155 | 0.01 | % | 105,154 | 0.18 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | (3,398 | ) | -0.04 | % | $ | 92,077 | 0.55 | % | |||||||
Currencies | 4,105,061 | 44.32 | % | 25,503 | 0.15 | % | ||||||||||
Stock Indices | (4,548 | ) | -0.05 | % | 65,299 | 0.39 | % | |||||||||
Metals | — | 0.00 | % | 2,581 | 0.02 | % | ||||||||||
Agriculturals/Softs | — | 0.00 | % | 4,969 | 0.03 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 107,034 | 0.62 | % | $ | 350,746 | 1.36 | % | ||||||||
Currencies | 116,702 | 0.68 | % | 411,728 | 1.60 | % | ||||||||||
Stock Indices | 109,865 | 0.64 | % | 241,648 | 0.94 | % | ||||||||||
Metals | 35,070 | 0.20 | % | 26,150 | 0.10 | % | ||||||||||
Agriculturals/Softs | 12,297 | 0.07 | % | 48,090 | 0.19 | % | ||||||||||
Energy | 5,981 | 0.03 | % | — | 0.00 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 84,522 | 0.10 | % | $ | 1,285,354 | 1.18 | % | ||||||||
Currencies | 14,167,369 | 17.21 | % | 653,928 | 0.60 | % | ||||||||||
Stock Indices | 181,960 | 0.22 | % | 1,049,217 | 0.97 | % | ||||||||||
Metals | 93,238 | 0.11 | % | 103,957 | 0.10 | % | ||||||||||
Agriculturals/Softs | 62,286 | 0.08 | % | 220,476 | 0.20 | % | ||||||||||
Energy | 10,780 | 0.01 | % | 9,593 | 0.01 | % | ||||||||||
Total: | $ | 14,600,155 | 17.73 | % | $ | 3,322,525 | 3.06 | % |
December 31, 2023 | December 31, 2022 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Currencies | $ | - | 0.00 | % | $ | 122 | 0.00 | % | ||||||||
Stock Indices | - | 0.00 | % | 106 | 0.00 | % | ||||||||||
Agriculturals/Softs | - | 0.00 | % | 227 | 0.00 | % | ||||||||||
Total: | $ | - | 0.00 | % | $ | 455 | 0.00 | % |
Equinox Frontier Select Fund:
December 31, 2016 | December 31, 2015 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 108,091 | 0.67 | % | $ | 277,612 | 1.82 | % | ||||||||
Currencies | 3,234,059 | 20.12 | % | 441,529 | 2.89 | % | ||||||||||
Stock Indices | 66,205 | 0.41 | % | 160,956 | 1.05 | % | ||||||||||
Metals | 40,789 | 0.25 | % | 16,211 | 0.11 | % | ||||||||||
Agriculturals/Softs | 10,232 | 0.06 | % | 41,291 | 0.27 | % | ||||||||||
Energy | 6,957 | 0.04 | % | — | 0.00 | % | ||||||||||
Total: | $ | 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 | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 107,843 | 0.27 | % | $ | 241,773 | 0.60 | % | ||||||||
Currencies | 296,219 | 0.73 | % | 19,055 | 0.05 | % | ||||||||||
Stock Indices | 383,250 | 0.94 | % | 234,669 | 0.59 | % | ||||||||||
Metals | — | 0.00 | % | 44,840 | 0.11 | % | ||||||||||
Agriculturals/Softs | 24,539 | 0.06 | % | 15,623 | 0.04 | % | ||||||||||
Total: | $ | 811,851 | 2.00 | % | $ | 555,960 | 1.39 | % |
Equinox Frontier Heritage Fund:
December 31, 2016 | December 31, 2015 | |||||||||||||||
VALUE | % OF TOTAL | VALUE | % OF TOTAL | |||||||||||||
AT RISK | CAPITALIZATION | AT RISK | CAPITALIZATION | |||||||||||||
MARKET SECTOR | ||||||||||||||||
Interest Rates | $ | 21,939 | 0.21 | % | $ | 57,621 | 0.35 | % | ||||||||
Currencies | 3,396,210 | 33.11 | % | 7,690 | 0.05 | % | ||||||||||
Stock Indices | 71,061 | 0.69 | % | 47,088 | 0.28 | % | ||||||||||
Metals | — | 0.00 | % | 8,028 | 0.05 | % | ||||||||||
Agriculturals/Softs | 4,283 | 0.04 | % | 2,797 | 0.02 | % | ||||||||||
Total: | $ | 3,493,493 | 34.05 | % | $ | 123,224 | 0.75 | % |
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As of December 31, 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 swap contracts (Please refer to Note 4 in the Series Financial Statements). Margin information is not available for these contracts therefore no value at risk calculations were included in the table for these investments.
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 ninethree 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, 2016,2023, by market sector.
Interest Rates
Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies and Galaxy Plus entities also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and Galaxy Plus entities and, accordingly, of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies and Galaxy Plus entities will be in medium- to long-term instruments. Consequently, even a material change in short-termshort term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier WintonGlobal 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 1AP, Class 2a and Class 3a only)3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 20162017 through April 28, 2016;2017; 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.
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Stock Indices
For each Series, its primary equity exposure is equity price risk in the G-7 countries as well as other smaller jurisdictions. Each Series of the Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.
Metals
For each Series, its metals market exposure is fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. Some metals, such as gold, are used as surrogate stores of value, in place of hard currency and, thus, have currency or interest rate risk associated with them relative to their price in a specific currency. Other metals, such as silver, platinum, copper and steel, have substantial industrial applications, and may be subject to forces affecting industrial production and demand.
Agriculturals/Softs
Each Series may also invest in raw commodities and may thus have exposure to agricultural price movements, which are often directly affected by severe or unexpected weather conditions or by political events in countries that comprise significant sources of commodity supply.
Energy
For each Series its primary energy market exposure is in oil, gas and other energy product price movements, often resulting from political developments and ongoing conflicts in the Middle East. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Other Trading Risks
As a result of leverage, small changes in the price of a Trading Company’s positions may result in substantial losses for a Series. Futures, forwards and options are typically traded on margin. This means that a small amount of capital can be used to invest in contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Trading Companies and Galaxy Plus entities may lose more than their initial margin deposits on a trade.
The Trading Companies’ and Galaxy Plus entities’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the CFTC. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may, therefore, be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades. The Trading Advisor’s positions are subject to speculative limits. The CFTC and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company and Galaxy Plus entity for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.
Systematic strategies do not consider fundamental types of data and do not have the benefit of discretionary decision making. The assets of the Series are allocated to Trading Advisors that rely on technical, systematic strategies that do not take into account factors external to the market itself (although certain of these strategies may have minor discretionary elements incorporated into their systematic strategy). The widespread use of technical trading systems frequently results in numerous Trading Advisors attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical programs are based) only marginally relevant to future market patterns. Systematic strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market itself that dominates prices that a discretionary decision maker may take into account may cause major losses for a systematic strategy. For example, a pending political or economic event may be very likely to cause a major price movement, but a systematic strategy may continue to maintain positions indicated by its trading method that might incur major losses if the event proved to be adverse.
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.
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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 namesusernames and passwords in order to access its information technology systems. The Trust also uses encryption and authentication technologies designed to secure the transmission and storage of data and prevent access to Trust data or accounts. These security measures are subject to third-party security breaches, employee error, malfeasance, faulty password management, or other irregularities. To help protect investors and the Trust, the Trust monitors accounts and systems for unusual activity and may freeze accounts under suspicious circumstances.
The Trust devotes significant resources to network security, data encryption and other security measures to protect its systems and data, but these security measures cannot provide absolute security. To the extent the Trust was to experience a breach of its systems and was unable to protect sensitive data, such a breach could materially damage business partner and investor relationships. Moreover, if a computer security breach affects the Trust’s systems or results in the unauthorized release of PII, the Trust’s reputation and brand could be materially damaged and the Trust could be exposed to a risk of loss or litigation and possible liability. While the Trust maintains insurance coverage that, subject to policy terms and conditions and subject to a significant self-insured retention, is designed to address certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses or all types of claims that may arise in the continually evolving area of cyber risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Managing Owner attempts to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. The Managing Owner applies risk management policies to trading which generally are designed to limit the total exposure of assets under management. In addition, the Managing Owner follows diversification guidelines which are often formulated in terms of the balanced volatility between markets and correlated groups.
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 OfficerChairman and PrincipalChief 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, 20162023 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can only provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.
Based upon ourits evaluation, the Chief Executive Officer and Principal Financial Officermanagement 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.filing.
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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.misstatements on a timely basis. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of December 31, 2016,2023, 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, managementthe Trust’s Chief Executive Officer and Chief Financial Officer concluded that as of December 31, 2016, the Trust maintained effective 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.as of December 31, 2023.
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 changes in the Trust’s internal control over financial reporting for the year ended December 31, 2016 that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial 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 Chairman and Chief Financial Officer, and the President and Chief Executive Officer, and the Principal Financial Officer of the Managing Owner and the New Managing Owner as of December 31, 20162023 and as of March 31, 2017April 1, 2024 (the date of this filing) are included as Exhibits 31.1 and 31.2, respectively, to this Form 10-K, and apply not only to the Trust as a whole but also to each Series individually.
Item 9B. OTHER INFORMATION.
None.
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Item 9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS
Not applicable.
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 EquinoxFrontier Fund Management LLC a Delaware limited liability company formed in June 2003, inserves as the capacity as managing owner.Managing Owner. The Managing Owner becamewas incorporated in Delaware in November 2016. The Managing Owner has delegated its commodity pool operator responsibilities to Wakefield Advisors LLC pursuant to the Commodity Pool Operator Delegation Agreement between the Managing Owner and Wakefield Advisors LLC, which has been registered with the CFTC as CPO as of August 6, 2003,a commodity pool operator since January 7, 2013 and has been a member inof the National Futures Association (the “NFA”), in such capacityNFA since that date. On March 6, 2017,Under the Commodity Pool Operator Delegation Agreement, Wakefield does not receive any fees or remuneration from the Managing Owner in connection with the performance of its obligations thereunder. The Commodity Pool Operator Delegation Agreement is effective until terminated by either the Managing Owner or Wakefield, or until Wakefield is no longer registered as a transaction was consummated that gave operational controlCPO (unless excluded or exempt from CPO registration under the CEA). The Managing Owner remains jointly and severally liable with Wakefield Advisors LLC for violations of the Trust to Frontier Fund Management,CEA and CPO Regulations. However, Wakefield Advisors LLC will indemnify the Managing Owner from and against any and all loss, liability, damage, penalty, fine, cost, and expense (including attorneys’, accountants’, experts’, and other professionals’ fees and expenses incurred in investigation or defense of any and all demands, claims, actions, suits, or arbitrations) actually and reasonably incurred by the Managing Owner, based upon, arising out of or from, that date Frontier Fund Management,or in any way in connection with, any act, activity, conduct, performance, omission, or non-performance by the Wakefield Advisors LLC becameof any of its functions as CPO or which violates the New Managing Owner.CEA or CPO Regulations in connection with its functions as CPO.
Principals of the Managing Owner and Wakefield
The current officers and directors of the Managing Owner and Wakefield are as follows:
RobertPatrick J. Enck,Kane (Age 56)
Chairman and Director, Wakefield Advisors, LLCis the President
Chairman and Chief ExecutiveFinancial Officer, (“CEO”), and serves as chairman of the of theFrontier Fund 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 Owner since July 2007 and as an associated person and swap associated person of the Managing Owner since July 2014. Mr. Enck joined the Managing 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 multi-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-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 63 registrations.
Stacy Gillespie, is the Chief Compliance Officer (“CCO”) of the Managing Owner and 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 andPatrick Kane has served as Chief Compliance Officer forChairman of Wakefield since co-founding the firm in January 2012. The firm serves as Investment Advisor to the Wakefield family of mutual funds sponsored and launched on the Wakefield Alternative Series Trust platform which is registered under the Investment Company Act of 1940, as amended, and organized as a number of registered investment advisers in the scope of her responsibilities with CCS.Delaware statutory trust. Prior to her affiliation with CCS, from December 2012 to August 2015, Ms. Gillespie was employed byco-founding 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,adviser, 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 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 statistical 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 investment 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 (Age 65)
Chief Executive Officer, President and Director, Wakefield Advisors, LLC
Chief Executive Officer, Frontier Fund Management LLC
Patrick F. Hart III co-founded and is thePresident and Chief Executive Officer of Wakefield where he has been registered as a principal and associated person since December 2012 and January 2013, respectively. He also serves as the New Managing Owner since January 2012.firm’s Chief Compliance Officer. Mr. Hart has been involved in the alternative investment industry 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 Managing Partner of Hart Financial Group, LLC, a registered commodity pool operator, where he has been registered as an associated person and listed as a principal since August 1998. Lastly,
Previous affiliations of Mr. Hart founded Pyxis GFSinclude PyxisGFS, which he co-founded in October 2008.2010. Pyxis provides comprehensiveprovided administration, accounting and reporting services to alternative investment managers and funds.
Previous affiliations of Mr. Hart include Northfield Trading, LP where he was listed as a principal and registered as an associated person of the Trading Advisortrading 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 from August 2009 through May 2013. Mr. Hart was also listed as a principal of the commodity Trading Advisor,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. Mr. Hart is registered with Foreside Fund Services, LLC which is not affiliated with Wakefield or its affiliates. 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 IIis the (Age 56)
Executive Vice-President, Wakefield Advisors, LLC
Secretary, Frontier Fund Management LLC
Michael B. Egan II has served as Executive Vice President of the New Managing OwnerWakefield since Januaryits founding in 2012. Mr. Egan brings more than 2530 years of alternative investment experience with a focus on commodity Trading Advisortrading advisor research and multi-advisor portfolio construction. As a member of Frontier Fund Management LLC’sWakefield’s portfolio management team, Mr. Egan is involved in day-to-day portfolio and risk management for all of Frontier Fund Management LLC’sWakefield’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 Commodity Trading Advisor Seven Trust Global Advisors, LLC from July 2008 through March 2011. From January 1991 through April 2009, Mr. Egan was the Director of Research for Hart Asset Management Group, Inc. (formerly Hart-Bornhoft Group, Inc.), a registered Commodity Pool Operator and Commodity Trading Advisor and was 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 investment fund servicing business, Pyxis Global Financial Services, since its founding in 2010. At Pyxis he manages a team that provides administrative and accounting services for clients that are investment advisors, mutual funds and hedge 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 University of Colorado, holds Series 7 and 24 securities licenses and has worked in the accounting field since 1996. His most recent experience is in alternative investments, investment fund operations and fund administration.
Effective December 2015, Equinox has engaged Cipperman Compliance Services, LLC to provide outsourced compliance services for Equinox Institutional Asset Management, LP, Equinox Group Distributors, LLC, Equinox Fund Management, LLC, and Equinox Financial 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 David P. Demuth and Robert J. Enck.
Robert J. EnckPatrick Kane—Mr. Enck’sKane’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”
David P. DeMuth, 70is 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.
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 KaneHart—Mr. Kane’sHart’s biography appears above under the caption“Item 10. Directors, Executive Officers and Corporate Governance—Principals of the Managing Owner.”
Patrick HartMichael Egan—Mr. Hart’sEgan’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 RobertPatrick J. Enck,Kane, the Chief Executive OfficerChairman of the Managing Owner, qualifies as an “audit committee financial expert” in accordance with the applicable rules and regulations of the SEC. Mr. EnckKane 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.
The Managing Owner has no access to non-public information and as a result has not adopted an insider trading policy for its principals and employees.
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 notional assets inof such Series allocated to Trading Companies, attributable to such Series’ (including nominal assets), calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management fee equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. For both assets in Trading Companies and inThe management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund; 0.75%Fund Class 1 and Class 2, 0.5% for the Equinox Frontier Diversified Fund;Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the EquinoxFrontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters Fund, and Equinox0.75% for Frontier Winton Fund;Diversified 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.Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) forand/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. During the periods covered by this report, no Series was invested in a swap.
The management fee as a percentage of the applicable Series’ notional assets will be greater than the percentage of the applicable Series’ net asset value to the extent that the notional assets of the Series exceeds its net asset value. The Managing Owner expects that the notional assets of each Series.Series will generally be maintained at a level in excess of the net asset value of such Series and such excess may be substantial to the extent the Managing Owner deems necessary to achieve the desired level of volatility.
Trading Fees
In connection with each Series’ trading activities, the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund pay to the Managing Owner an FCM Fee of up to 2.25% per annum of notional assets allocated to the Trading Advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. The Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund pay to the Managing Owner an FCM Fee of up to 2.25% of notional assets allocated to the Trading Advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.
Incentive Fees
Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. Because the EquinoxFrontier Balanced Fund, 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, thesethe 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 EquinoxFrontier Balanced Fund and the Frontier Diversified Fund and Equinox Frontier Balanced Fund and 20% for the Equinox Frontier MastersGlobal Fund, Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.
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 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), Equinox Frontier WintonLong/Short Commodity Fund Equinox(Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 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.
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Other Fees
From JanuaryIn addition, with respect to Class 1 2016 through October 23, 2016,and Class 1a Units of each Series of the Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund (collectively,Trust, as applicable, the “Closed Series”) paidSeries pays monthly or quarterly to the Managing Owner a tradingservice fee or FCM Fee, of up to 0.75% per annum of such Series’ NAV, calculated daily; thereafter each of3% and 2% annually, for the Closedclosed Series pays toand open Series, respectively, which the Managing Owner a FCM Fee of uppays 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 programsselling agents 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 (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 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 a custodial/due diligence fee of 0.12% per annum of such Series’ NAV, calculated daily. Also, monthly service fees of up to 3.0% and 2.0% of the NAV, calculated daily, are paid to the Managing Owner for the Closed Series and the Open Series, respectively. The Managing Owner pays the service fees 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.Trust.
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, 2016:
Equinox Fund Management, LLC*:
Percentage Ownership | ||||
Series/Class of Units | Units Owned | of Each Class | ||
Equinox Frontier Diversified Fund– Class 2 | 3,462 | 1.20% | ||
Equinox Frontier Diversified Fund– Class 3 | 275 | 0.26% | ||
Equinox Frontier Long/Short Commodity Fund – Class 2 | 2,316 | 37.12% | ||
Equinox Frontier Long/Short Commodity Fund – Class 2a | 2,222 | 24.38% | ||
Equinox Frontier Long/Short Commodity Fund – Class 3a | 109 | 1.00% | ||
Equinox Frontier Masters Fund – Class 2 | 2,615 | 5.95% | ||
Equinox Frontier Masters Fund – Class 3 | 275 | 0.54% | ||
Equinox Frontier Balanced Fund – Class 2 | 2,720 | 2.37% | ||
Equinox Frontier Balanced Fund – Class 2a | 1,237 | 40.50% | ||
Equinox Frontier Select Fund – Class 2 | 70 | 0.67% | ||
Equinox Frontier Winton Fund – Class 2 | 207 | 0.38% | ||
Equinox Frontier Heritage Fund – Class 2 | 428 | 2.68% |
Item 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS.
(a) | Security Ownership of Certain Beneficial Owners. As of March 13, 2024, the following table sets forth persons who beneficially own more than 5% of the Units outstanding of any Series: |
Title of Series | Name and address of beneficial owner* | Amount and nature of beneficial ownership | Percent of Series | |||||||
Frontier Balanced Fund | Kenneth Janson - IRA | 4,471 | 6.38 | % | ||||||
Frontier Masters Fund | First Clearing Corp FBO Doris L Dopkin - IRA | 625 | 11.55 | % | ||||||
Frontier Masters Fund | Daniel C & Sharon N Rodrigue - JT WROS | 301 | 5.56 | % | ||||||
Frontier Masters Fund | Raymond James Trust Company of New Hampshire FBO Robert W. Elliott - IRA | 357 | 6.60 | % | ||||||
Frontier Global Fund | Don G Lents TTEE Don G Lents Revocable Trust U/A dtd 01/02/1998 | 628 | 7.76 | % | ||||||
Frontier Global Fund | Ronald R. Rushing | 444 | 5.48 | % | ||||||
Frontier Global Fund | Ruth Kaminer TTEE Kaminer Findley Limited Partnership U/A08/23/1995 | 584 | 7.21 | % | ||||||
Frontier Global Fund | Sandra J. Frueh | 1,050 | 12.97 | % | ||||||
Frontier Global Fund | WEDBUSH SECURITIES FBO JANICE Y VALLESKEY IRA | 539 | 6.66 | % | ||||||
Frontier Heritage Fund | BJK INVESTMENTS OF FLORIDA LLC | 2,727 | 19.57 | % | ||||||
Frontier Heritage Fund | George R Culp | 2,379 | 17.07 | % | ||||||
Frontier Heritage Fund | Sandra J. Frueh | 1,255 | 9.01 | % | ||||||
Frontier Diversified Fund | Gregory M & Kathy A Gordon - TEN COM | 1,020 | 5.32 | % | ||||||
Frontier Diversified Fund | Robert D & Nancy P Josserand | 1,654 | 8.63 | % | ||||||
Frontier Long/Short Commodity Fund | The McLendon Company, LP. | 3,693 | 34.61 | % |
* | The address of all beneficial owners listed in the table is c/o Frontier Fund Management, LLC, 25568 Genesee Trail Road, Golden, Colorado 80401. |
(b) | Security Ownership of Management. 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, 2023: |
Units Owned | Percentage Ownership of Each Class | |||||||
Frontier Balanced Fund -Class 2 | 310 | 3.89 | % | |||||
Frontier Balanced Fund - Class 2A | 187 | 99.85 | % | |||||
Frontier Heritage Fund - Class 2 | 93 | 10.46 | % | |||||
Frontier Long/Short Commodity Fund - Class 2 | 7 | 5.99 | % | |||||
Frontier Select Fund - Class 2 | 106 | 17.79 | % | |||||
Frontier Global Fund - Class 2 | 50 | 32.70 | % | |||||
Frontier Diversified Fund - Class 2 | 88 | 2.99 | % | |||||
Frontier Diversified Fund - Class 3 | 155 | 0.78 | % | |||||
Frontier Long/Short Commodity Fund - Class 2A | 130 | 15.89 | % | |||||
Frontier Long/Short Commodity Fund - Class 3A | 18 | 0.87 | % | |||||
Frontier Masters Fund - Class 2 | 54 | 4.63 | % | |||||
Frontier Masters Fund - Class 3 | 14 | 0.32 | % |
* | The Managing Owner is required to maintain at least a 1% interest in the aggregate capital as well as in certain series, profits and losses of the Trust. The Managing Owner’s interest of |
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 EquinoxFrontier Fund Management LLC, the Managing Owner of the Trust, for professional services provided by RSM USSpicer Jeffries LLP, the Trust’s independent registered public accounting firm, for the years ended December 31, 20162023 and 2015.2022. 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 | 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 |
FEE CATEGORY | 2023 | 2022 | ||||||
Audit Fees(1) | $ | 105,000 | $ | 105,000 | ||||
Audit-Related Fees(2) | $ | - | $ | - | ||||
Tax Fees(3) | $ | 15,000 | $ | 15,000 | ||||
All Other Fees(4) | $ | - | $ | - | ||||
TOTAL FEES | $ | 120,000 | $ | 120,000 |
(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 |
(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 RSM USSpicer Jeffries LLP to the Trust described above. The Managing Owner has determined that the payments made to RSM USSpicer Jeffries LLP for these services during 20162023 and 20152022 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.
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10.4 | Form of Cash Management Agreement between |
101.INS | Inline XBRL Instance |
101.SCH | Inline XBRL Taxonomy Extension Schema Document. |
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document. |
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document. |
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document. |
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document. | |
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). |
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* | 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 |
+++ | 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. |
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INDEX TO THE SERIES FINANCIAL STATEMENTS
INDEX TO THE TRUST FINANCIAL STATEMENTS (1)
INDEX TO TRADING COMPANYTHE TRUST FINANCIAL STATEMENTS (2)(1)
INDEX TO TRADING COMPANY FINANCIAL STATEMENTS (2)
F-1
INDEX TO GALAXY PLUS FUND FINANCIAL STATEMENTS (3)
(1) | These financial statements represent the combined 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 combined consolidated 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 consolidated 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. |
(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. |
F-2
Report of Independent Registered Public Accounting Firm
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Unitholders and the Executive Committee and Unitholders
Equinoxof Frontier Funds
Opinions on the Financial Statements
We have audited the accompanying consolidated 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 WintonGlobal Fund, and Equinox Frontier Heritage Fund of Equinox Frontier Funds (collectively the Series)“Series”) including the consolidated schedules of investments, as of December 31, 20162023 and 2015,2022, 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, 2016. 2023, 2022 and 2021, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Series as of December 31, 2023 and 2022, and the results of its operations and its cash flows for the years ended December 31, 2023, 2022 and 2021, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Series’ management. Our responsibility is to express an opinion on thesethe Series’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Series in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement.misstatement, whether due to error or fraud. The Series areis not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. OurAs part of our audits, included considerationwe are required to obtain an understanding 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
Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supportingregarding the amounts and disclosures in the financial statements, assessingstatements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statement presentation.statements. We believe that our audits provide a reasonable basis for our opinion.
In our opinion,Critical Audit Matters
Critical audit matters are matters arising from the current period audit of the financial statements referredthat were communicated or required to above present fairly, in allbe communicated to the audit committee and that: (1) relate to accounts or disclosures that are 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, 2016 and 2015, and the results of their operations and their cash flows for each of the three years in the period then ended, 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(2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.
/s/ Spicer Jeffries LLP
We have served as auditor of the Frontier Funds Trust and each Series, in replacement of Equinox.since 2019.
/s/ RSM US LLP
Denver, Colorado
MarchApril 1, 2024
The Series of Frontier Funds
Consolidated Statements of Financial Condition
December 31, 20172023 and December 31, 2022
F-3
Equinox Frontier | Equinox Frontier | Equinox Frontier | ||||||||||||||||||||||
Diversified Fund | Masters Fund | Long/Short Commodity Fund | ||||||||||||||||||||||
12/31/2016 | 12/31/2015 | 12/31/2016 | 12/31/2015 | 12/31/2016 | 12/31/2015 | |||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Cash and cash equivalents | $ | 674,227 | $ | 3,283,973 | $ | 546,509 | $ | 1,421,994 | $ | — | $ | 570,169 | ||||||||||||
U.S. Treasury securities, at fair value | 6,525,280 | 27,604,916 | 4,313,843 | 11,953,206 | — | 4,792,817 | ||||||||||||||||||
Swap contracts, at fair value | 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 | 4,201,628 | 16,094,207 | 6,678,106 | 9,409,930 | — | 3,414,663 | ||||||||||||||||||
Prepaid service fees - Class 1 | — | 16,160 | — | 7,355 | — | 736 | ||||||||||||||||||
Interest receivable | 121,792 | 479,142 | 80,516 | 207,473 | — | 83,190 | ||||||||||||||||||
Receivable from related parties | 231,671 | — | 153,157 | 1,670 | 87,670 | 1,606 | ||||||||||||||||||
Other assets | — | — | — | — | — | — | ||||||||||||||||||
Total Assets | $ | 59,238,419 | $ | 56,164,247 | $ | 17,425,839 | $ | 23,001,628 | $ | 11,023,280 | $ | 13,195,609 | ||||||||||||
LIABILITIES & CAPITAL | ||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||
Pending owner additions | $ | — | $ | 1,524 | $ | — | $ | 1,290 | $ | — | $ | — | ||||||||||||
Owner redemptions payable | 61,482 | 9,030 | 131,841 | 9,558 | 5,738 | 796 | ||||||||||||||||||
Incentive fees payable to Managing Owner | — | 204,914 | — | 42,251 | — | 28,408 | ||||||||||||||||||
Management fees payable to Managing Owner | 23,496 | 81,940 | 50,174 | 54,674 | — | 48,210 | ||||||||||||||||||
Interest payable to Managing Owner | — | 11,661 | — | 4,957 | — | 1,368 | ||||||||||||||||||
Service fees payable to Managing Owner | 15,193 | 17,020 | 9,037 | 12,098 | 3,542 | 6,841 | ||||||||||||||||||
Trading fees payable to Managing Owner | 147,183 | 121,065 | 57,890 | 48,501 | 23,478 | 17,129 | ||||||||||||||||||
Payables to related parties | — | 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 | 2,767,028 | 449,281 | 256,532 | 173,329 | 1,757,753 | 102,758 | ||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||
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 | 56,471,391 | 55,714,966 | 17,169,307 | 22,828,299 | 9,265,527 | 13,092,851 | ||||||||||||||||||
Non-Controlling Interests | — | — | — | — | — | — | ||||||||||||||||||
Total Capital | 56,471,391 | 55,714,966 | 17,169,307 | 22,828,299 | 9,265,527 | 13,092,851 | ||||||||||||||||||
Total Liabilities and Capital | $ | 59,238,419 | $ | 56,164,247 | $ | 17,425,839 | $ | 23,001,628 | $ | 11,023,280 | $ | 13,195,609 | ||||||||||||
Units Outstanding | ||||||||||||||||||||||||
Class 1 | 44,569 | 102,269 | 47,531 | 73,747 | N/A | N/A | ||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | 20,628 | 42,778 | ||||||||||||||||||
Class 2 | 287,586 | 267,240 | 43,933 | 62,347 | 6,240 | 7,522 | ||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | 9,115 | 12,127 | ||||||||||||||||||
Class 3 | 105,869 | 77,316 | 51,297 | 56,230 | 33,685 | 44,702 | ||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | 10,925 | 7,965 | ||||||||||||||||||
Net Asset Value per Unit | ||||||||||||||||||||||||
Class 1 | $ | 116.43 | $ | 115.52 | $ | 112.80 | $ | 112.87 | N/A | N/A | ||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | $ | 92.78 | $ | 94.76 | ||||||||||||||||
Class 2 | $ | 132.94 | $ | 129.60 | $ | 128.78 | $ | 126.60 | $ | 129.56 | $ | 132.10 | ||||||||||||
Class 2a | N/A | N/A | N/A | N/A | $ | 105.67 | $ | 106.19 | ||||||||||||||||
Class 3 | $ | 123.27 | $ | 119.87 | $ | 119.89 | $ | 117.57 | $ | 130.80 | $ | 132.14 | ||||||||||||
Class 3a | N/A | N/A | N/A | N/A | $ | 107.50 | $ | 106.86 |
Frontier | Frontier | Frontier | ||||||||||||||||||||||
Diversified Fund | Masters Fund | Long/Short Commodity Fund | ||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2023 | 12/31/2022 | 12/31/2023 | 12/31/2022 | |||||||||||||||||||
ASSETS | ||||||||||||||||||||||||
Cash and cash equivalents | $ | 98,119 | $ | 46,604 | $ | 25,514 | $ | 18,560 | $ | 50,991 | $ | 38,703 | ||||||||||||
U.S. Treasury securities, at fair value | 5,543 | 42,198 | 1,441 | 16,805 | 2,881 | 35,044 | ||||||||||||||||||
Investments in private investment companies, at fair value | 1,386,373 | 2,779,566 | 341,384 | 705,739 | 675,568 | 1,281,982 | ||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 33,061 | 28,671 | 8,598 | 11,418 | 17,181 | 23,810 | ||||||||||||||||||
Interest receivable | 386 | 1,051 | 100 | 419 | 201 | 873 | ||||||||||||||||||
Total Assets | $ | 1,523,482 | $ | 2,898,090 | $ | 377,037 | $ | 752,941 | $ | 746,822 | $ | 1,380,412 | ||||||||||||
LIABILITIES & CAPITAL | ||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||
Interest payable to Managing Owner | $ | - | $ | - | $ | - | $ | - | $ | 40 | $ | 53 | ||||||||||||
Redemptions payable | 21,822 | - | 2,601 | 19,922 | 485 | 12,788 | ||||||||||||||||||
Service fees payable to Managing Owner | 46 | 85 | 17 | 43 | 8 | 21 | ||||||||||||||||||
Trading fees payable to Managing Owner | 4,735 | 9,653 | 2,617 | 4,443 | 1,896 | 3,447 | ||||||||||||||||||
Subscriptions in advance for service fee rebates | 22,650 | 22,650 | 31,725 | 31,725 | 393 | 393 | ||||||||||||||||||
Other liabilities | 441 | 1,730 | 115 | 688 | 231 | 1,437 | ||||||||||||||||||
Total Liabilities | 49,694 | 34,118 | 37,075 | 56,821 | 3,053 | 18,139 | ||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||
Managing Owner - Class 2 | 6,030 | 8,523 | 3,523 | 5,100 | 492 | 3,065 | ||||||||||||||||||
Managing Owner - Class 2a | - | - | - | - | 6,271 | 9,328 | ||||||||||||||||||
Managing Owner - Class 3 | 9,964 | 20,433 | 838 | 2,214 | - | - | ||||||||||||||||||
Managing Owner - Class 3a | - | - | - | - | 923 | 1,369 | ||||||||||||||||||
Limited Owner - Class 2 | 195,936 | 392,656 | 72,663 | 177,102 | 7,743 | 25,648 | ||||||||||||||||||
Limited Owner - Class 2a | - | - | - | - | 33,166 | 80,689 | ||||||||||||||||||
Limited Owner - Class 3 | 1,261,858 | 2,442,360 | 262,938 | 511,704 | 590,578 | 998,095 | ||||||||||||||||||
Limited Owner - Class 3a | - | - | - | - | 104,596 | 244,079 | ||||||||||||||||||
Total Owners’ Capital | 1,473,788 | 2,863,972 | 339,962 | 696,120 | 743,769 | 1,362,273 | ||||||||||||||||||
Total Capital | 1,473,788 | 2,863,972 | 339,962 | 696,120 | 743,769 | 1,362,273 | ||||||||||||||||||
Total Liabilities and Capital | $ | 1,523,482 | $ | 2,898,090 | $ | 377,037 | $ | 752,941 | $ | 746,822 | $ | 1,380,412 | ||||||||||||
Units Outstanding | ||||||||||||||||||||||||
Class 2 | 2,962 | 4,163 | 1,165 | 1,925 | 113 | 262 | ||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | 816 | 1,251 | ||||||||||||||||||
Class 3 | 19,765 | 27,146 | 4,257 | 5,745 | 7,739 | 8,677 | ||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | 2,052 | 3,217 | ||||||||||||||||||
Net Asset Value per Unit | ||||||||||||||||||||||||
Class 2 | $ | 68.18 | $ | 96.37 | $ | 65.39 | $ | 94.64 | $ | 72.74 | $ | 109.65 | ||||||||||||
Class 2a | N/A | N/A | N/A | N/A | $ | 48.36 | $ | 71.93 | ||||||||||||||||
Class 3 | $ | 64.35 | $ | 90.72 | $ | 61.96 | $ | 89.45 | $ | 76.31 | $ | 115.03 | ||||||||||||
Class 3a | N/A | N/A | N/A | N/A | $ | 51.42 | $ | 76.29 |
The accompanying notes are an integral part of these financial statements.
F-4
The Series of ContentsFrontier Funds
Consolidated Statements of Financial Condition
December 31, 2023 and December 31, 2022
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||
12/31/2016 | 12/31/2015 | 12/31/2016 | 12/31/2015 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 1,083,579 | $ | 4,895,183 | $ | 432,021 | $ | 220,371 | ||||||||
U.S. Treasury securities, at fair value | 9,770,117 | 41,148,676 | 2,912,611 | 1,852,429 | ||||||||||||
Receivable from futures commission merchants | 6,647,098 | 7,517,903 | 8,208,218 | 13,281,151 | ||||||||||||
Open trade equity, at fair value | 237,661 | 11,530 | 686,022 | 462,339 | ||||||||||||
Swap contracts, at fair value | 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 | 5,965,331 | 17,623,968 | 3,910,866 | 4,147,840 | ||||||||||||
Interest receivable | 182,355 | 714,434 | 54,363 | 32,153 | ||||||||||||
Receivable from related parties | 346,875 | — | 103,407 | — | ||||||||||||
Other assets | — | 12 | — | 3 | ||||||||||||
Total Assets | $ | 88,477,739 | $ | 91,069,226 | $ | 16,307,508 | $ | 19,996,286 | ||||||||
LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Pending owner additions | $ | — | $ | 15,538 | $ | — | $ | 1,335 | ||||||||
Owner redemptions payable | 780,970 | 440,090 | 134,579 | 16,670 | ||||||||||||
Incentive fees payable to Managing Owner | — | 106,563 | — | — | ||||||||||||
Management fees payable to Managing Owner | 25,217 | 80,574 | 21,219 | 22,884 | ||||||||||||
Interest payable to Managing Owner | 21,606 | 77,642 | 3,518 | 3,549 | ||||||||||||
Service fees payable to Managing Owner | 129,956 | 145,576 | 25,966 | 29,092 | ||||||||||||
Trading fees payable to Managing Owner | 203,324 | 57,450 | 18,129 | 8,515 | ||||||||||||
Risk analysis fees payable | 1,155 | — | 2,303 | — | ||||||||||||
Payables to related parties | — | 24,069 | — | 1,495 | ||||||||||||
Advance on unrealized Swap Appreciation | 4,926,555 | — | — | — | ||||||||||||
Other liabilities | 89,585 | — | 11,939 | 156 | ||||||||||||
Total Liabilities | 6,178,368 | 947,502 | 217,653 | 83,696 | ||||||||||||
CAPITAL | ||||||||||||||||
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 | 82,299,371 | �� | 88,969,983 | 11,982,039 | 13,096,055 | |||||||||||
Non-Controlling Interests | — | 1,151,741 | 4,107,816 | 6,816,535 | ||||||||||||
Total Capital | 82,299,371 | 90,121,724 | 16,089,855 | 19,912,590 | ||||||||||||
Total Liabilities and Capital | $ | 88,477,739 | $ | 91,069,226 | $ | 16,307,508 | $ | 19,996,286 | ||||||||
Units Outstanding | ||||||||||||||||
Class 1 | 422,529 | 488,680 | 112,059 | 129,612 | ||||||||||||
Class 1AP | 4,671 | 5,351 | 296 | 503 | ||||||||||||
Class 2 | 114,886 | 126,375 | 10,514 | 10,696 | ||||||||||||
Class 2a | 3,054 | 3,539 | N/A | N/A | ||||||||||||
Class 3a | 10,380 | 15,776 | N/A | N/A | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 134.80 | $ | 128.03 | $ | 94.06 | $ | 90.35 | ||||||||
Class 1AP | $ | 144.97 | $ | 133.59 | $ | 101.16 | $ | 94.28 | ||||||||
Class 2 | $ | 194.99 | $ | 179.69 | $ | 134.25 | $ | 125.11 | ||||||||
Class 2a | $ | 169.05 | $ | 154.88 | N/A | N/A | ||||||||||
Class 3a | $ | 168.49 | $ | 154.37 | N/A | N/A |
Frontier Balanced Fund | Frontier Select Fund | |||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2023 | 12/31/2022 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 230,796 | $ | 221,344 | $ | 91,807 | $ | 33,183 | ||||||||
U.S. Treasury securities, at fair value | 13,038 | 200,417 | 5,186 | 30,046 | ||||||||||||
Open trade equity, at fair value | - | 1,670 | - | - | ||||||||||||
Receivable from futures commission merchants | 769,384 | 320,241 | - | - | ||||||||||||
Investments in private investment companies, at fair value | 4,430,486 | 8,944,014 | 688,250 | 1,449,919 | ||||||||||||
Investments in unconsolidated trading companies, at fair value | 77,766 | 136,169 | 30,934 | 20,414 | ||||||||||||
Interest receivable | 909 | 4,991 | 362 | 748 | ||||||||||||
Total Assets | $ | 5,522,379 | $ | 9,828,846 | $ | 816,539 | $ | 1,534,310 | ||||||||
LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Open trade deficit, at fair value | $ | 14,434 | $ | - | $ | - | $ | - | ||||||||
Redemptions payable | - | 35,051 | - | - | ||||||||||||
Incentive fees payable to Managing Owner | 692 | 692 | - | - | ||||||||||||
Management fees payable to Managing Owner | 2,440 | 1,573 | - | - | ||||||||||||
Interest payable to Managing Owner | 995 | 2,306 | 308 | 342 | ||||||||||||
Service fees payable to Managing Owner | 8,793 | 16,784 | 1,878 | 3,630 | ||||||||||||
Trading fees payable to Managing Owner | 20,160 | 36,946 | 2,305 | 4,454 | ||||||||||||
Risk analysis fees payable | 11,307 | 10,442 | - | - | ||||||||||||
Subscriptions in advance for service fee rebates | 405,698 | 391,457 | 22,558 | 22,046 | ||||||||||||
Other liabilities | 735 | 6,867 | 415 | 1,232 | ||||||||||||
Total Liabilities | 465,254 | 502,118 | 27,464 | 31,704 | ||||||||||||
CAPITAL | ||||||||||||||||
Managing Owner - Class 2 | 34,646 | 53,242 | 8,611 | 15,168 | ||||||||||||
Managing Owner - Class 2a | 18,194 | 43,282 | - | - | ||||||||||||
Limited Owner - Class 1 | 3,815,001 | 7,134,145 | 733,700 | 1,417,113 | ||||||||||||
Limited Owner - Class 1AP | 48,720 | 74,869 | 7,018 | 10,554 | ||||||||||||
Limited Owner - Class 2 | 855,248 | 1,549,544 | 39,746 | 59,771 | ||||||||||||
Limited Owner - Class 3a | 285,316 | 471,646 | - | - | ||||||||||||
Total Owners’ Capital | 5,057,125 | 9,326,728 | 789,075 | 1,502,606 | ||||||||||||
Total Capital | 5,057,125 | 9,326,728 | 789,075 | 1,502,606 | ||||||||||||
Total Liabilities and Capital | $ | 5,522,379 | $ | 9,828,846 | $ | 816,539 | $ | 1,534,310 | ||||||||
Units Outstanding | ||||||||||||||||
Class 1 | 60,916 | 71,936 | 15,961 | 19,894 | ||||||||||||
Class 1AP | 587 | 587 | 115 | 115 | ||||||||||||
Class 2 | 7,950 | 9,318 | 598 | 616 | ||||||||||||
Class 2a | 187 | 290 | N/A | N/A | ||||||||||||
Class 3a | 2,938 | 3,166 | N/A | N/A | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 62.63 | $ | 99.17 | $ | 45.97 | $ | 71.23 | ||||||||
Class 1AP | $ | 83.01 | $ | 127.56 | $ | 60.98 | $ | 91.71 | ||||||||
Class 2 | $ | 111.93 | $ | 172.01 | $ | 80.92 | $ | 121.70 | ||||||||
Class 2a | $ | 97.44 | $ | 149.47 | N/A | N/A | ||||||||||
Class 3a | $ | 97.10 | $ | 148.96 | N/A | N/A |
The accompanying notes are an integral part of these financial statements.
F-5
The Series of ContentsFrontier Funds
Consolidated Statements of Financial Condition
December 31, 2023 and December 31, 2022
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||
12/31/2016 | 12/31/2015 | 12/31/2016 | 12/31/2015 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 1,628,208 | $ | 2,928,616 | $ | 382,499 | $ | 655,319 | ||||||||
U.S. Treasury securities, at fair value | 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 | 4,072,450 | 297,554 | 2,744,640 | 1,405,586 | ||||||||||||
Swap contracts, at fair value | — | — | 8,391,414 | 7,960,268 | ||||||||||||
Interest receivable | 289,933 | 427,511 | 69,095 | 95,612 | ||||||||||||
Receivable from related parties | 551,508 | — | 131,430 | — | ||||||||||||
Other assets | — | 2 | — | 2 | ||||||||||||
Total Assets | $ | 41,295,183 | $ | 41,615,649 | $ | 15,420,968 | $ | 15,625,364 | ||||||||
LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Pending owner additions | $ | — | $ | 13,524 | $ | — | $ | 3,251 | ||||||||
Owner redemptions payable | 23,162 | 51,671 | — | 84,355 | ||||||||||||
Management fees payable to Managing Owner | 256,824 | 93,171 | 56,501 | 21,490 | ||||||||||||
Interest payable to Managing Owner | 30,730 | 49,624 | 7,420 | 11,066 | ||||||||||||
Service fees payable to Managing Owner | 39,370 | 44,422 | 16,457 | 18,807 | ||||||||||||
Trading fees payable to Managing Owner | 55,142 | 22,405 | 17,953 | 7,457 | ||||||||||||
Risk analysis fees payable | 12,215 | — | — | — | ||||||||||||
Payables to related parties | — | 31,638 | — | 4,416 | ||||||||||||
Advance on unrealized Swap Appreciation | — | — | 1,900,000 | — | ||||||||||||
Other liabilities | 2,880 | — | 18,085 | — | ||||||||||||
Total Liabilities | 420,323 | 306,455 | 2,016,416 | 150,842 | ||||||||||||
CAPITAL | ||||||||||||||||
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 | 31,766,526 | 34,941,543 | 10,257,273 | 11,540,602 | ||||||||||||
Non-Controlling Interests | 9,108,334 | 6,367,651 | 3,147,279 | 3,933,920 | ||||||||||||
Total Capital | 40,874,860 | 41,309,194 | 13,404,552 | 15,474,522 | ||||||||||||
Total Liabilities and Capital | $ | 41,295,183 | $ | 41,615,649 | $ | 15,420,968 | $ | 15,625,364 | ||||||||
Units Outstanding | ||||||||||||||||
Class 1 | 131,283 | 140,239 | 62,779 | 69,436 | ||||||||||||
Class 1AP | 214 | 214 | 45 | 452 | ||||||||||||
Class 2 | 54,251 | 54,629 | 15,946 | 16,441 | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 154.51 | $ | 164.17 | $ | 119.58 | $ | 124.27 | ||||||||
Class 1AP | $ | 166.17 | $ | 171.31 | $ | 128.60 | $ | 129.67 | ||||||||
Class 2 | $ | 210.98 | $ | 217.51 | $ | 172.10 | $ | 173.54 |
Frontier Global Fund | Frontier Heritage Fund | |||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2023 | 12/31/2022 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 85,804 | $ | 26,333 | $ | 88,561 | $ | 45,466 | ||||||||
U.S. Treasury securities, at fair value | 4,847 | 23,843 | 5,003 | 41,167 | ||||||||||||
Investments in private investment companies, at fair value | 1,156,895 | 2,943,814 | 1,634,716 | 3,070,641 | ||||||||||||
Investments in unconsolidated trading companies, at fair value | 28,911 | 16,200 | 29,840 | 27,970 | ||||||||||||
Interest receivable | 338 | 594 | 349 | 1,025 | ||||||||||||
Total Assets | $ | 1,276,795 | $ | 3,010,784 | $ | 1,758,469 | $ | 3,186,269 | ||||||||
LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Interest payable to Managing Owner | $ | 420 | $ | 302 | $ | 436 | $ | 447 | ||||||||
Service fees payable to Managing Owner | 2,704 | 6,437 | 3,484 | 6,432 | ||||||||||||
Trading fees payable to Managing Owner | 5,301 | 12,480 | 6,943 | 11,679 | ||||||||||||
Subscriptions in advance for service fee rebates | 164,567 | 162,385 | 86,405 | 79,667 | ||||||||||||
Other liabilities | 387 | 977 | 401 | 1,687 | ||||||||||||
Total Liabilities | 173,379 | 182,581 | 97,669 | 99,912 | ||||||||||||
CAPITAL | ||||||||||||||||
Managing Owner - Class 2 | 11,205 | 28,821 | 17,591 | 31,125 | ||||||||||||
Limited Owner - Class 1 | 1,069,125 | 2,689,125 | 1,483,520 | 2,830,832 | ||||||||||||
Limited Owner - Class 1AP | - | - | 9,007 | 12,657 | ||||||||||||
Limited Owner - Class 2 | 23,086 | 110,257 | 150,682 | 211,743 | ||||||||||||
Total Owners’ Capital | 1,103,416 | 2,828,203 | 1,660,800 | 3,086,357 | ||||||||||||
Total Capital | 1,103,416 | 2,828,203 | 1,660,800 | 3,086,357 | ||||||||||||
Total Liabilities and Capital | $ | 1,276,795 | $ | 3,010,784 | $ | 1,758,469 | $ | 3,186,269 | ||||||||
Units Outstanding | ||||||||||||||||
Class 1 | 7,943 | 14,514 | 13,937 | 18,366 | ||||||||||||
Class 1AP | - | - | 64 | 64 | ||||||||||||
Class 2 | 154 | 468 | 890 | 915 | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 134.60 | $ | 185.27 | $ | 106.45 | $ | 154.14 | ||||||||
Class 1AP | N/A | N/A | $ | 141.20 | $ | 198.42 | ||||||||||
Class 2 | $ | 222.53 | $ | 297.25 | $ | 188.97 | $ | 265.55 |
The accompanying notes are an integral part of these financial statements.
F-6
The Series of ContentsFrontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2023
Frontier | Frontier | Frontier | ||||||||||||||||||||||
Diversified Fund | Masters Fund | Long/Short Commodity Fund | ||||||||||||||||||||||
% of Total Capital | % of Total Capital | % of Total Capital | ||||||||||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||||||||||
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | $ | 181,025 | 12.28 | % | $ | - | 0.00 | % | $ | - | 0.00 | % | ||||||||||||
Galaxy Plus Fund - QIM Feeder Fund (526) LLC | 117,743 | 7.99 | % | - | 0.00 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC | 107,501 | 7.29 | % | 83,565 | 24.58 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Quest Feeder Fund (517) LLC | 403,570 | 27.38 | % | - | 0.00 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | 332,437 | 22.56 | % | 184,610 | 54.30 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | 244,097 | 16.56 | % | 73,209 | 21.53 | % | 195,171 | 26.24 | % | |||||||||||||||
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) | - | 0.00 | % | - | 0.00 | % | 149,233 | 20.06 | % | |||||||||||||||
Galaxy Plus Fund - LRR Feeder Fund (522) LLC | - | 0.00 | % | - | 0.00 | % | 331,164 | 44.53 | % | |||||||||||||||
Total Private Investment Companies | $ | 1,386,373 | 94.06 | % | $ | 341,384 | 100.41 | % | $ | 675,568 | 90.83 | % | ||||||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 33,061 | 2.24 | % | $ | 8,598 | 2.53 | % | $ | 17,181 | 2.31 | % | ||||||||||||
Total Investment in Unconsolidated Trading Companies | $ | 33,061 | 2.24 | % | $ | 8,598 | 2.53 | % | $ | 17,181 | 2.31 | % |
U.S. TREASURY SECURITIES (1)
Fair Value | Fair Value | Fair Value | ||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 5,543 | 0.38 | % | $ | 1,441 | 0.42 | % | $ | 2,881 | 0.39 | % | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | Face Value | |||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 5,333 | $ | 1,387 | $ | 2,771 | ||||||||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | Cost | |||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 5,684 | $ | 1,478 | $ | 2,954 |
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 |
(2) |
See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
F-7
The Series of ContentsFrontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2023
Frontier | Frontier | |||||||||||||||
Balanced Fund | Select Fund | |||||||||||||||
% of Total Capital | % of Total Capital | |||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||
SHORT FUTURES CONTRACTS* | ||||||||||||||||
Various base metals futures contracts (U.S.) | $ | (14,434 | ) | -0.29 | % | - | 0.00 | % | ||||||||
Total Short Futures Contracts | $ | (14,434 | ) | -0.29 | % | $ | - | 0.00 | % | |||||||
Total Open Trade Equity (Deficit) | $ | (14,434 | ) | -0.29 | % | $ | - | 0.00 | % | |||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | $ | 256,616 | 5.07 | % | $ | - | 0.00 | % | ||||||||
Galaxy Plus Fund - QIM Feeder Fund (526) LLC | 510,709 | 10.10 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC | 573,404 | 11.34 | % | 322,247 | 40.84 | % | ||||||||||
Galaxy Plus Fund - Quest Feeder Fund (517) LLC | 1,174,679 | 23.23 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | 1,255,982 | 24.84 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | 659,096 | 13.03 | % | 366,003 | 46.38 | % | ||||||||||
Total Private Investment Companies | $ | 4,430,486 | 87.61 | % | $ | 688,250 | 87.22 | % | ||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 77,766 | 1.54 | % | $ | 30,934 | 3.92 | % | ||||||||
Total Investment in Unconsolidated Trading Companies | $ | 77,766 | 1.54 | % | $ | 30,934 | 3.92 | % |
U.S. TREASURY SECURITIES (1)
Fair Value | Fair Value | |||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 13,038 | 0.26 | % | $ | 5,186 | 0.66 | % | ||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 12,543 | $ | 4,990 | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 13,370 | $ | 5,319 |
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 |
(2) |
See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
F-8
The Series of ContentsFrontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2023
Frontier | Frontier | |||||||||||||||
Global Fund | Heritage Fund | |||||||||||||||
% of Total Capital | % of Total Capital | |||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | $ | 1,156,895 | 104.85 | % | $ | 1,415,114 | 85.21 | % | ||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | - | - | 219,602 | 13.22 | % | |||||||||||
Total Private Investment Companies | $ | 1,156,895 | 104.85 | % | $ | 1,634,716 | 98.43 | % | ||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 28,911 | 2.62 | % | $ | 29,840 | 1.80 | % | ||||||||
Total Investment in Unconsolidated Trading Companies | $ | 28,911 | 2.62 | % | $ | 29,840 | 1.80 | % |
U.S. TREASURY SECURITIES (1)
Fair Value | Fair Value | |||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 4,847 | 0.44 | % | $ | 5,003 | 0.30 | % | ||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 4,663 | $ | 4,813 | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 4,971 | $ | 5,131 |
Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1) | See Note 2 to the Financial Statements. |
(2) | See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2022
Frontier | Frontier | Frontier Long/Short | ||||||||||||||||||||||
Diversified Fund | Masters Fund | Commodity Fund | ||||||||||||||||||||||
% of Total Capital | % of Total Capital | % of Total Capital | ||||||||||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||||||||||
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | $ | 211,143 | 7.37 | % | $ | - | 0.00 | % | $ | - | 0.00 | % | ||||||||||||
Galaxy Plus Fund - QIM Feeder Fund (526) LLC | 453,405 | 15.83 | % | - | 0.00 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC | 212,180 | 7.41 | % | 164,320 | 23.60 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Quest Feeder Fund (517) LLC | 667,783 | 23.32 | % | - | 0.00 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | 754,702 | 26.35 | % | 313,172 | 44.99 | % | - | 0.00 | % | |||||||||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | 480,353 | 16.77 | % | 228,247 | 32.79 | % | 455,615 | 33.45 | % | |||||||||||||||
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) | - | 0.00 | % | - | 0.00 | % | 252,472 | 18.53 | % | |||||||||||||||
Galaxy Plus Fund - LRR Feeder Fund (522) LLC | - | 0.00 | % | - | 0.00 | % | 573,895 | 42.13 | % | |||||||||||||||
Total Private Investment Companies | $ | 2,779,566 | 97.05 | % | $ | 705,739 | 101.38 | % | $ | 1,281,982 | 94.11 | % | ||||||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 28,671 | 1.00 | % | $ | 11,418 | 1.64 | % | $ | 23,810 | 1.75 | % | ||||||||||||
Total Investment in Unconsolidated Trading Companies | $ | 28,671 | 1.00 | % | $ | 11,418 | 1.64 | % | $ | 23,810 | 1.75 | % |
U.S. TREASURY SECURITIES (1)
Fair Value | Fair Value | Fair Value | ||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 42,198 | 1.47 | % | $ | 16,805 | 2.41 | % | $ | 35,044 | 2.57 | % | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | Face Value | |||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 39,704 | $ | 15,812 | $ | 32,973 | ||||||||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | Cost | |||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 42,270 | $ | 16,834 | $ | 35,105 |
(1) | See Note 2 to the Financial Statements. |
See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2022
Frontier | Frontier | |||||||||||||||
Balanced Fund | Select Fund | |||||||||||||||
% of Total Capital | % of Total Capital | |||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||
LONG FUTURES CONTRACTS* | ||||||||||||||||
Various agriculture futures contracts (U.S.) | $ | 1,590 | 0.02 | % | $ | - | 0.00 | % | ||||||||
Various base metals futures contracts (U.S.) | 897 | 0.01 | % | - | 0.00 | % | ||||||||||
Various currency futures contracts (U.S.) | (230 | ) | 0.00 | % | - | 0.00 | % | |||||||||
Total Long Futures Contracts | $ | 2,257 | 0.03 | % | $ | - | 0.00 | % | ||||||||
SHORT FUTURES CONTRACTS* | ||||||||||||||||
Various agriculture futures contracts (Europe) | $ | (227 | ) | 0.00 | % | $ | - | 0.00 | % | |||||||
Various currency futures contracts (Europe) | 67 | 0.00 | % | - | 0.00 | % | ||||||||||
Various currency futures contracts (Far East) | (55 | ) | 0.00 | % | - | 0.00 | % | |||||||||
Various currency futures contracts (U.S.) | (216 | ) | 0.00 | % | - | 0.00 | % | |||||||||
Various interest rates futures contracts (U.S.) | (50 | ) | 0.00 | % | - | 0.00 | % | |||||||||
Various stock index futures contracts (Far East) | (106 | ) | 0.00 | % | - | 0.00 | % | |||||||||
Total Short Futures Contracts | $ | (587 | ) | 0.00 | % | $ | - | 0.00 | % | |||||||
Total Open Trade Equity (Deficit) | $ | 1,670 | 0.03 | % | $ | - | 0.00 | % | ||||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC | $ | 352,115 | 3.78 | % | $ | - | 0.00 | % | ||||||||
Galaxy Plus Fund - QIM Feeder Fund (526) LLC | 1,803,881 | 19.34 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC | 1,285,974 | 13.79 | % | 492,107 | 32.75 | % | ||||||||||
Galaxy Plus Fund - Quest Feeder Fund (517) LLC | 1,747,568 | 18.74 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | 1,900,887 | 20.38 | % | - | 0.00 | % | ||||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | 1,853,589 | 19.87 | % | 957,812 | 63.74 | % | ||||||||||
Total Private Investment Companies | $ | 8,944,014 | 95.90 | % | $ | 1,449,919 | 96.49 | % | ||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 136,169 | 1.46 | % | $ | 20,414 | 1.36 | % | ||||||||
Total Investment in Unconsolidated Trading Companies | $ | 136,169 | 1.46 | % | $ | 20,414 | 1.36 | % |
U.S. TREASURY SECURITIES (1)
Fair Value | Fair Value | |||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 200,417 | 2.15 | % | $ | 30,046 | 2.00 | % | ||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 188,573 | $ | 28,270 | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 200,764 | $ | 30,098 |
* | Except for those items disclosed, no individual futures, or forwards position constituted greater than 1 percent of |
(1) | See Note 2 to the Financial Statements. |
See Note 5 to the Financial Statements. |
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 |
The accompanying notes are an integral part of these financial statements.
The Series of Frontier Funds
Consolidated Condensed Schedules of Investments
December 31, 2022
Frontier Global | Frontier | |||||||||||||||
Fund | Heritage Fund | |||||||||||||||
% of Total Capital | % of Total Capital | |||||||||||||||
Description | Fair Value | (Net Asset Value) | Fair Value | (Net Asset Value) | ||||||||||||
PRIVATE INVESTMENT COMPANIES (2) | ||||||||||||||||
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC | $ | 2,943,814 | 104.09 | % | $ | 2,363,685 | 76.58 | % | ||||||||
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC | - | - | 706,956 | 22.91 | % | |||||||||||
Total Private Investment Companies | $ | 2,943,814 | 104.09 | % | $ | 3,070,641 | 99.49 | % | ||||||||
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2) | ||||||||||||||||
Frontier Trading Company XXXVIII, LLC | $ | 16,200 | 0.57 | % | $ | 27,970 | 0.91 | % | ||||||||
Total Investment in Unconsolidated Trading Companies | $ | 16,200 | 0.57 | % | $ | 27,970 | 0.91 | % | ||||||||
U.S. TREASURY SECURITIES (1) |
Fair Value | Fair Value | |||||||||||||||
US Treasury Note 6.875% due 08/15/2025 | $ | 23,843 | 0.84 | % | $ | 41,167 | 1.33 | % | ||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 22,434 | $ | 38,734 | ||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (1) | $ | 23,885 | $ | 41,238 |
* | 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 |
(2) |
See Note 5 to the Financial Statements. |
The accompanying notes are an integral part of these financial statements.
F-9
The Series of ContentsFrontier Funds
Consolidated Statements of Operations
For the Years Ended December 31, 2023, 2022, 2021
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 |
Frontier Diversified Fund | Frontier Masters Fund | Frontier Long/ Short Commodity Fund | ||||||||||||||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest - net | $ | 4,856 | $ | 6,281 | $ | 4,550 | $ | 2,575 | $ | 2,815 | $ | 3,141 | $ | 3,665 | $ | 3,427 | $ | 3,722 | ||||||||||||||||||
Total Income | 4,856 | 6,281 | 4,550 | 2,575 | 2,815 | 3,141 | 3,665 | 3,427 | 3,722 | |||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||
Incentive Fees (rebate) | - | (13,788 | ) | - | - | - | - | (5,126 | ) | - | - | |||||||||||||||||||||||||
Service Fees - Class 1 | 797 | 1,128 | 2,118 | 310 | 563 | 628 | 164 | 270 | 228 | |||||||||||||||||||||||||||
Due Diligence Fees | 2,590 | 4,073 | 4,304 | 641 | 1,004 | 1,032 | 281 | 450 | 381 | |||||||||||||||||||||||||||
Trading Fees | 80,028 | 123,260 | 125,429 | 36,622 | 55,575 | 52,957 | 30,053 | 41,502 | 38,961 | |||||||||||||||||||||||||||
Total Expenses | 83,415 | 114,673 | 131,851 | 37,573 | 57,142 | 54,617 | 25,372 | 42,222 | 39,570 | |||||||||||||||||||||||||||
Investment (loss) - net | (78,559 | ) | (108,392 | ) | (127,301 | ) | (34,998 | ) | (54,327 | ) | (51,476 | ) | (21,707 | ) | (38,795 | ) | (35,848 | ) | ||||||||||||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||||||||||||||
Net unrealized gain/(loss) on private investment companies | (689,973 | ) | 168,307 | 98,954 | (184,930 | ) | 192,089 | 64,947 | (391,844 | ) | 243,664 | 53,498 | ||||||||||||||||||||||||
Net realized gain/(loss) on private investment companies | 28,768 | 251,470 | 98,105 | 16,030 | 89,888 | 24,753 | (3,650 | ) | 56,892 | 47,148 | ||||||||||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | (4,347 | ) | (7,623 | ) | (4,809 | ) | (2,274 | ) | (3,779 | ) | (3,365 | ) | (3,178 | ) | (5,686 | ) | (5,738 | ) | ||||||||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (317 | ) | (2,303 | ) | (832 | ) | (798 | ) | (89 | ) | 227 | (4,078 | ) | (653 | ) | 1,187 | ||||||||||||||||||||
Change in fair value of investments in unconsolidated trading companies | (1,912 | ) | 22,808 | 5,041 | 1,339 | 8,287 | 12,521 | 9,033 | 12,989 | 14,025 | ||||||||||||||||||||||||||
Net gain/(loss) on investments | (667,781 | ) | 432,659 | 196,459 | (170,633 | ) | 286,396 | 99,083 | (393,717 | ) | 307,206 | 110,120 | ||||||||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (746,340 | ) | 324,267 | 69,158 | (205,631 | ) | 232,069 | 47,607 | (415,424 | ) | 268,411 | 74,272 | ||||||||||||||||||||||||
Less: Operations attributable to non-controlling interests | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (746,340 | ) | $ | 324,267 | $ | 69,158 | $ | (205,631 | ) | $ | 232,069 | $ | 47,607 | $ | (415,424 | ) | $ | 268,411 | $ | 74,272 | |||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||||||||||||||||||||||
Class 1 | N/A | N/A | $ | (72.68 | ) | N/A | N/A | $ | (55.18 | ) | N/A | N/A | N/A | |||||||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class 2 | $ | (28.19 | ) | $ | 7.39 | $ | 0.03 | $ | (29.25 | ) | $ | 24.47 | $ | 2.63 | $ | (36.91 | ) | $ | 19.68 | $ | 3.98 | |||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | N/A | N/A | $ | (23.57 | ) | $ | 13.18 | $ | 3.46 | |||||||||||||||||||||||
Class 3 | $ | (26.37 | ) | $ | 7.16 | $ | 0.23 | $ | (27.49 | ) | $ | 23.30 | $ | 2.63 | $ | (38.72 | ) | $ | 20.65 | $ | 4.17 | |||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | N/A | N/A | $ | (24.87 | ) | $ | 14.13 | $ | 3.79 |
The accompanying notes are an integral part of these financial statements.
F-10
The Series of Contentsthe Frontier Funds
Consolidated Statements of Operations
For the Years Ended December 31, 2023, 2022, 2021
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 |
Frontier Balanced Fund | Frontier Select Fund | |||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | |||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest - net | $ | 4,784 | $ | - | $ | 265 | $ | - | $ | - | $ | - | ||||||||||||
Total Income/(loss) | 4,784 | - | 265 | - | - | - | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Incentive Fees (rebate) | - | 213,064 | 158,775 | - | - | - | ||||||||||||||||||
Interest - net | - | 1,626 | - | - | - | - | ||||||||||||||||||
Management Fees | 16,237 | 18,115 | 18,441 | - | - | - | ||||||||||||||||||
Service Fees - Class 1 | 163,312 | 263,174 | 258,209 | 30,349 | 53,197 | 46,410 | ||||||||||||||||||
Risk analysis Fees | 6,391 | 5,434 | 5,532 | - | - | - | ||||||||||||||||||
Trading Fees | 316,070 | 475,553 | 435,300 | 35,241 | 60,136 | 46,943 | ||||||||||||||||||
Total Expenses | 502,010 | 976,966 | 876,257 | 65,590 | 113,333 | 93,353 | ||||||||||||||||||
Investment (loss) - net | (497,226 | ) | (976,966 | ) | (875,992 | ) | (65,590 | ) | (113,333 | ) | (93,353 | ) | ||||||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | (322,226 | ) | 807,627 | 872,699 | - | - | - | |||||||||||||||||
Net unrealized gain/(loss) on private investment companies | (2,487,297 | ) | 1,673,486 | 171,769 | (514,228 | ) | 345,213 | 3,095 | ||||||||||||||||
Net realized gain/(loss) on private investment companies | 176,701 | 666,011 | 542,771 | 73,108 | (42,378 | ) | 233,656 | |||||||||||||||||
Net change in open trade equity/(deficit) | (16,104 | ) | (13,166 | ) | (89,306 | ) | - | - | - | |||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | (12,643 | ) | (27,240 | ) | (11,502 | ) | (3,410 | ) | (4,946 | ) | (3,778 | ) | ||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (1,105 | ) | 8,388 | 1,499 | (1,243 | ) | (454 | ) | 852 | |||||||||||||||
Trading commissions | (10,773 | ) | (8,536 | ) | (15,423 | ) | - | - | - | |||||||||||||||
Change in fair value of investments in unconsolidated trading companies | (5,357 | ) | 44,604 | (32,534 | ) | 2,162 | 11,659 | 9,337 | ||||||||||||||||
Net gain/(loss) on investments | (2,678,804 | ) | 3,151,174 | 1,439,973 | (443,611 | ) | 309,094 | 243,162 | ||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (3,176,030 | ) | 2,174,208 | 563,981 | (509,201 | ) | 195,761 | 149,809 | ||||||||||||||||
Less: Operations attributable to non-controlling interests | - | - | - | - | - | - | ||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (3,176,030 | ) | $ | 2,174,208 | $ | 563,981 | $ | (509,201 | ) | $ | 195,761 | $ | 149,809 | ||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||||||||||
Class 1 | $ | (36.54 | ) | $ | 16.35 | $ | 2.89 | $ | (25.26 | ) | $ | 7.84 | $ | 4.84 | ||||||||||
Class 1AP | $ | (44.55 | ) | $ | 24.18 | $ | 6.57 | $ | (30.73 | ) | $ | 12.50 | $ | 8.22 | ||||||||||
Class 2 | $ | (60.08 | ) | $ | 32.61 | $ | 8.86 | $ | (40.78 | ) | $ | 16.60 | $ | 10.90 | ||||||||||
Class 2a | $ | (52.03 | ) | $ | 28.49 | $ | 7.78 | N/A | N/A | N/A | ||||||||||||||
Class 3a | $ | (51.86 | ) | $ | 28.39 | $ | 7.76 | N/A | N/A | N/A |
The accompanying notes are an integral part of these financial statements.
F-11
The Series of Contentsthe Frontier Funds
Consolidated Statements of Operations
For the Years Ended December 31, 2023, 2022, 2021
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 |
Frontier Global Fund | Frontier Heritage Fund | |||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | |||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest - net | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Total Income | - | - | - | - | - | - | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Service Fees - Class 1 | 53,005 | 84,304 | 76,678 | 63,432 | 92,170 | 68,400 | ||||||||||||||||||
Trading Fees | 97,276 | 148,079 | 140,017 | 105,647 | 140,566 | 101,631 | ||||||||||||||||||
Total Expenses | 150,281 | 232,383 | 216,695 | 169,079 | 232,736 | 170,031 | ||||||||||||||||||
Investment (loss) - net | (150,281 | ) | (232,383 | ) | (216,695 | ) | (169,079 | ) | (232,736 | ) | (170,031 | ) | ||||||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||
Net unrealized gain/(loss) on private investment companies | (992,864 | ) | 962,203 | (97,778 | ) | (951,657 | ) | 906,091 | 197,905 | |||||||||||||||
Net realized gain/(loss) on private investment companies | 605,108 | 671,439 | 292,612 | 290,112 | 461,959 | 156,731 | ||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 3,229 | (6,920 | ) | (2,415 | ) | (2,930 | ) | (6,217 | ) | (3,385 | ) | |||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | 948 | (1,779 | ) | (2,520 | ) | 6,298 | (1,944 | ) | (1,279 | ) | ||||||||||||||
Change in fair value of investments in unconsolidated trading companies | (21,944 | ) | 18,002 | 17,061 | (21,537 | ) | 16,570 | 15,525 | ||||||||||||||||
Net gain/(loss) on investments | (405,523 | ) | 1,642,945 | 206,960 | (679,714 | ) | 1,376,459 | 365,497 | ||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (555,804 | ) | 1,410,562 | (9,735 | ) | (848,793 | ) | 1,143,723 | 195,466 | |||||||||||||||
Less: Operations attributable to non-controlling interests | - | - | - | - | - | - | ||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (555,804 | ) | $ | 1,410,562 | $ | (9,735 | ) | $ | (848,793 | ) | $ | 1,143,723 | $ | 195,466 | |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||||||||||
Class 1 | $ | (50.67 | ) | $ | 75.82 | $ | (1.45 | ) | $ | (47.69 | ) | $ | 50.71 | $ | 7.33 | |||||||||
Class 1AP | N/A | N/A | N/A | $ | (57.22 | ) | $ | 69.23 | $ | 12.69 | ||||||||||||||
Class 2 | $ | (74.72 | ) | $ | 126.85 | $ | 2.84 | $ | (76.58 | ) | $ | 92.64 | $ | 16.99 |
The accompanying notes are an integral part of these financial statements.
F-12
The Series of ContentsFrontier Funds
Consolidated Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2023, 2022, 2021
Frontier Diversified Fund | Frontier Masters Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | Class 2 | Class 3 | Class 3 | Non- | Class 1 | Class 2 | Class 2 | Class 3 | Class 3 | Non- | |||||||||||||||||||||||||||||||||||||||||||||
Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | |||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2020 | $ | 154,260 | $ | 2,212 | $ | 464,012 | $ | 54,405 | $ | 3,508,082 | $ | - | $ | 4,182,971 | $ | 9,740 | $ | 6,265 | $ | 257,673 | $ | 7,167 | $ | 712,682 | $ | - | $ | 993,527 | ||||||||||||||||||||||||||||
Sale of Units | - | 6,000 | - | - | - | - | 6,000 | - | 1,000 | - | - | - | - | 1,000 | ||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (161,099 | ) | - | (91,628 | ) | (32,300 | ) | (939,962 | ) | - | (1,224,989 | ) | - | (3,500 | ) | (74,835 | ) | (3,500 | ) | (252,625 | ) | - | (334,460 | ) | ||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | (10,187 | ) | - | - | - | 10,187 | - | - | |||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | 6,839 | (342 | ) | 1,263 | 572 | 60,826 | - | 69,158 | 447 | 16 | 11,780 | 266 | 35,098 | - | 47,607 | |||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2021 | $ | - | $ | 7,870 | $ | 373,647 | $ | 22,677 | $ | 2,628,946 | $ | - | $ | 3,033,140 | $ | - | $ | 3,781 | $ | 194,618 | $ | 3,933 | $ | 505,342 | $ | - | $ | 707,674 | ||||||||||||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | - | - | (15,125 | ) | (4,800 | ) | (473,510 | ) | - | (493,435 | ) | - | - | (69,840 | ) | (3,150 | ) | (170,633 | ) | - | (243,623 | ) | ||||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | - | 653 | 34,134 | 2,556 | 286,924 | - | 324,267 | - | 1,319 | 52,324 | 1,431 | 176,995 | - | 232,069 | ||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2022 | $ | - | $ | 8,523 | $ | 392,656 | $ | 20,433 | $ | 2,442,360 | $ | - | $ | 2,863,972 | $ | - | $ | 5,100 | $ | 177,102 | $ | 2,214 | $ | 511,704 | $ | - | $ | 696,120 | ||||||||||||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | - | - | (97,165 | ) | (5,500 | ) | (541,179 | ) | - | (643,844 | ) | - | - | (55,886 | ) | (900 | ) | (93,741 | ) | - | (150,527 | ) | ||||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | - | (2,493 | ) | (99,555 | ) | (4,969 | ) | (639,323 | ) | - | (746,340 | ) | - | (1,577 | ) | (48,553 | ) | (476 | ) | (155,025 | ) | - | (205,631 | ) | ||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2023 | $ | - | $ | 6,030 | $ | 195,936 | $ | 9,964 | $ | 1,261,858 | $ | - | $ | 1,473,788 | $ | - | $ | 3,523 | $ | 72,663 | $ | 838 | $ | 262,938 | $ | - | $ | 339,962 | ||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2020 | 2,122 | 25 | 5,217 | 653 | 42,100 | 177 | 93 | 3,816 | 113 | 11,220 | ||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | 64 | - | - | - | - | 13 | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (2,122 | ) | - | (1,018 | ) | (382 | ) | (10,638 | ) | (177 | ) | (53 | ) | (1,041 | ) | (53 | ) | (3,581 | ) | |||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2021 | - | 89 | 4,199 | 271 | 31,462 | - | 53 | 2,775 | 60 | 7,639 | ||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | - | - | (125 | ) | (46 | ) | (4,541 | ) | - | - | (903 | ) | (35 | ) | (1,919 | ) | ||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2022 | - | 89 | 4,074 | 225 | 26,921 | - | 53 | 1,872 | 25 | 5,720 | ||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | - | - | (1,201 | ) | (70 | ) | (7,311 | ) | - | - | (760 | ) | (11 | ) | (1,477 | ) | ||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2023 | - | 89 | 2,873 | 155 | 19,610 | - | 53 | 1,112 | 14 | 4,243 | ||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2020 | $ | 72.68 | $ | 88.95 | $ | 83.33 | $ | 55.18 | $ | 67.54 | $ | 63.52 | ||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2021 | (72.68 | ) | 0.03 | 0.23 | (55.18 | ) | 2.63 | 2.63 | ||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2021 | $ | - | $ | 88.98 | $ | 83.56 | $ | - | $ | 70.17 | $ | 66.15 | ||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2022 | - | 7.39 | 7.16 | - | 24.47 | 23.30 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2022 | $ | - | $ | 96.37 | $ | 90.72 | $ | - | $ | 94.64 | $ | 89.45 | ||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2023 | $ | - | $ | (28.19 | ) | $ | (26.37 | ) | $ | - | $ | (29.25 | ) | $ | (27.49 | ) | ||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2023 (1) | $ | - | $ | 68.18 | $ | 64.35 | $ | - | $ | 65.39 | $ | 61.96 |
(1) | |
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 | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest - net | $ | 323,854 | $ | 603,350 | $ | 579,067 | $ | 133,801 | $ | 260,900 | $ | 298,175 | $ | 21,855 | $ | 141,120 | $ | 216,027 | ||||||||||||||||||
Total Income | 323,854 | 603,350 | 579,067 | 133,801 | 260,900 | 298,175 | 21,855 | 141,120 | 216,027 | |||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||
Incentive Fees | 1,144,159 | 2,068,435 | 4,461,365 | 245,244 | 618,626 | 1,123,545 | 46,931 | 322,090 | 253,177 | |||||||||||||||||||||||||||
Management Fees | 503,844 | 983,948 | 1,042,209 | 452,071 | 696,963 | 903,032 | 201,423 | 532,836 | 821,891 | |||||||||||||||||||||||||||
Service Fees - Class 1 | 247,399 | 412,335 | 499,021 | 151,627 | 226,790 | 309,234 | 66,889 | 109,284 | 132,136 | |||||||||||||||||||||||||||
Trading Fees | 1,435,003 | 1,394,350 | 1,287,161 | 537,884 | 579,677 | 603,389 | 191,525 | 243,193 | 280,737 | |||||||||||||||||||||||||||
Total Expenses | 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 | (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 | — | 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) | — | 450,401 | 1,421,570 | — | — | — | 693,263 | — | 961,346 | |||||||||||||||||||||||||||
Net unrealized gain/(loss) on swap contracts | (48,002 | ) | 2,115,441 | 3,132,776 | — | — | — | (111,960 | ) | (300,633 | ) | 1,176,514 | ||||||||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 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 | (990,689 | ) | (516,327 | ) | 2,895,653 | (227,159 | ) | (198,693 | ) | 1,525,265 | 193,551 | (204,014 | ) | 1,119,787 | ||||||||||||||||||||||
Trading commissions | (62 | ) | (443,692 | ) | (543,102 | ) | — | — | — | (1,085 | ) | — | (415,315 | ) | ||||||||||||||||||||||
Change in fair value of investments in unconsolidated trading companies | 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 | 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 | 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 | — | 4,476,587 | 6,816,250 | — | — | — | 131,876 | — | (766,822 | ) | ||||||||||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | 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 | $ | 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 | $ | (1.98 | ) | $ | (6.36 | ) | $ | 8.39 | ||||||||||||||||||||||
Class 2 | $ | 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 | $ | (0.52 | ) | $ | (5.16 | ) | $ | 11.01 | ||||||||||||||||||||||
Class 3 | $ | 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 | $ | 0.64 | $ | (4.91 | ) | $ | 11.30 |
The accompanying notes are an integral part of these financial statements.
F-13
The Series of the Equinox Frontier Funds
Consolidated Statements of OperationsChanges in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 20142023, 2022, 2021
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 | |||||||||||||||||||
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 | 1,395,151 | 1,707,167 | 3,620,437 | 41,072 | 158,971 | 363,142 | ||||||||||||||||||
Management Fees | 494,734 | 1,029,988 | 1,092,555 | 271,176 | 304,539 | 496,959 | ||||||||||||||||||
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 | 909,129 | 740,451 | 694,288 | 115,267 | 110,262 | 109,839 | ||||||||||||||||||
Other Fees | — | — | — | — | — | — | ||||||||||||||||||
Total Expenses | 4,637,078 | 5,591,382 | 7,434,719 | 792,796 | 968,941 | 1,364,426 | ||||||||||||||||||
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 unrealized gain/(loss) on swap contracts | (218,070 | ) | 910,566 | 8,120,996 | — | — | — | |||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 2,885,429 | 411,406 | (152,688 | ) | 70,928 | 22,783 | (25,780 | ) | ||||||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (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 | 3,934,786 | 6,607,271 | 6,355,205 | 368,596 | 161,067 | 3,146,402 | ||||||||||||||||||
Net gain/(loss) on investments | 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 | 5,945,778 | (1,232,876 | ) | 24,455,249 | 1,607,183 | (696,024 | ) | 2,435,382 | ||||||||||||||||
Less: Operations attributable to non-controlling interests | 648,112 | 259,719 | 5,090,748 | 989,394 | 34,600 | — | ||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | 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 | $ | 6.77 | $ | (3.51 | ) | $ | 25.25 | $ | 3.71 | $ | (5.26 | ) | $ | 15.75 | ||||||||||
Class 1AP | $ | 11.38 | $ | 0.39 | $ | 30.58 | $ | 6.88 | $ | (2.54 | ) | $ | 21.29 | |||||||||||
Class 2 | $ | 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 |
Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||
Class 2 | Class 3 | Class 2a | Class 3a | Non- | ||||||||||||||||||||||||||||||||
Managing Owner | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | ||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2020 | $ | 3,939 | $ | 30,334 | $ | 976,771 | $ | 8,274 | $ | 76,583 | $ | 1,048 | $ | 216,354 | $ | - | $ | 1,313,303 | ||||||||||||||||||
Redemption of Units | - | (11,508 | ) | (106,533 | ) | (1,300 | ) | (4,963 | ) | - | (22,947 | ) | - | (147,251 | ) | |||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | 182 | 2,219 | 52,820 | 645 | 4,619 | 68 | 13,719 | - | 74,272 | |||||||||||||||||||||||||||
Owners’ Capital, December 31, 2021 | $ | 4,121 | $ | 21,045 | $ | 923,058 | $ | 7,619 | $ | 76,239 | $ | 1,116 | $ | 207,126 | $ | - | $ | 1,240,324 | ||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Redemption of Units | (2,000 | ) | - | (120,894 | ) | - | (12,788 | ) | - | (10,780 | ) | - | (146,462 | ) | ||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | 944 | 4,603 | 195,931 | 1,709 | 17,238 | 253 | 47,733 | - | 268,411 | |||||||||||||||||||||||||||
Owners’ Capital, December 31, 2022 | $ | 3,065 | $ | 25,648 | $ | 998,095 | $ | 9,328 | $ | 80,689 | $ | 1,369 | $ | 244,079 | $ | - | $ | 1,362,273 | ||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Redemption of Units | (1,850 | ) | (11,488 | ) | (91,605 | ) | - | (24,666 | ) | - | (73,471 | ) | - | (203,080 | ) | |||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | (723 | ) | (6,417 | ) | (315,912 | ) | (3,057 | ) | (22,857 | ) | (446 | ) | (66,012 | ) | - | (415,424 | ) | |||||||||||||||||||
Owners’ Capital, December 31, 2023 | $ | 492 | $ | 7,743 | $ | 590,578 | $ | 6,271 | $ | 33,166 | $ | 923 | $ | 104,596 | $ | - | $ | 743,769 | ||||||||||||||||||
Owners’ Capital - Units, December 31, 2020 | 46 | 353 | 10,828 | 149 | 1,386 | 18 | 3,707 | |||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | - | (119 | ) | (1,048 | ) | (20 | ) | (87 | ) | - | (374 | ) | ||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2021 | 46 | 234 | 9,780 | 129 | 1,299 | 18 | 3,333 | |||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (18 | ) | - | (1,103 | ) | - | (177 | ) | - | (133 | ) | |||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2022 | 28 | 234 | 8,677 | 129 | 1,122 | 18 | 3,199 | |||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (21 | ) | (128 | ) | (938 | ) | - | (435 | ) | - | (1,165 | ) | ||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2023 | 7 | 106 | 7,739 | 129 | 687 | 18 | 2,034 | |||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2020 | $ | 85.99 | $ | 90.21 | $ | 55.29 | $ | 58.37 | ||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2021 | 3.98 | 4.17 | 3.46 | 3.79 | ||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2021 | $ | 89.97 | $ | 94.38 | $ | 58.75 | $ | 62.16 | ||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2022 | 19.68 | 20.65 | 13.18 | 14.13 | ||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2022 | $ | 109.65 | $ | 115.03 | $ | 71.93 | $ | 76.29 | ||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2023 | $ | (36.91 | ) | $ | (38.72 | ) | $ | (23.57 | ) | $ | (24.87 | ) | ||||||||||||||||||||||||
Net asset value per unit at December 31, 2023 (1) | $ | 72.74 | $ | 76.31 | $ | 48.36 | $ | 51.42 |
(1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
F-14
The Series of the Equinox Frontier Funds
Consolidated Statements of OperationsChanges in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 20142023, 2022, 2021
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 |
Frontier Balanced Fund | ||||||||||||||||||||||||||||||||||||
Class 1 | Class 1AP | Class 2 | Class 2a | Class 3a | Non- | |||||||||||||||||||||||||||||||
Limited Owners | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Limited Owners | Controlling Interests | Total | ||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2020 | $ | 9,430,532 | $ | 108,053 | $ | 51,810 | $ | 1,906,359 | $ | 75,416 | $ | 30,961 | $ | 507,148 | $ | - | $ | 12,110,279 | ||||||||||||||||||
Redemption of Units (including transfers) | (2,341,345 | ) | (51,153 | ) | (12,500 | ) | (539,532 | ) | (23,500 | ) | (34,162 | ) | (163,035 | ) | - | (3,165,227 | ) | |||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | 382,654 | 9,127 | 3,838 | 123,103 | 4,412 | 3,201 | 37,646 | - | 563,981 | |||||||||||||||||||||||||||
Owners’ Capital, December 31, 2021 | $ | 7,471,841 | $ | 66,027 | $ | 43,148 | $ | 1,489,930 | $ | 56,328 | $ | - | $ | 381,759 | $ | - | $ | 9,509,033 | ||||||||||||||||||
Redemption of Units (including transfers) | (2,018,252 | ) | (7,580 | ) | - | (302,031 | ) | (28,650 | ) | - | - | - | (2,356,513 | ) | ||||||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | 1,680,556 | 16,422 | 10,094 | 361,645 | 15,604 | - | 89,887 | - | 2,174,208 | |||||||||||||||||||||||||||
Owners’ Capital, December 31, 2022 | $ | 7,134,145 | $ | 74,869 | $ | 53,242 | $ | 1,549,544 | $ | 43,282 | $ | - | $ | 471,646 | $ | - | $ | 9,326,728 | ||||||||||||||||||
Redemption of Units | (853,070 | ) | - | - | (199,732 | ) | (13,000 | ) | - | (27,771 | ) | - | (1,093,573 | ) | ||||||||||||||||||||||
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests | (2,466,074 | ) | (26,149 | ) | (18,596 | ) | (494,564 | ) | (12,088 | ) | - | (158,559 | ) | - | (3,176,030 | ) | ||||||||||||||||||||
Owners’ Capital, December 31, 2023 | $ | 3,815,001 | $ | 48,720 | $ | 34,646 | $ | 855,248 | $ | 18,194 | $ | - | $ | 285,316 | $ | - | $ | 5,057,125 | ||||||||||||||||||
Owners’ Capital - Units, December 31, 2020 | 117,991 | 1,116 | 397 | 14,603 | 666 | 274 | 4,495 | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (27,772 | ) | (477 | ) | (87 | ) | (3,915 | ) | (200 | ) | (274 | ) | (1,329 | ) | ||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2021 | 90,219 | 639 | 310 | 10,688 | 466 | - | 3,166 | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (18,283 | ) | (52 | ) | - | (1,680 | ) | (176 | ) | - | - | |||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2022 | 71,936 | 587 | 310 | 9,008 | 290 | - | 3,166 | |||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (11,020 | ) | - | - | (1,368 | ) | (103 | ) | - | (228 | ) | |||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2023 | 60,916 | 587 | 310 | 7,640 | 187 | - | 2,938 | |||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2020 | $ | 79.93 | $ | 96.81 | $ | 130.54 | $ | 113.20 | $ | 112.81 | ||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2021 | 2.89 | 6.57 | 8.86 | 7.78 | 7.76 | |||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2021 | $ | 82.82 | $ | 103.38 | $ | 139.40 | $ | 120.98 | $ | 120.57 | ||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2022 | 16.35 | 24.18 | 32.61 | 28.49 | 28.39 | |||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2022 | $ | 99.17 | $ | 127.56 | $ | 172.01 | $ | 149.47 | $ | 148.96 | ||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2023 | $ | (36.54 | ) | $ | (44.55 | ) | $ | (60.08 | ) | $ | (52.03 | ) | $ | (51.86 | ) | |||||||||||||||||||||
Net asset value per unit at December 31, 2023 (1) | $ | 62.63 | $ | 83.01 | $ | 111.93 | $ | 97.44 | $ | 97.10 |
(1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
F-15
The Series of Equinox Frontier Funds
Consolidated Statements of Changes in Owners’ Capital
For the Years Ended December 31, 2016, 2015 and 20142023, 2022, 2021
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 |
Frontier Select Fund | Frontier Global Fund | Frontier Heritage Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | Class 1AP | Class 2 | Non- | Class 1 | Class 2 | Non- | Class 1 | Class 1AP | Class 2 | Non- | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Limited Owners | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Controlling Interests | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2020 | $ | 1,575,328 | $ | 9,821 | $ | 17,210 | $ | 50,769 | $ | - | $ | 1,653,128 | $ | 2,741,972 | $ | 31,366 | $ | 157,311 | $ | - | $ | 2,930,649 | $ | 2,169,152 | $ | 8,460 | $ | 24,105 | $ | 183,565 | $ | - | $ | 2,385,282 | ||||||||||||||||||||||||||||||||||
Payment made by Related Party | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (381,729 | ) | (656 | ) | (4,200 | ) | (482 | ) | - | (387,067 | ) | (802,573 | ) | (7,000 | ) | - | - | (809,573 | ) | (217,618 | ) | (1,101 | ) | (3,000 | ) | (36,721 | ) | - | (258,440 | ) | ||||||||||||||||||||||||||||||||||||||
Change in control of ownership - Trading Companies | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Operations attributable to non-controlling interests | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | 140,919 | 1,094 | 1,971 | 5,825 | - | 149,809 | (13,071 | ) | 663 | 2,673 | - | (9,735 | ) | 167,716 | 883 | 2,814 | 24,053 | - | 195,466 | |||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2021 | $ | 1,334,518 | $ | 10,259 | $ | 14,981 | $ | 56,112 | $ | - | $ | 1,415,870 | $ | 1,926,328 | $ | 25,029 | $ | 159,984 | $ | - | $ | 2,111,341 | $ | 2,119,250 | $ | 8,242 | $ | 23,919 | $ | 170,897 | $ | - | $ | 2,322,308 | ||||||||||||||||||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (100,095 | ) | (1,330 | ) | (2,400 | ) | (5,200 | ) | - | (109,025 | ) | (540,252 | ) | (12,500 | ) | (140,948 | ) | - | (693,700 | ) | (316,598 | ) | - | (5,800 | ) | (57,276 | ) | - | (379,674 | ) | ||||||||||||||||||||||||||||||||||||||
Operations attributable to non-controlling interests | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | 182,690 | 1,625 | 2,587 | 8,859 | - | 195,761 | 1,303,049 | 16,292 | 91,221 | - | 1,410,562 | 1,028,180 | 4,415 | 13,006 | 98,122 | - | 1,143,723 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2022 | $ | 1,417,113 | $ | 10,554 | $ | 15,168 | $ | 59,771 | $ | - | $ | 1,502,606 | $ | 2,689,125 | $ | 28,821 | $ | 110,257 | $ | - | $ | 2,828,203 | $ | 2,830,832 | $ | 12,657 | $ | 31,125 | $ | 211,743 | $ | - | $ | 3,086,357 | ||||||||||||||||||||||||||||||||||
Sale of Units | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (202,580 | ) | - | (1,750 | ) | - | - | (204,330 | ) | (1,085,295 | ) | (13,100 | ) | (70,588 | ) | - | (1,168,983 | ) | (571,014 | ) | - | (5,750 | ) | - | - | (576,764 | ) | |||||||||||||||||||||||||||||||||||||||||
Transfer of Units In(Out) | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in Owners’ | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Capital resulting from operations attributable to controlling interests | (480,833 | ) | (3,536 | ) | (4,807 | ) | (20,025 | ) | - | (509,201 | ) | (534,705 | ) | (4,516 | ) | (16,583 | ) | - | (555,804 | ) | (776,298 | ) | (3,650 | ) | (7,784 | ) | (61,061 | ) | - | (848,793 | ) | |||||||||||||||||||||||||||||||||||||
Owners’ Capital, December 31, 2023 | $ | 733,700 | $ | 7,018 | $ | 8,611 | $ | 39,746 | $ | - | $ | 789,075 | $ | 1,069,125 | $ | 11,205 | $ | 23,086 | $ | - | $ | 1,103,416 | $ | 1,483,520 | $ | 9,007 | $ | 17,591 | $ | 150,682 | $ | - | $ | 1,660,800 | ||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2020 | 26,906 | 138 | 183 | 539 | 24,724 | 187 | 939 | 22,572 | 73 | 155 | 1,177 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (5,855 | ) | (9 | ) | (41 | ) | (4 | ) | (7,124 | ) | (40 | ) | - | (2,081 | ) | (9 | ) | (16 | ) | (189 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2021 | 21,051 | 129 | 142 | 535 | 17,600 | 147 | 939 | 20,491 | 64 | 139 | 988 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (1,157 | ) | (14 | ) | (18 | ) | (43 | ) | (3,086 | ) | (50 | ) | (568 | ) | (2,125 | ) | - | (21 | ) | (191 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2022 | 19,894 | 115 | 124 | 492 | 14,514 | 97 | 371 | 18,366 | 64 | 118 | 797 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (3,933 | ) | - | (18 | ) | - | (6,571 | ) | (47 | ) | (267 | ) | (4,429 | ) | - | (25 | ) | - | ||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2023 | 15,961 | 115 | 106 | 492 | 7,943 | 50 | 104 | 13,937 | 64 | 93 | 797 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2020 | $ | 58.55 | $ | 70.99 | $ | 94.20 | $ | 110.90 | $ | 167.56 | $ | 96.10 | $ | 116.50 | $ | 155.92 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2021 | 4.84 | 8.22 | 10.90 | (1.45 | ) | 2.84 | 7.33 | 12.69 | 16.99 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2021 | $ | 63.39 | $ | 79.21 | $ | 105.10 | $ | 109.45 | $ | 170.40 | 103.43 | 129.19 | 172.91 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2022 | 7.84 | 12.50 | 16.60 | 75.82 | 126.85 | 50.71 | 69.23 | 92.64 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2022 | $ | 71.23 | $ | 91.71 | $ | 121.70 | $ | 185.27 | $ | 297.25 | $ | 154.14 | $ | 198.42 | $ | 265.55 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the year ended December 31, 2023 | $ | (25.26 | ) | $ | (30.73 | ) | $ | (40.78 | ) | $ | (50.67 | ) | $ | (74.72 | ) | $ | (47.69 | ) | $ | (57.22 | ) | $ | (76.58 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2023 (1) | $ | 45.97 | $ | 60.98 | $ | 80.92 | $ | 134.60 | $ | 222.53 | $ | 106.45 | $ | 141.20 | $ | 188.97 |
(1) | Values are for both the Managing Owner and Limited Owners. |
The accompanying notes are an integral part of these financial statements.
F-16
The Series of ContentsFrontier Funds
Consolidated Statements of Cash Flows
For the Years Ended December 31, 2023,2022, 2021
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 |
Frontier Diversified Fund | Frontier Masters Fund | Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | ||||||||||||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | (746,340 | ) | $ | 324,267 | $ | 69,158 | $ | (205,631 | ) | $ | 232,069 | $ | 47,607 | $ | (415,424 | ) | $ | 268,411 | $ | 74,272 | |||||||||||||||
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||||||||||||||
Change in: | ||||||||||||||||||||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | 278,148 | 400,338 | 897,176 | (69,188 | ) | 26,239 | (135,864 | ) | (77,331 | ) | (43,649 | ) | (139,882 | ) | ||||||||||||||||||||||
Net unrealized (gain)/loss on U.S. Treasury securities | 317 | 2,303 | 832 | 798 | 89 | (227 | ) | 4,078 | 653 | (1,187 | ) | |||||||||||||||||||||||||
Net realized (gain)/loss on U.S. Treasury securities | 4,347 | 7,623 | 4,809 | 2,274 | 3,779 | 3,365 | 3,178 | 5,686 | 5,738 | |||||||||||||||||||||||||||
Net unrealized (gain)/loss on private investment companies | 689,973 | (168,307 | ) | (98,954 | ) | 184,930 | (192,089 | ) | (64,947 | ) | 391,844 | (243,664 | ) | (53,498 | ) | |||||||||||||||||||||
Net realized (gain)/loss on private investment companies | (28,768 | ) | (251,470 | ) | (98,105 | ) | (16,030 | ) | (89,888 | ) | (24,753 | ) | 3,650 | (56,892 | ) | (47,148 | ) | |||||||||||||||||||
(Purchases) sales of: | ||||||||||||||||||||||||||||||||||||
Sales of swap contracts | - | - | 4,870,025 | - | - | - | - | - | 594,898 | |||||||||||||||||||||||||||
(Purchases) of swap contracts | - | - | (4,469,147 | ) | - | - | - | - | - | (115,000 | ) | |||||||||||||||||||||||||
Sales of U.S. Treasury securities | 261,948 | 180,769 | 552,562 | 145,804 | 107,457 | 291,260 | 183,546 | 181,323 | 763,556 | |||||||||||||||||||||||||||
(Purchases) of U.S. Treasury securities | (512,961 | ) | (606,238 | ) | (1,065,811 | ) | (66,899 | ) | (141,762 | ) | (153,851 | ) | (84,973 | ) | (174,336 | ) | (185,359 | ) | ||||||||||||||||||
U.S. Treasury interest and premium paid/amortized | 4,856 | 6,281 | 4,550 | 2,575 | 2,815 | 3,141 | 3,665 | 3,427 | 3,722 | |||||||||||||||||||||||||||
(Purchases) of Private Investment Companies | (389,359 | ) | (974,066 | ) | (6,219,401 | ) | (252,645 | ) | (472,671 | ) | (1,535,116 | ) | (230,845 | ) | (173,106 | ) | (703,517 | ) | ||||||||||||||||||
Reduction of collateral in Swap contracts | - | - | (400,878 | ) | - | - | - | - | - | (479,898 | ) | |||||||||||||||||||||||||
Sale of Private Investment Companies | 1,121,347 | 1,452,935 | 7,222,405 | 448,100 | 687,285 | 2,001,031 | 441,765 | 400,702 | 333,194 | |||||||||||||||||||||||||||
Increase and/or decrease in: | ||||||||||||||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | (4,390 | ) | 2,117 | (14,119 | ) | 2,820 | 2,852 | (13,363 | ) | 6,629 | (16,269 | ) | 10,195 | |||||||||||||||||||||||
Interest receivable | 665 | (334 | ) | 7,817 | 319 | (87 | ) | 132 | 672 | (697 | ) | 8,904 | ||||||||||||||||||||||||
Receivable from related parties | - | - | 4,892 | - | - | 266 | - | - | 5,205 | |||||||||||||||||||||||||||
Redemptions receivable from private investment companies | - | - | 31,886 | - | - | 24,837 | - | - | 1,251 | |||||||||||||||||||||||||||
Interest payable to Managing Owner | - | - | - | - | - | - | (13 | ) | 21 | (55 | ) | |||||||||||||||||||||||||
Trading fees payable to Managing Owner | (4,918 | ) | 436 | (3,359 | ) | (1,826 | ) | 561 | (1,578 | ) | (1,551 | ) | 40 | 1,126 | ||||||||||||||||||||||
Service fees payable to Managing Owner | (39 | ) | 2 | (302 | ) | (26 | ) | - | (27 | ) | (13 | ) | 2 | 1 | ||||||||||||||||||||||
Other liabilities | (1,289 | ) | (2,108 | ) | 728 | (573 | ) | (1,091 | ) | 1,608 | (1,206 | ) | 496 | (2,367 | ) | |||||||||||||||||||||
Net cash provided by (used in) operating activities | 673,537 | 374,548 | 1,296,764 | 174,802 | 165,558 | 443,521 | 227,671 | 152,148 | 74,151 | |||||||||||||||||||||||||||
Cash Flows from Financing Activities: | ||||||||||||||||||||||||||||||||||||
Proceeds from sale of units | - | - | 6,000 | - | - | 1,000 | - | - | - | |||||||||||||||||||||||||||
Payment for redemption of units | (643,844 | ) | (493,435 | ) | (1,224,988 | ) | (150,527 | ) | (243,623 | ) | (334,461 | ) | (203,080 | ) | (146,462 | ) | (147,249 | ) | ||||||||||||||||||
Change in owner redemptions payable | 21,822 | - | - | (17,321 | ) | 19,922 | (38,128 | ) | (12,303 | ) | (7,511 | ) | 20,299 | |||||||||||||||||||||||
Net cash provided by (used in) financing activities | (622,022 | ) | (493,435 | ) | (1,218,988 | ) | (167,848 | ) | (223,701 | ) | (371,589 | ) | (215,383 | ) | (153,973 | ) | (126,950 | ) | ||||||||||||||||||
Net increase (decrease) in cash and cash equivalents | 51,515 | (118,887 | ) | 77,776 | 6,954 | (58,143 | ) | 71,932 | 12,288 | (1,825 | ) | (52,799 | ) | |||||||||||||||||||||||
Cash and cash equivalents, beginning of year | 46,604 | 165,491 | 87,715 | 18,560 | 76,703 | 4,771 | 38,703 | 40,528 | 93,327 | |||||||||||||||||||||||||||
Cash and cash equivalents, end of year | $ | 98,119 | $ | 46,604 | $ | 165,491 | $ | 25,514 | $ | 18,560 | $ | 76,703 | $ | 50,991 | $ | 38,703 | $ | 40,528 |
The accompanying notes are an integral part of these financial statements.
F-17
The Series of ContentsFrontier Funds
Consolidated Statements of Cash Flows
For the Years Ended December 31, 2023, 2022, 2021
Equinox Frontier Balanced Fund | ||||||||||||||||||||||||||||||||||||
Class 1 | Class 1AP | Class 2 | Class 2a | Class 3a | ||||||||||||||||||||||||||||||||
Managing | Managing | Limited | Non-Controlling | |||||||||||||||||||||||||||||||||
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 | 1,437 | 9,858 | — | 102 | — | — | — | |||||||||||||||||||||||||||||
Redemption of Units | (213,526 | ) | (4,240 | ) | (1,828 | ) | (56,238 | ) | — | (215 | ) | (3,038 | ) | |||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2014 | 548,117 | 5,618 | 7,956 | 123,491 | 1,237 | 2,686 | 16,577 | |||||||||||||||||||||||||||||
Sale of Units | 1,584 | 10 | — | 101 | — | — | — | |||||||||||||||||||||||||||||
Redemption of Units | (61,021 | ) | (277 | ) | — | (5,173 | ) | — | (384 | ) | (801 | ) | ||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2015 | 488,680 | 5,351 | 7,956 | 118,419 | 1,237 | 2,302 | 15,776 | |||||||||||||||||||||||||||||
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, 2016 | 422,530 | 4,671 | 2,720 | 112,166 | 1,237 | 1,817 | 10,380 | |||||||||||||||||||||||||||||
(1) | (1) | |||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2013 | $ | 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 | |||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2014 | 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 |
Frontier Balanced Fund | Frontier Select Fund | |||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | |||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | (3,176,030 | ) | $ | 2,174,208 | $ | 563,981 | $ | (509,201 | ) | $ | 195,761 | $ | 149,809 | ||||||||||
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 | 16,104 | 13,166 | 85,604 | - | - | - | ||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | (61,069 | ) | (428,684 | ) | 465,487 | (93,206 | ) | 7,778 | (235,383 | ) | ||||||||||||||
Net unrealized (gain)/loss on U.S. Treasury securities | 1,105 | (8,388 | ) | (1,499 | ) | 1,243 | 454 | (852 | ) | |||||||||||||||
Net realized (gain)/loss on U.S. Treasury securities | 12,643 | 27,240 | 11,502 | 3,410 | 4,946 | 3,778 | ||||||||||||||||||
Net unrealized (gain)/loss on private investment companies | 2,487,297 | (1,673,486 | ) | (171,769 | ) | 514,228 | (345,213 | ) | (3,095 | ) | ||||||||||||||
Net realized (gain)/loss on private investment companies | (176,701 | ) | (666,011 | ) | (542,771 | ) | (73,108 | ) | 42,378 | (233,656 | ) | |||||||||||||
(Purchases) sales of: | ||||||||||||||||||||||||
Sales of U.S. Treasury securities | 742,878 | 853,454 | 1,827,896 | 201,359 | 131,330 | 377,421 | ||||||||||||||||||
(Purchases) of U.S. Treasury securities | (512,961 | ) | (606,238 | ) | (1,065,811 | ) | (87,946 | ) | (164,272 | ) | (155,247 | ) | ||||||||||||
U.S. Treasury interest and premium paid/amortized | 4,784 | - | 265 | - | - | - | ||||||||||||||||||
(Purchases) of Private Investment Companies | (1,398,714 | ) | (2,530,199 | ) | (4,841,423 | ) | (195,823 | ) | (854,667 | ) | (2,007,482 | ) | ||||||||||||
Sale of Private Investment Companies | 3,601,646 | 4,854,163 | 7,155,734 | 516,372 | 1,081,959 | 2,508,522 | ||||||||||||||||||
Increase and/or decrease in: | ||||||||||||||||||||||||
Receivable from futures commission merchants | (449,143 | ) | 498,121 | (584,389 | ) | - | - | - | ||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 58,403 | (101,192 | ) | 14,778 | (10,520 | ) | (10,900 | ) | (9,514 | ) | ||||||||||||||
Interest receivable | 4,082 | (4,176 | ) | 24,656 | 386 | (526 | ) | (222 | ) | |||||||||||||||
Receivable from related parties | - | - | 14,602 | - | - | - | ||||||||||||||||||
Redemptions receivable from private investment companies | - | - | 55,473 | - | - | 67,876 | ||||||||||||||||||
Incentive fees payable to Managing Owner | - | (54,010 | ) | 54,702 | - | - | - | |||||||||||||||||
Management fees payable to Managing Owner | 867 | 142 | (7,423 | ) | - | - | - | |||||||||||||||||
Interest payable to Managing Owner | (1,311 | ) | 1,349 | (419 | ) | (34 | ) | 146 | 17 | |||||||||||||||
Trading fees payable to Managing Owner | (16,786 | ) | 3,976 | (4,924 | ) | (2,149 | ) | 772 | (251 | ) | ||||||||||||||
Service fees payable to Managing Owner | (7,991 | ) | (1,530 | ) | (3,067 | ) | (1,752 | ) | 106 | (185 | ) | |||||||||||||
Risk analysis fees payable | 865 | 62 | 867 | - | - | - | ||||||||||||||||||
Payables to related parties | - | - | - | - | - | (26,129 | ) | |||||||||||||||||
Subscriptions in advance for service fee rebates | 14,241 | 22,116 | 22,486 | 512 | 970 | 1,613 | ||||||||||||||||||
Other liabilities | (6,133 | ) | 1,095 | (3,486 | ) | (817 | ) | 46 | 1,186 | |||||||||||||||
Net cash provided by (used in) operating activities | 1,138,076 | 2,375,178 | 3,071,052 | 262,954 | 91,068 | 438,206 | ||||||||||||||||||
Cash Flows from Financing Activities: | ||||||||||||||||||||||||
Payment for redemption of units | (1,093,573 | ) | (2,356,513 | ) | (3,165,227 | ) | (204,330 | ) | (109,025 | ) | (387,066 | ) | ||||||||||||
Change in owner redemptions payable | (35,051 | ) | 14,669 | 20,382 | - | - | - | |||||||||||||||||
Net cash provided by (used in) financing activities | (1,128,624 | ) | (2,341,844 | ) | (3,144,845 | ) | (204,330 | ) | (109,025 | ) | (387,066 | ) | ||||||||||||
Net increase (decrease) in cash and cash equivalents | 9,452 | 33,334 | (73,793 | ) | 58,624 | (17,957 | ) | 51,140 | ||||||||||||||||
Cash and cash equivalents, beginning of period | 221,344 | 188,010 | 261,803 | 33,183 | 51,140 | - | ||||||||||||||||||
Cash and cash equivalents, end of period | $ | 230,796 | $ | 221,344 | $ | 188,010 | $ | 91,807 | $ | 33,183 | $ | 51,140 |
The accompanying notes are an integral part of these financial statements.
F-18
The Series of ContentsFrontier Funds
Consolidated Statements of Cash Flows
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non- | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Limited | Limited | Managing | Limited | Non-Controlling | Limited | Limited | Managing | Limited | Controlling | Limited | Limited | Managing | Limited | Non-Controlling | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 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, 2014 | 142,913 | 494 | 70 | 12,058 | 152,717 | 214 | 207 | 57,886 | 74,927 | 443 | 428 | 17,736 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units | 193 | 9 | — | — | 1,010 | — | — | — | 315 | 9 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (13,494 | ) | — | — | (1,432 | ) | (13,488 | ) | — | — | (3,464 | ) | (5,806 | ) | — | — | (1,723 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2015 | 129,612 | 503 | 70 | 10,626 | 140,239 | 214 | 207 | 54,422 | 69,436 | 452 | 428 | 16,013 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units (including transfers) | 168 | — | — | — | 963 | — | — | — | 281 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units (including transfers) | (17,721 | ) | (207 | ) | — | (182 | ) | (9,919 | ) | — | — | (378 | ) | (6,938 | ) | (407 | ) | — | (495 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, December 31, 2016 | 112,059 | 296 | 70 | 10,444 | 131,283 | 214 | 207 | 54,044 | 62,779 | 45 | 428 | 15,518 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 |
For the Years Ended December 31, 2023, 2022, 2021
Frontier Global Fund | Frontier Heritage Fund | |||||||||||||||||||||||
12/31/2023 | 12/31/2022 | 12/31/2021 | 12/31/2023 | 12/31/2022 | 12/31/2021 | |||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | (555,804 | ) | $ | 1,410,562 | $ | (9,735 | ) | $ | (848,793 | ) | $ | 1,143,723 | $ | 195,466 | |||||||||
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||
Change in: | ||||||||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | 380,708 | 168,882 | (101,461 | ) | (6,243 | ) | 149,201 | (40,786 | ) | |||||||||||||||
Net unrealized (gain)/loss on U.S. Treasury securities | (948 | ) | 1,779 | 2,520 | (6,298 | ) | 1,944 | 1,279 | ||||||||||||||||
Net realized (gain)/loss on U.S. Treasuries securities | (3,229 | ) | 6,920 | 2,415 | 2,930 | 6,217 | 3,385 | |||||||||||||||||
Net unrealized (gain)/loss on private investment companies | 992,864 | (962,203 | ) | 97,778 | 951,657 | (906,091 | ) | (197,905 | ) | |||||||||||||||
Net realized (gain)/loss on private investment companies | (605,108 | ) | (671,439 | ) | (292,612 | ) | (290,112 | ) | (461,959 | ) | (156,731 | ) | ||||||||||||
(Purchases) sale of: | ||||||||||||||||||||||||
Sales of U.S. Treasury Securities | (238,642 | ) | 134,003 | 375,978 | 165,494 | 114,081 | 337,555 | |||||||||||||||||
(Purchases) of U.S. Treasury securities | (118,893 | ) | (309,687 | ) | (277,451 | ) | (119,719 | ) | (302,790 | ) | (237,408 | ) | ||||||||||||
Sales of swap contracts | - | - | - | - | - | 1,491,966 | ||||||||||||||||||
(Purchases) of swap contracts | - | - | - | - | - | (978,809 | ) | |||||||||||||||||
(Purchases) of Private Investment Companies | (456,537 | ) | (741,782 | ) | (1,088,812 | ) | (619,012 | ) | (531,551 | ) | (820,627 | ) | ||||||||||||
Sale of Private Investment Companies | 1,855,700 | 1,568,992 | 2,214,920 | 1,393,392 | 1,167,734 | 1,203,951 | ||||||||||||||||||
Reduction of collateral in Swap contracts | - | - | - | - | (513,156 | ) | ||||||||||||||||||
Increase and/or decrease in: | ||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | (12,711 | ) | 7,618 | (22,735 | ) | (1,870 | ) | (18,883 | ) | (6,207 | ) | |||||||||||||
Interest receivable | 256 | (39 | ) | (1 | ) | 676 | (813 | ) | 1,263 | |||||||||||||||
Receivable from related parties | - | - | 319 | - | - | 845 | ||||||||||||||||||
Interest payable to Managing Owner | 118 | (10 | ) | (14 | ) | (11 | ) | 230 | 78 | |||||||||||||||
Trading fees payable to Managing Owner | (7,179 | ) | 2,947 | (2,316 | ) | (4,736 | ) | 3,372 | 602 | |||||||||||||||
Service fees payable to Managing Owner | (3,733 | ) | 1,451 | (1,362 | ) | (2,948 | ) | 1,482 | 156 | |||||||||||||||
Subscriptions in advance for service fee rebates | 2,182 | 3,575 | 4,139 | 6,738 | 9,853 | 6,609 | ||||||||||||||||||
Other liabilities | (590 | ) | (1,996 | ) | 2,768 | (1,286 | ) | 551 | 596 | |||||||||||||||
Net cash provided by (used in) operating activities | 1,228,454 | 619,573 | 904,338 | 619,859 | 376,301 | 292,122 | ||||||||||||||||||
Cash Flows from Financing Activities: | ||||||||||||||||||||||||
Payment for redemption of units | (1,168,983 | ) | (693,700 | ) | (809,572 | ) | (576,764 | ) | (379,674 | ) | (258,439 | ) | ||||||||||||
Change in owner redemptions payable | - | (27,561 | ) | 27,561 | - | - | - | |||||||||||||||||
Net cash provided by (used in) financing activities | (1,168,983 | ) | (721,261 | ) | (782,011 | ) | (576,764 | ) | (379,674 | ) | (258,439 | ) | ||||||||||||
Net increase (decrease) in cash and cash equivalents | 59,471 | (101,688 | ) | 122,327 | 43,095 | (3,373 | ) | 33,683 | ||||||||||||||||
Cash and cash equivalents, beginning of year | 26,333 | 128,021 | 5,694 | 45,466 | 48,839 | 15,156 | ||||||||||||||||||
Cash and cash equivalents, end of year | $ | 85,804 | $ | 26,333 | $ | 128,021 | $ | 88,561 | $ | 45,466 | $ | 48,839 |
The accompanying notes are an integral part of these financial statements.
F-19
The Series of Equinox Frontier Funds
Notes to Financial Statements 1. Organization and Purpose Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as may be amended from time to time (“Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. The Trust The Trust has seven (7) separate and distinct Series of Units issued and outstanding: The Trust, with respect to each Series: The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust, with respect to the Series, on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, are maintained in the books and records of each Series. As of December 31, Between April 15, 2016 and The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or 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 the Galaxy Plus Platform, authorize certain Trading Advisors to place trades and manage assets at Galaxy Plus entities are co-mingled investment vehicles. In addition to the Series, there are other non-affiliated investors in the Galaxy As of December 31, For the year ended December 31, For the year ended December 31, 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, LLC’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 Consolidated Statements of Financial Condition. 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 consolidated financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates, and such differences could be material. Cash and Cash Equivalents—Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits held at banks with original maturities of three months or less. This cash is not restricted. Interest U.S. Treasury Receivable Investment 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 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 consolidated statements of operations. Purchase and Sales of Private Investment Companies Foreign Currency Transactions—The Series’ functional currency is the U.S. Allocation of Earnings—Each Series of the Trust may maintain Each Series allocates funds to an affiliated Trading Company, or Trading Companies, of the Trust or unaffiliated Galaxy 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 consolidated statements of operations. Investments in 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 consolidated 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’, consolidated 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 In the opinion of the Managing Owner, (i) the Trust, with respect to the Series, is treated as a partnership for federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. Federal Income Tax Consequences” correctly summarizes the material federal income tax consequences as of the date of the Prospectus to potential U.S. Limited Owners of the purchase, ownership and disposition of Units of the Trust. Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series. Only management fees and incentive fees related to assets allocated through Trading Companies are included Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period for a particular series, then the Managing Owner is obligated to return any amount in excess to the Series. The returned amounts are recorded as Incentive Fee (Rebate) on the consolidated Statements of Operations. Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2023, 2022 and 2021, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2024 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, $393, $31,725, $405,698, $22,558, $164,567 and $86,405 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of December 31, 2023. These service fees are part of the offering costs of the Trust, with respect to the Series, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Pending Owner Additions—Funds received for new subscriptions and for additions to existing owner interests are recorded as capital additions at the NAV per unit of the second business day following receipt. Subsequent In connection with the valuation of investments the Series apply ASC 820. ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of an asset or liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements. Level 1 Inputs Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date. Level 2 Inputs Inputs other than quoted prices included in Level 1 that are observable for the financial assets or liabilities, either directly or indirectly. These might include quoted prices for similar financial assets in active markets, quoted prices for identical or similar financial assets in markets that are not active, inputs other than quoted prices that are observable for the financial assets or inputs that are derived principally from or corroborated by market data by correlation or other means. Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trust, with respect to the Series, uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs. Swap Contracts.Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes Investments in Private Investment Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series’ entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment. Investments in Private Investment Companies are excluded from the leveling table below. 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 The following table summarizes 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, selected at the direction of the Managing Owner. Total return swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical total return swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount or value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Each Series’ investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of each Series and to provide access to programs and advisors that would not be otherwise available to the Series, and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, The Series may strategically invest assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of these Series will be invested will not own any of the investments or indices referenced by any swap entered into by these Series. In addition, neither the swap counterparty to the Trading Company of these Series nor any advisor referenced by any such swap is a Trading Advisor to these Series. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Investments in unconsolidated Trading Companies and The Galaxy Plus entities are made up The following table summarizes each of the Series’ The Series investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table: 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 Expenses Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the The management fee as a percentage of the applicable Series’ Trading Incentive Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the consolidated Statements of Service Fees— The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2024. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, $393, $31,725, $405,698, $22,558, $164,567 and $86,405 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of December 31, 2023. The following table summarizes fees earned by the Managing Owner for the years ended December 31, The following table summarizes fees payable to the Managing Owner as of December 31, With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) of average net assets less any fair market value related to swaps is paid to the Managing Owner by the Frontier Masters Fund Class 1 was closed as of April 1, 2021 and Frontier Diversified Fund Class 1 was closed as of July 21, 2021. All swaps were sold as of December 31, 2020. The following table outlines the The following information presents the financial highlights of the Series for the years ended December 31, For the year ended December 31, 2023 For the year ended December 31, 2022 Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees is included in the total return. For the year ended December 31, 2021 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, 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, 2023 Monthly average contracts: Frontier Balanced Fund Monthly average contracts: For the Year Ended December 31, 2021 Monthly average contracts: The following tables summarize the consolidated trading revenues for the years ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, Frontier Balanced Fund Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, Frontier Balanced Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, Frontier Balanced Fund Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, Frontier Balanced Fund Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, Frontier Balanced Fund Certain financial instruments and derivative instruments are eligible for offset in the consolidated statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from futures commissions 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 Series’ policy is to recognize amounts subject to master netting arrangements on a net basis on the consolidated statements of financial condition. The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the consolidated statements of financial condition as of December 31, As of December 31, As of December 31, The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the consolidated 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, The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. 10. Indemnifications and Guarantees noted in Management Discussion and Analysis The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or The REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Executive Committee Opinions on the Financial Statements We have audited the accompanying combined consolidated Basis for Opinion These We conducted our Our audit Critical audit matters are matters arising from the /s/ Spicer Jeffries LLP We have served as auditor of Denver, Colorado Frontier Funds Combined Consolidated Statements of Financial Condition December 31, The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Combined Consolidated Condensed Schedule of Investments December 31, The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Combined Consolidated Condensed Schedule of Investments The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Funds Combined Consolidated Statements of For the Years Ended December 31, 2023, 2022, and 2021 The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Funds Combined Consolidated Statements of The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Funds For the Years Ended December 31, 2023, 2022, and 2021 The accompanying notes are an integral part of these combined consolidated financial statements. Frontier Funds Notes to combined Consolidated Financial Statements 1. Organization and Purpose Purchasers of Units are Limited Owners of the Trust with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, as further amended, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as amended from time to time (the “Trust Agreement”), unitholders of the Trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of all Series. The Trust has been organized to pool investor funds for the purpose of trading in the U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products, precious and base metals and other commodities. The Trust may also engage in futures contracts, forwards, option contracts and other interest in derivative instruments, including swap contracts. The Trust has seven (7) separate and distinct Series of Units issued and outstanding: The Trust, with respect to each Series: The assets of any particular Series include only those funds and other assets that are paid to, held by or distributed to the Trust on account of and for the benefit of that Series. Under the “Inter-Series Limitation on Liability” expressly provided for under Section 3804(a) of the Trust Act, separate and distinct records of the cash and equivalents, although pooled for maximizing returns, As of December 31, Between April 15, 2016 and The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or 2. Significant Accounting Policies The following are the significant accounting policies of the Trust. Basis of Presentation—The Trust 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. The income or loss attributable thereto in proportion to the investment level of the private investment companies is shown in the combined consolidated statements of operations as net unrealized gain/(loss) on private investment companies. The consolidated financial statements of the Series and Trading Companies Galaxy Plus entities are co-mingled investment vehicles. In addition to the Trust, there are other non-affiliated investors in the Galaxy Use of Estimates—The preparation of combined 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. 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 combined consolidated statements of financial condition as interest receivable. Receivable from Futures Commission 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 combined 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 Any change in net unrealized gain or loss from the preceding period is reported in the combined 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 combined consolidated statements of operations. Purchase and Sales of Private Investment Companies– The Foreign Currency Transactions—The Series of the Trust’s functional currency is the U.S. dollar; however, they transact business in currencies other than the U.S. dollar. The Series of the Trust do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Allocation of Each Series allocates funds to an affiliated Trading Company, or Trading Companies, of the Trust, or unaffiliated Galaxy Plus entity. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as swaps that are directly allocated to a specific series). Likewise, trading gains and losses earned and incurred by the Series through their investments in Galaxy Plus entities are allocated to those Series on a daily basis. The allocation of gains and losses in Galaxy Plus entities are based on each Series pro-rata shares of the trading level of that entity which is updated at the beginning of each month or more frequently if there is a subscription or redemption activity in the entity. The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Companies or Galaxy Plus entities. Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the combined consolidated statements of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. Income The In the opinion of the Managing Owner, (i) the Trust is treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. Federal Income Tax Consequences” correctly summarizes the material Federal income tax consequences as of the date of the Prospectus to potential U.S. Limited Owners of the purchase, ownership and disposition of Series Units of the Trust. Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, Incentive Fee (rebate)— The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the Prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period, then the Managing Owner is obligated to return any amount in excess. The returned amounts are recorded as Incentive Fee (Rebate) on the combined consolidated statements of operations. Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2023, 2022 and 2021, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $733,996 and $710,323 as of December 31, 2023 and December 31, 2022, respectively. 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 borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Pending Owner Additions—Funds received for new subscriptions and for additions to existing owner interests are recorded as capital additions at the NAV per unit of the second business day following receipt. Subsequent Events—The Trust follows the provisions of ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 11. 3. Fair Value Measurements In connection with the valuation of investments the Trust applies ASC 820,Fair Value Measurement (“ASC 820”). ASC 820 provides clarification that when a quoted price in an active market for the identical asset or liability is not available, a reporting entity is required to measure fair value using certain techniques. ASC 820 also clarifies that when estimating the fair value of an asset or liability, a reporting entity is not required to include a separate input or adjustment to other inputs relating to the existence of a restriction that prevents the transfer of an asset or liability. ASC 820 also clarifies that both a quoted price in an active market for the identical asset or liability at the measurement date and the quoted price for the identical asset or liability when traded as an asset in an active market when no adjustments to the quoted price of the asset are required are Level 1 fair value measurements. Level 1 Inputs Unadjusted quoted prices in active markets for identical financial assets that the reporting entity has the ability to access at the measurement date. Level 2 Inputs Inputs other than quoted prices included in Level 1 that are observable for the financial assets or liabilities, either directly or indirectly. These might include quoted prices for similar financial assets in active markets, quoted prices for identical or similar financial assets in markets that are not active, inputs other than quoted prices that are observable for the financial assets or inputs that are derived principally from or corroborated by market data by correlation or other means. Level 3 Inputs Unobservable inputs for determining the fair value of financial assets that reflect an entity’s own assumptions about the assumptions that market participants would use in pricing the financial asset. The Trust uses the following methodologies to value instruments within its financial asset portfolio at fair value: Trading Securities.These instruments include U.S. Treasury securities and open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. U.S. Treasury securities and futures contracts are reported at fair value using Level 1 inputs. Trading securities instruments further include open trade equity positions (trading options and currency forwards) that are quoted prices for identical or similar assets that are not traded on active markets. Trading options and currency forwards are reported at fair value using Level 2 inputs. Swap Contracts.Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes Investments in Private Investment The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of December 31, 4. Swap Contracts 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 swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical total return The Trust’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of the Trust and to provide access to programs and advisors that would not be otherwise available to the Trust and are not used for hedging purposes. The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, The Trust strategically invests assets in one or more swaps linked to certain underlying investments or indices at the direction of the Managing Owner. The Trading Company in which the assets of the Trust will be invested will not own any of the investments or indices referenced by any swap entered into by the Trust. In addition, neither the swap counterparty nor any advisor referenced by any such swap is a Trading Advisor to the Trust. To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020. 5. Investments in Private Investment Companies Investments in private investment companies represent cash and open trade equity invested in the The Galaxy Plus entities are made up The Trust’s investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table: 6. Transactions with Affiliates The Managing Owner contributes funds to the Trust in order to have a 1% interest in the aggregate capital, profits and losses and in return will receive units designated as general units in the Series of the Trust in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or management advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of the Trust so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the 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 The management fee as a percentage of the applicable Series’ Trading Incentive 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 Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 3% and 2% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. With respect to Class 2 Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 0.25% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. As of December 31, As of December 31, As of December 31, 2021, the Trust had a payable to the Managing Owner in the amounts of $54,702, $1,413, $1,714, $70,998 and $31,919 for incentive fees, management fees, interest, trading fees, and service fees, respectively. For the year ended December 31, For the year ended December 31, 2022, the Managing Owner earned $199,276, $18,115, $494,806 and $1,044,671 for incentive fees, management fees, service fees, and trading fees, respectively. For the year ended December 31, With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the During the years ended December 31, 7. Financial Highlights The following information presents the financial highlights of the Trust for the The Trust financial highlights are calculated based upon the Trust’s combined consolidated financial statements. The combined consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data. 8. Derivative Instruments and Hedging Activities The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of December 31, For the years ended December 31, The following tables summarize the trading revenues for the years ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2023 Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2022 Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, 2021 Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2023 Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2022 Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2021 Certain financial instruments and derivative instruments are eligible for offset in the combined consolidated 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 combined consolidated statements of financial condition. The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the combined consolidated statements of financial condition as of December 31, As of December 31, 2023 As of December 31, 2022 9. Trading Activities and Related Risks The purchase and sale of futures and options on futures contracts require margin deposits with FCMs. Additional deposits may be necessary for any loss on contract value. The The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the combined consolidated statements of financial condition, may result in future obligation or loss in excess of the amount paid by the Series for a particular investment. Each Trading Company and Galaxy Plus entity expects to trade in futures, options, forward and swap contracts and will therefore be a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures positions held by a Trading Company or Galaxy Plus entity in respect of any Series at the same time, and if the Trading Advisor(s) of such Trading Company or Galaxy Plus entity are unable to offset such futures interests positions, such Trading Company or Galaxy Plus entity could lose all of its assets and the holders of Units of such Series would realize a 100% loss. The Managing Owner will seek to minimize market risk through real-time monitoring of open positions and the level of diversification of each Trading Advisor’s portfolio. It is anticipated that any Trading Advisor’s In addition to market risk, trading futures, forward and swap contracts entails credit risk that a counterparty will not be able to meet its obligations to a Trading Company or Galaxy Plus entity. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions. Some non-U.S. exchanges, in contrast to U.S. exchanges, are principals’ markets in which performance is the responsibility only of the individual counterparty with whom the Trading Company has entered into the transaction, and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty. In the case of forward contracts traded on the interbank market and swaps, neither is traded on exchanges. The counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. The Managing Owner expects the Trading Advisors to trade only with those counterparties which it believes to be creditworthy. All positions of each Trading Company will be valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to any Trading Company. The Managing Owner has established procedures to actively monitor and minimize market and credit risks. The Limited Owners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. 10. Indemnifications and Guarantees The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or 11. Subsequent Events issued. The From January 1, 2024 through March 26, 2024, the Trust INDEPENDENT AUDITORS’ REPORT To the Executive Committee Opinion We have audited the accompanying financial statements of Frontier Trading Company I, LLC and Frontier Trading Company XXXVIII, LLC (collectively, the “Trading Companies”), which comprise the statements of financial condition, including the condensed schedules of investments, In our opinion, the accompanying financial statements Basis for Opinion We conducted our audits in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditors’ Responsibilities for the Audit of the Management is responsible for the preparation and fair presentation of the financial statements In preparing the Auditors’ Responsibilities for the Audit of the Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control—related matters that we identified during the audit. /s/ Denver, Colorado The Trading Companies of the Frontier Funds Statements of Financial Condition December 31, The accompanying notes are an integral part of these financial statements. The Trading Companies of the Condensed December 31, % of Total Capital The December 31, 2022 The accompanying notes are an integral part of these financial statements. The Trading Companies of Statements of Operations For The Years Ended December 31, 2023, 2022 and 2021 The accompanying notes are an integral part of these financial statements. The Trading Companies of the Frontier Funds Statements of Changes in Members’ Equity For the Years Ended December 31, 2023, 2022, 2021 The accompanying notes are an integral part of these financial statements. The Trading Companies of the Frontier Fund Statements of Cash Flows For the Years Ended December 31, 2023, 2022 and 2021 The accompanying notes are an integral part of these financial statements. The Trading Companies of the Frontier Funds Notes to Financial Statements These financial statements and related notes pertain to the following companies: Frontier Trading Company I LLC, Frontier Trading Company II LLC, 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 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: The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence, bad faith or The following are the significant accounting policies of the Trading Companies. Basis of Receivable from Futures Commission 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, Any change in net unrealized gain or loss from the preceding period is reported in the Foreign Currency Purchase and Sales of Private Investment Companies Investments and Income Fees and Subsequent 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 Swap Contracts.Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes Investments in Private Investment 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, 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 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 Company’s investment in swaps will likely differ substantially over time due to cash flows, portfolio management decisions and market movements. The swaps serve to diversify the investment holdings of 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. To help to reduce counterparty risk on the Trading Companies, the 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. The following information presents the financial highlights of the Trading Companies for the years ended December 31, Investments in Private Investment Companies Investments in private investment companies represent cash and open trade equity invested in the As of December 31, 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, The following tables summarize the monthly averages of futures contracts bought and sold for each respective Trading Company: The following tables summarize the trading revenues for the years ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, Realized Trading Revenue from Futures, Forwards and Options for the Year Ended December 31, for the Year Ended December 31, Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2022 Net Change in Open Trade Equity from Futures, Forwards and Options for the Year Ended December 31, 2021 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 commissions 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, As of December 31, 2022 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 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 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 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. 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Funds as of December 31, 2023, and the results of their operations and changes in members’ equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. Basis for Opinion Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of Auditor’s Responsibilities for the Audits of Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of /s/ RSM US LLP Denver, Colorado March See notes to financial statements. See notes to financial statements. See notes to 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 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 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 Galaxy Plus Fund SPC (the “Offshore Platform”) is part of the Platform and is sponsored by 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 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. During Galaxy Plus Fund – Quantica Managed Futures Feeder Fund (507) LLC (“507”) – On its inception date, April 20, 2015, 507 invested its assets in Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC, a Delaware limited liability company. As of December 31, 2023, 507 owned 87.20% of its Master Fund. 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, 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, 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, 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, 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, Galaxy Plus Fund – Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC (“550”) – On its inception date, September 9, 2020, 550 invested its assets in Galaxy Plus Fund – Volt Diversified Alpha Master Fund (550) LLC, a Delaware limited liability company. As of December 31, 2023, 550 owned 100% of its 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 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 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. Redemptions payable: Redemptions payable are redemption proceeds payable for the sale of capital effective prior to period end. Receivable/payable from/to Master Fund: Generally, receivables and payables from/to Master Fund are a result of timing differences of cash movements related to capital activity at the Master Fund level. 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 Dividend income/expense: Dividend income and expense is recognized on an accrual basis and includes the Master Fund’s dividend income/expense from its broker that is allocated on a pro rata basis to the respective the respective Fund based on it’s ownership percentage in the respective Master Fund on the first day of each accounting period. Allocation of income and gains and losses: Profits and losses for each Income taxes: The Onshore Platform evaluates tax positions taken or expected to be taken to determine whether the tax positions are 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 generally remain open for three years after the 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. Statement of 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, 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 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 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 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 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 The amount of capital activity by each class of Interest for each Fund for the 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 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 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. 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. Each Advisor may enter into fee sharing agreements with the Sponsor, pursuant to which the Sponsor will receive a portion of the Incentive Fee to be paid to such advisor. The amounts due to the Sponsor are included in the Incentive Fee charged to the Funds. Pursuant to a fee sharing agreement between the Sponsor and the Advisor of 550, the Sponsor of 550 is entitled to Incentive Fees. However, the Sponsor of 550 did not earn any Incentive Fees during the year ended December 31, 2023. The Sponsor, on behalf of the managing owner of the Class EF members, The amount of management fees and incentive fees due to the managing owner of the class EF members as of December 31, 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, 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 Professional Fees and Operating Expenses:The Sponsor will be responsible for paying all ongoing operating costs of each Fund and the Onshore Platform as the expenses are incurred, including, but not limited to, any administrative, transfer, exchange and withdrawal processing 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 Trading Level of such Master Fund to the notional amount of the futures, options, and forward contracts held by 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 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 the Fund’s bank account in an attempt to reflect the desired Effective Funding Factor. Such rebalancing is not done pursuant to any Note 6. Financial Instruments with off-balance sheet risk and concentration of At December 31, Note 7. Financial highlights Financial highlights for each Fund and its respective Class(es) for the 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. Note 8. Subsequent events In accordance with FASB ASC 855,Subsequent Events, To the best of the knowledge and belief of the undersigned, the information contained in the annual report as of and for the year/period ended December 31, 2023, is accurate and complete. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of Auditor’s Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements. In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control–related matters that we identified during the audit. /s/ RSM US LLP Denver, Colorado March 25, 2024 Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Statement of Changes in Members’ Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on September 3, 2014 and commenced operations on April 20, 2015. The Master Fund was created to serve as the trading entity managed by Quantica Capital AG (the “Trading Advisor”) pursuant to its Managed Futures Program (the “Program”). The Program is a systematic investment strategy that aims to detect and take advantage of trend-following market inefficiencies in a diversified, liquid investment universe which includes multiple futures instruments. 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 New Hyde Park Alternative Funds, LLC (the “Sponsor” or “NHPAF”) 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-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. NHPAF was formed in October 2013 and its principal office is located in Wheaton, Illinois. NHPAF 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 – Quantica Managed Futures Feeder Fund (507) (“LLC507”), a separated series of the Onshore Platform and Galaxy Plus Fund – Quantica Managed Futures Offshore Feeder Fund (507) Segregated Portfolio (“SPC507”), a segregated portfolio of the Offshore Platform, each invest in the Master Fund. LLC507 and SPC507 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund 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. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to 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 $916,202 is held in USD and a balance of $256,306 in foreign currencies as of December 31, 2023, 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, 2023 included restricted cash for margin requirements of $900,436. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2023 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). 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 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 margin collateral assets and liabilities resulting from changes in exchange rates. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 years ended December 31, 2020 through 2023, 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 year, 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: 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. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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, 2023. 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, 2023. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2023. For futures contracts, 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 Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to 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 options 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, 2023. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. 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. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to 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 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, 2023, the Master Fund had open futures contracts with the following notional values by sector: During the year ended December 31, 2023, the Master Fund participated in 3,369 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to 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 Master Fund’s right of set-off is enforceable by 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: Offset Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2023, the Master Fund had $114,692 receivable from the Offshore Feeder Fund and $84,753 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Funds are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s Administrator and performs certain administrative and accounting services on behalf of the Master Fund. Note 8. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2023 are presented in the table below. The information has been derived from information presented in the financial statements. 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 and the net investment income ratio would have been lower, and total expense ratio would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Funds. 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 25, 2024, 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. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) 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, 2023, is accurate and complete. Galaxy Plus Fund – Quantica Managed Futures Master Fund (507) LLC 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the 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, 2023, the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. In our Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America, and for 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. In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued. Auditor’s Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material In We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control–related matters that we identified during the audit. /s/ RSM US LLP Denver, Colorado March 25, 2024 Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. 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, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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 program (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 New Hyde Park Alternative Funds, LLC (the “Sponsor” or “NHPAF”) 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-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. NHPAF was formed in October 2013 and its principal office is located in Wheaton, Illinois. NHPAF 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, 2023, SPC510 had not yet commenced operations and LLC510 is the sole member. LLC510 and SPC510 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund 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. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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 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 $431,064 is held in USD and a payable balance of $(3,736) in foreign currencies as of December 31, 2023, 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, 2023 included restricted cash for margin requirements of $128,167. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2023 included amounts due to the broker for unsettled trades of $3,736, which are denominated in foreign currency. 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). Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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 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 margin collateral 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. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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, 2020 through 2023, 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 year, 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: 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. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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, 2023. 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, 2023. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2023. For futures contracts, presentation is gross - as an asset if in a gain position and a liability if in a loss position. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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 options 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, 2023. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. 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. Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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, 2023, the Master Fund had open futures contracts with the following notional values by sector: During the year ended December 31, 2023, the Master Fund participated in 3,008 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to 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 Master Fund’s right of set-off is enforceable by 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: Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2023, the Master Fund had $35,086 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s administrator and performs certain administrative and accounting services on behalf of the Master Fund. Note 8. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2023 are presented in the table below. The information has been derived from information presented in the financial statements. 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 and net investment ratio would have been lower, and total expense ratios would have been higher if the management, incentive fees, and sponsor fees, had been charged to the Master Fund instead of the Feeder Fund. 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 25, 2024, 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. 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, 2023 is accurate and complete. 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the 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, 2023, the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the Auditor’s Responsibilities for the Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an In performing an audit We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control–related matters that we identified during the audit. /s/ RSM US LLP Denver, Colorado March 25, 2024 See notes to financial statements. See notes to financial statements. See notes to financial statements. See notes to 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 New Hyde Park Alternative Funds, LLC (the “Sponsor” or “NHPAF”) 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. NHPAF was formed in October 2013 and its principal office is located in Wheaton, Illinois. NHPAF 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, 2023, SPC517 had not yet commenced operations and LLC517 is the sole member. LLC517 and SPC517 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund 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. 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 $1,320,679 is held in USD and $13,481 in foreign currencies as of December 31, 2023, 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, 2023 included restricted cash for margin requirements of $541,233. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2023 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). 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 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 margin collateral 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 years ended December 31, 2020 through 2023, 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 year, 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: 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 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, 2023. 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, 2023. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2023. For futures contracts, presentation is gross – as an asset if in a gain position and a liability if in a loss position. 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 options 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, 2023. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. 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 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, 2023, the Master Fund had open futures contracts with the following notional values by sector: During the year ended December 31, 2023, the Master Fund participated in 3,845 futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: 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 Master 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: Note 6. Related Parties As of December 31, 2023, the Master Fund had $91,115 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s administrator and performs certain administrative and accounting services on behalf of the Master Fund. Note 8. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2023 are presented in the table below. The information has been derived from information presented in the financial statements. 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 and the net investment income ratio would have been lower and total expense ratio would have been higher if the management and incentive fees, as well as 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 25, 2024, 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. 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, 2023, is accurate and complete. 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the 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, 2023, the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America, and for 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. In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued. Auditor’s Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements. In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control–related matters that we identified during the audit. /s/ RSM US LLP Denver, Colorado March 25, 2024 Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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. Rosetta Capital Management LLC (“Rosetta”), (the “Trading Advisor”) runs a technical program. As of and during the year ended December 31, 2023, Rosetta was the sole trading advisor of LRR. 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 New Hyde Park Alternative Funds, LLC (the “Sponsor” or “NHPAF”) 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. NHPAF was formed in October 2013 and its principal office is located in Wheaton, Illinois. NHPAF 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, 2023, SPC522 had not yet commenced operations and LLC522 is the sole member. LLC522 and SPC522 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund 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. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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 $302,625 is held in USD and $0 in foreign currencies as of December 31, 2023, 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, 2023 included restricted cash for margin requirements of $5,390. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 2023 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). Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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 years ended December 31, 2020 through 2023, 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 year, 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. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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: 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 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, 2023. 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. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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, 2023. The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 2023. For futures contracts, presentation is gross – as an asset if in a gain position and a liability if in a loss position. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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 options 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, 2023. Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. 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. Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 options 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, 2023, the Master Fund had open futures contracts with the following notional values by sector: During the year ended December 31, 2023, the Master Fund participated in 6 futures contract, and 6 options on futures contract transactions. Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to 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 Master Fund’s right of set-off is enforceable by 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: Galaxy Plus Fund - LRR Master Fund (522) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2023 the Master Fund had $37,176 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level. Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s administrator and performs certain administrative and accounting services on behalf of the Master Fund. Note 8. Financial Highlights Financial highlights of the Master Fund for the year ended December 31, 2023 are presented in the table below. The information has been derived from information presented in the financial statements. 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 and net investment income ratio would have been lower, and the total expense ratio would have been higher if the management, incentive fees, and sponsor fee had been charged to the Master Fund instead of the Feeder Fund. 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 25, 2024, 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. 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 and for the year ended December 31, 2023, is accurate and complete. 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, 2023 Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the 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, 2023, the related statements of operations and changes in member’s equity for the year then ended, and the related notes to the financial statements. In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America. Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued. Auditor’s Responsibilities for the Audit of the Financial Statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements. In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control–related matters that we identified during the audit. /s/ RSM US LLP Denver, Colorado March Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – (A Delaware Limited Liability Company) Notes to 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 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 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 – Subscriptions and redemptions into the Feeder Funds 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. Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to 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 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). Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition:Depending on the Program and Investments traded, Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, 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 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 margin collateral 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 Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to 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 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 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, Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to 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 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, Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. 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. Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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 During the Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund – QIM Master Fund (526) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the 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: (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2023 the Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s Administrator and performs certain administrative and accounting services Note 8. Financial Highlights Financial highlights of the Master Fund for the 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 and net investment income ratio would have been Note 9. Subsequent Events In accordance with FASB ASC 855,Subsequent Events, 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 Galaxy Plus Fund – (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, Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of Auditor’s Responsibilities for the Audit of Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material In We are required to communicate with those charged with governance regarding, among other matters, the /s/ RSM US LLP Denver, Colorado March Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – (A Delaware Limited Liability Company) Notes to 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 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 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 Subscriptions and redemptions into the Feeder Funds 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. Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to 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 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 Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Valuation and Revenue Recognition:Depending on the Program and Investments traded, Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, 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 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 margin collateral 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 related to unrecognized tax benefits as income tax expense in the Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to 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 Statement of cash flows: The Master Fund has elected not to provide a 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 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, Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to 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 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, Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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 During the Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the 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: Galaxy Plus Fund – Aspect Master Fund (532) LLC (A Delaware Limited Liability Company) Note 6. Related Parties As of December 31, 2023, the Master Fund Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s Administrator and performs certain administrative and accounting services Note 8. Financial Highlights Financial highlights of the Master Fund for the 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 and net investment income ratio would have been lower, and total expense Note 9. Subsequent Events In accordance with FASB ASC 855,Subsequent Events, 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 Galaxy Plus Fund – Welton GDP Master Fund (538) 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, 2023 Contents Independent Auditor’s Report Galaxy Plus Fund LLC Opinion We have audited the Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of Auditor’s Responsibilities for the Audit of Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of /s/ RSM US LLP Denver, Colorado March 25, 2024 Galaxy Plus Fund - (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - (A Delaware Limited Liability Company) Statement of Operations For the (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund - (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) See notes to financial statements. Galaxy Plus Fund – (A Delaware Limited Liability Company) Notes to Financial Statements Note 1. Organization and Structure Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on 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 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 – LLC538W and SPC538W are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds 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. Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to 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 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 Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to 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 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 margin collateral 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 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. Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 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 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, Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 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 Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to 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, Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. 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. Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements As of December 31, During the Below is a summary of net trading gains and (losses) by investment type and industry: Galaxy Plus Fund – Welton GDP Master Fund (538) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the 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: (A Delaware Limited Liability Company) Notes to Financial Statements Note 6. Related Parties As of December 31, 2023, the Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s Administrator and performs certain administrative and accounting services Note 8. Financial Highlights Financial highlights of the Master Fund for the 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 negative return and net investment income ratio would have been lower and total expense Note 9. Subsequent Events In accordance with FASB ASC 855,Subsequent Events, Galaxy Plus Fund – Welton GDP Master Fund (538) 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 Galaxy Plus Fund – Fund (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, Contents Independent Auditor’s Report Managing Member Galaxy Plus Fund LLC Opinion We have audited the Basis for Opinion We conducted our audit in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Responsibilities of Management for the Financial Statements Management is responsible for the preparation and fair presentation of Auditor’s Responsibilities for the Audit of Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material In performing an audit in accordance with GAAS, we: We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of /s/ RSM US LLP Denver, Colorado March See notes to financial statements. See notes to financial statements. See notes to financial statements. See notes to financial statements. Note 1. Organization and Structure Galaxy Plus Fund – 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 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 LLC550 and SPC550 are collectively hereafter referred to as the “Feeder Funds”. Subscriptions and redemptions into the Feeder Funds 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. 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 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). Valuation and Revenue Recognition:Depending on the Program and Investments traded, Futures and options on futures contracts: The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, 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 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 margin collateral 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 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 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 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, 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 The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. The following tables present the classification of derivatives, by type, into the fair value hierarchy levels as of December 31, 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 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, Market and geopolitical risk relate to the increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region, or financial market. Securities in the Master Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Master Fund. 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 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 As of December 31, During the Below is a summary of net trading gains and (losses) by investment type and industry: Note 5. Balance Sheet Offsetting The Master Fund is required to disclose the impact of offsetting assets and liabilities presented in the 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: Note 6. Related Parties As of December 31, 2023 the Master Fund Note 7. Administrator Formidium Corp. (the “Administrator”) serves as the Master Fund’s Administrator and performs certain administrative and accounting services Note 8. Financial Highlights Financial highlights of the Master Fund for the 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 and the net investment Note 9. Subsequent Events In accordance with FASB ASC 855,Subsequent Events, 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, 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. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, a Series of (Registrant) SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, a Series of (Registrant) SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, a Series of (Registrant) SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report a Series of Frontier Funds (Registrant) Statements of Cash FlowsFor the Years Ended December 31, 2016, 2015 and 2014 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 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 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: Change in: Net change in open trade equity/(deficit), at fair value — 3,215,206 (3,215,206 ) — — — (693,263 ) — (191,069 ) Net change in options purchased, at fair value — 288,413 (288,413 ) — — — — — 98,740 Net change in options written, at fair value — (253,018 ) 253,018 — — — — — (172,650 ) Net change in ownership allocation of U.S. Treasury securities 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 unrealized (gain)/loss on swap contracts 48,002 (2,115,441 ) (3,132,777 ) — — — 111,960 300,633 (1,176,515 ) Net unrealized (gain)/loss on U.S. Treasury securities 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 (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 — — — — — — — (1,000,000 ) — Sales of U.S. Treasury securities 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 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 (22,731,129 ) — — — — — 7,836,808 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 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 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 The accompanying notes are an integral part of these financial statements.F-20The Series of Equinox Frontier FundsStatements of Cash FlowsFor the Years Ended December 31, 2016, 2015 and 2014 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 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ 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 340,656 3,286,019 637,703 (187,115 ) (462,339 ) — Net change in options purchased, at fair value — — 165,915 — — — Net change in options written, at fair value — — (183,856 ) — — — Net change in ownership allocation of U.S. Treasury securities 14,565,822 (8,151,611 ) 7,558,953 (401,816 ) 4,797,257 862,967 Net unrealized (gain)/loss on swap contracts 218,070 (910,566 ) (8,124,951 ) — — — Net unrealized (gain)/loss on U.S. Treasury securities 1,874,454 1,350,252 (4,748,522 ) 199,159 (35,623 ) (679,186 ) Net realized (gain)/loss on U.S. Treasury securities (2,885,429 ) (411,406 ) 152,688 (70,928 ) (22,783 ) 25,780 Net unrealized gain/(loss) on private investment companies (2,077,438 ) — — — — — Net realized gain/(loss) on private investment companies (412,944 ) — — — — — (Purchases) sales of: 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 (9,340,565 ) (6,360,723 ) (4,547,467 ) (320,766 ) (911,929 ) (637,256 ) 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 870,805 15,172,045 776,104 5,072,933 (13,281,151 ) — 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 11,091,850 719,959 (4,630,612 ) 200,521 3,954,301 (1,237,597 ) Prepaid service fees - Class 1 — — 234 — 67,394 — Interest receivable 532,079 (74,665 ) 299,585 (22,210 ) — 41,596 Receivable from related parties (346,874 ) — — (103,408 ) — — Other assets 12 250,001 (249,962 ) 3 (3 ) — Incentive fees payable to Managing Owner (106,563 ) (1,686,755 ) 1,101,401 — (185,791 ) 185,791 Management fees payable to Managing Owner (55,357 ) (20,634 ) (11,877 ) 11,972 (4,951 ) (21,963 ) Interest payable to Managing Owner (56,036 ) (7,334 ) (61,306 ) (31 ) (9,714 ) (9,135 ) Trading fees payable to Managing Owner 145,874 (8,587 ) (7,088 ) 9,614 (1,604 ) (1,426 ) Service fees payable to Managing Owner (15,620 ) (21,575 ) (23,135 ) (3,126 ) (3,428 ) (6,525 ) Risk analysis fees payable 1,155 — — 2,303 — — Payables to related parties (24,069 ) 9,135 2,801 (1,495 ) 511 511 Other liabilities 89,594 — — 11,782 156 — — 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 233,544 235,881 1,180,547 16,022 19,348 205,055 Payment for redemption of units (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 (15,538 ) (2,464 ) 3,325 (1,335 ) (150 ) 491 Advance on unrealized Swap Appreciation 4,926,555 — — — — — Owner redemptions payable 340,880 417,297 (908,760 ) 117,909 1,238 (53,166 ) 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 (3,811,604 ) (749,327 ) 2,351,940 211,650 (657,909 ) 383,349 Cash and cash equivalents, beginning of period 4,895,183 5,644,510 3,292,570 220,371 878,280 494,931 Cash and cash equivalents, end of period $ 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-21The Series of Equinox Frontier FundsStatements of Cash FlowsFor 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 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ (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 1,773,178 1,003,454 (9,377,294 ) 6,880 389,760 (329,908 ) Net unrealized (gain)/loss on swap contracts — — — (431,146 ) (419,803 ) (2,105,281 ) Net unrealized (gain) loss on U.S. Treasury securities, at fair value 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 (1,975,992 ) (230,502 ) 59,132 (395,730 ) (52,675 ) 19,370 (Purchases) sale of: 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 2,119,833 5,793,526 — (1,004,235 ) 186,259 154,754 Investments in unconsolidated trading companies, at fair value (3,774,896 ) 7,182,104 299,665 (1,362,538 ) 137,800 345,880 Interest receivable 137,578 27,334 (76,776 ) 26,517 8,845 16,459 Receivable from related parties (551,508 ) — — (107,442 ) — — Other assets 2 (2 ) — 2 (2 ) — Incentive fees payable to Managing Owner — (1,178,364 ) 1,078,104 — (239,327 ) 223,916 Management fees payable to Managing Owner 163,653 (21,652 ) (13,274 ) 35,011 (6,454 ) (671 ) Interest payable to Managing Owner (18,894 ) (14,098 ) 3,857 (3,646 ) (3,477 ) (5,224 ) Trading fees payable to Managing Owner 32,737 (4,285 ) 2,846 10,496 (1,219 ) (536 ) Service fees payable to Managing Owner (5,052 ) (8,331 ) (301 ) (2,350 ) (2,157 ) (4,521 ) Risk analysis fees payable 12,215 — — — — Payables to related parties (31,638 ) 15,177 11,402 (4,416 ) 1,238 1,903 Other liabilities 2,878 — — 18,083 — — 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 159,082 175,616 457,445 35,716 43,000 271,191 Payment for redemption of units (1,708,602 ) (3,124,668 ) (5,673,701 ) (1,017,408 ) (1,079,229 ) (4,235,128 ) Pending owner additions (13,524 ) (1,979 ) 3,589 (3,251 ) (130 ) 504 Advance on unrealized Swap Appreciation — — — 1,900,000 — — Owner redemptions payable (28,509 ) 29,769 (54,998 ) (84,355 ) 62,947 21,408 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 (1,300,408 ) (1,084,358 ) 2,687,243 (272,820 ) (266,279 ) 497,597 Cash and cash equivalents, beginning of period 2,928,616 4,012,974 1,325,731 655,319 921,598 424,001 Cash and cash equivalents, end of period $ 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-22The Series of Equinox Frontier Funds1.Organization and PurposeEquinox 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 combined 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, EquinoxFrontier Fund Management LLC (the “Managing Owner”). 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.Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier WintonGlobal 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.● ●engages in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts), and may, from time to time, engage in cash and spot transactions; ● ●allocates funds to a limited liability trading company or companies (“Trading Company” or “Trading Companies”) and or to an unaffiliated series limited liability company (“Galaxy Plus entities (“Galaxy Plus”entities” or “Galaxy Plus entity”). 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 vestedinvested in such Trading Company and Galaxy Plus entity. Each Trading Company and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy Plus entity;● ●maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other Series; ● ●calculates the Net Asset Value (“NAV”) of its Units for each Series separately from the other Series; ● ●has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while managing risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments; F-23● ●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 Agentsselling 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 WintonGlobal 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.sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agentsselling 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 soldsold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay Selling Agentsselling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents;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 Daybusiness day to be received by the Managing Owner prior to 4:00 PM in New York.2016,2023, the Trust, with respect to the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund, separates Units into two separate Classes—Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund and Frontier Heritage 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 EquinoxFrontier Global Fund, separates Units into two separate Classes—Class 1 and Class 2. The Trust, with respect to the Frontier Balanced Fund, separates Units into a maximum of five separate Classes—Class 1, Class 1AP, Class 2, Class 2A2a and Class 3A.3a. The Trust, with respect to the Equinox Frontier Long/Short Commodity Fund, separates Units into a maximum of fivefour separate Classes—Class 1A, Class 2A, Class 2, Class 3A2a, Class 3 and Class 3. 3a.December 31, 2016,May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, EquinoxFrontier Select Fund, 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 an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70%75-95% 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 investAll the funds are invested in Galaxy Plus their assets are split between investments in Trading Companies and investments in the pooled cash management account.entities. F-24As of December 31, 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 or Galaxy Plus entities.bad faith.willful misconduct.2. 2.Significant Accounting Policies pre-determinedpre- 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 (for closed Series only), all of which is allocated to the Series if consolidated by a Series. The Galaxy Plus Platform is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC,New Hyde Park, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. The Galaxy Plus Platform is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. 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 using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in Private Investment Companiesprivate investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the consolidated statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies.Plus.Plus Platform. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Series ownership percentage in the Galaxy Plus.Plus Platform. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by weekweek-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.2016,2023, and 2022, the consolidated statementstatements of financial condition of Equinox Frontier Balanced Fund included the assets and liabilities of its majority interestwholly owned interests in Frontier Trading Company I, LLC and Frontier Trading Company XXXIV, LLC.F-252016,2023, 2022 and 2021 the consolidated statementstatements of operations of Equinox Frontier Balanced Fund included the earnings of its majoritywholly owned interest in Frontier Trading Company 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 on April 21, 2016, Frontier Trading Company XXIII, LLC on July 22, 2016, and Frontier Trading Company XXIX, LLC on January 29, 2016.As of December 31, 2016 and December 31, 2015, the consolidated statement 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.2015,2022 and 2021 the consolidated statementstatements of operations of Equinox Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading Company 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 Company listed above through the date that the Trading Company ceased operations and Frontier Trading Company VII LLC through April 28, 2016.As of December 31, 2016 and December 31, 2015, the consolidated statement of financial condition of Equinox Frontier Diversified Fund included the assets and liabilities of its majority owned Frontier Trading Company XXXV, LLC.For the year ended December 31, 2015, the consolidated statement of operations of Equinox Frontier Diversified Fund included the earnings of its majority owned Trading Company listed above and the earnings of Frontier Trading Company I, LLC from 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 of its majority owned Trading Company listed above.As of and for the years ended December 31, 2016 and December 31, 2015, the consolidated statement of financial condition and 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.IncomeIncome——U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasuries and assets held at a futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1, and Class 2 only), EquinoxFrontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Equinox Frontier WintonGlobal Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 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 Series and shown net on the consolidated statement of operations.F-26Table The amount reflected in the consolidated financial statements of Contentsthe Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those Series may be zero.SecuritiesSecurities——U.S. Treasury Securities are allocated to all Series of the Trust based on each Series’ percentage ownership in the pooled cash management assets as of the reporting date. They are reported at fair value as Level 1 inputs under ASC 820,Fair Value Measurements and Disclosures (“ASC 820”). The Series of the Trust valued U.S. Treasury Securities at fair value and recorded the daily change in value in the 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.Fromfrom Futures Commission Merchants—The Series of the Trust 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 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, 20162023 and 2022 included restricted cash for margin requirements of $2,631,477$769,384 and $320,241 respectively, 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.TransactionsTransactions——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 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).—–The Series are able to subscribe into and redeem from the Galaxy Plus entities on a weeklydaily basis. The value of the Private Investment Companiesprivate investment companies is determined by the SponsorNew Hyde Park and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceedscost and the fair value calculated by the Sponsor andNew Hyde Park is recorded as net unrealized gain/(loss) on private investment companies on the consolidated statements of operations.dollar,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.between three orto seven subclasses of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a, Class 3a, and Class 1AP. All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class ,3, Class 3a and Class 1AP Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series.Plus.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.F-27Private Investment Companiesprivate investment companies are valued utilizing the net asset values as a practical expedient. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews and approves current day pricing of the commodity Trading Advisortrading 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.Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series. The 20132020 through 20162023 tax years generally remain subject to examination by U.S. federal and most state tax authorities.as expensesin expense on the consolidated Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the consolidated Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the consolidated Statements of Operations.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 WintonGlobal 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 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-28Recently Adopted Accounting PronouncementsOwner redemptions payable——In May 2015,Funds payable for existing owner redemption requests are recorded as capital subtractions at the FASB issued ASU No. 2015-07, “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities That Calculate Net Asset ValueNAV per Share (or Its Equivalent).” ASU No. 2015-07 removes the requirement to include investments in the fair value hierarchy for which the fair value is measured at NAV using the practical expedient under “Fair Value Measurements and Disclosures (Topic 820).” ASU No. 2015-07 is effective for annual reporting periods beginning after December 15, 2015, 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, adoption does not affect the Series’ financial condition, results of operations, or cash flows.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 guidanceunit 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 does not have a material effect on the Series financial statements.second business day following receipt or request.Events—TheEvents—Each 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 consolidated financial statements are issued. Refer to Note 11.3. 3.Fair Value Measurements F-29 receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. Swap contracts are reported at fair value using Level 3 inputs.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.Companies.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-30the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, byinvestment in each Series measured at fair value on a recurring basis as of December 31, 20162023 and December 31, 20152022 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair 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.December 31, 2023 Practical Expedient Level 1 Inputs Level 2 Inputs Level 3 Inputs Total
Fair Value Total December 31, 2016 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value Equinox Frontier Diversified Fund Investment in Unconsolidated Trading Companies $ 4,188,662 $ 12,966 $ — $ 4,201,628 Swap Contracts — — 8,637,847 8,637,847 U.S. Treasury Securities 6,525,280 — — 6,525,280 Equinox Frontier Masters Fund Frontier Diversified Fund Investment in Unconsolidated Trading Companies 6,667,632 10,474 — 6,678,106 $ 33,061 $ - $ - $ - $ 33,061 U.S. Treasury Securities 4,313,843 — — 4,313,843 - 5,543 - - 5,543 Equinox Frontier Long/Short Commodity Fund Swap Contracts — — 4,220,468 4,220,468 Equinox Frontier Balanced Fund Frontier Masters Fund Investment in Unconsolidated Trading Companies 5,998,541 (33,210 ) — 5,965,331 8,598 - - - 8,598 Open Trade Equity (Deficit) 288,647 (50,986 ) — 237,661 Swap Contracts — — 18,939,450 18,939,450 U.S. Treasury Securities 9,770,117 — — 9,770,117 - 1,441 - - 1,441 Equinox Frontier Select Fund Frontier Long/Short Commodity Fund Investment in Unconsolidated Trading Companies 17,181 - - - 17,181 U.S. Treasury Securities - 2,881 - - 2,881 Frontier Balanced Fund Investment in Unconsolidated Trading Companies 759,978 3,609 3,147,279 3,910,866 77,766 - - - 77,766 Open Trade Equity (Deficit) 679,310 6,712 — 686,022 - (14,434 ) - - (14,434 ) U.S. Treasury Securities 2,912,611 — — 2,912,611 - 13,038 - - 13,038 Winton Fund Frontier Select Fund Investment in Unconsolidated Trading Companies 4,020,731 51,719 — 4,072,450 30,934 - - - 30,934 Open Trade Equity (Deficit) 1,123,666 98,858 — 1,222,524 U.S. Treasury Securities 15,533,863 — — 15,533,863 - 5,186 - - 5,186 Equinox Frontier Heritage Fund Frontier Global Fund Investment in Unconsolidated Trading Companies 2,735,614 9,026 — 2,744,640 28,911 - - - 28,911 Swap Contracts — — 8,391,414 8,391,414 U.S. Treasury Securities 3,701,890 — — 3,701,890 - 4,847 - - 4,847 Frontier Heritage Fund Investment in Unconsolidated Trading Companies 29,840 - - - 29,840 U.S. Treasury Securities - 5,003 - - 5,003 December 31, 2022 Practical Expedient Level 1 Inputs Level 2 Inputs Level 3 Inputs Total
Fair Value Frontier Diversified Fund Investment in Unconsolidated Trading Companies $ 28,671 $ - $ - $ - $ 28,671 U.S. Treasury Securities - 42,198 - - 42,198 Frontier Masters Fund Investment in Unconsolidated Trading Companies 11,418 - - - 11,418 U.S. Treasury Securities - 16,805 - - 16,805 Frontier Long/Short Commodity Fund Investment in Unconsolidated Trading Companies 23,810 - - - 23,810 U.S. Treasury Securities - 35,044 - - 35,044 Frontier Balanced Fund Investment in Unconsolidated Trading Companies 136,139 - - - 136,139 Open Trade Equity (Deficit) - 1,670 - - 1,670 U.S. Treasury Securities - 200,417 - - 200,417 Frontier Select Fund Investment in Unconsolidated Trading Companies 20,414 - - - 20,414 U.S. Treasury Securities - 30,046 - - 30,046 Frontier Global Fund Investment in Unconsolidated Trading Companies 16,200 - - - 16,200 U.S. Treasury Securities - 23,843 - - 23,843 Frontier Heritage Fund Investment in Unconsolidated Trading Companies 27,970 - - - 27,970 U.S. Treasury Securities - 41,167 - - 41,167 F-31 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 The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the year ended December 31, 2016 and 2015, all identified Level 3 assets were 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-322016:For the Year Ended December 31, 2016Swaps: 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, 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, 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-332015:For the Year Ended December 31, 2015Swaps: Equinox Frontier Equinox Frontier Long/Short Equinox Frontier 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 — — — Included in earnings-unrealized 2,115,441 (300,632 ) 910,566 Purchases of investments — 1,000,000 — 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, 2015 $ 8,685,849 $ 4,332,428 $ 19,157,520 Equinox Frontier Heritage Fund 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 419,803 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, 2015 $ 7,960,268 Investments in Unconsolidated Trading Companies: Equinox Frontier Select Fund Balance of recurring Level 3 assets as of January 1, 2015 $ 3,539,498 Change in fair value of investments in unconsolidated trading companies 394,421 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, 2015 $ 3,933,919 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, 2016 and 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-34The 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, 2015: 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, 2014: 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-354. 4.Swap Contracts 2016 and December 31, 2015, approximately 10.2% and 9.3%, respectively,2023, none of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the Statements of Financial Condition. The cash held with the counterparty is not restricted.Indexindex exposure in total. Index exposure is defined as the total notional amount plus any profit. The fundsSeries 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, the Equinox Frontier Diversified Fund, the Equinox Frontier Long/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 shownAll swap investments were liquidated 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 AGyear 2020.The Series have invested in the following swaps as of and for the year ended December 31, 2016: Equinox Frontier Diversified Equinox Frontier Long/Short Equinox Frontier Balanced Fund Fund Commodity Fund Equinox Frontier Heritage Fund Total Return Swap Total Return Swap Total Return Swap Total Return Swap Counterparty DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG Notional Amount $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 Cash Collateral $9,600,000 $3,400,000 $3,880,000 $5,986,000 Swap Value $9,339,450 $5,237,847 $340,468 $2,405,414 Investee Returns Total Returns Total Returns Total Returns Total Returns Realized Gain/(Loss) $0 $0 $0 $0 Change in Unrealized Gain/(Loss) ($218,070) ($48,002) ($111,960) $431,146 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-36The Series have invested in the following swaps as of and for the year ended December 31, 2015: Equinox Frontier Diversified Equinox Frontier Long/Short Equinox Frontier Balanced Fund Fund Commodity Fund Equinox Frontier Heritage Fund Total Return Swap Total Return Swap Total Return Swap Total Return Swap Counterparty DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG Notional Amount $22,580,043 $13,851,707 $1,877,692 $12,663,283 Termination Date 8/2/2018 8/2/2018 8/7/2018 3/26/2018 Cash Collateral $9,600,000 $3,400,000 $3,880,000 $5,993,000 Swap Value $9,557,519 $5,285,849 $452,428 $1,967,269 Investee Returns Total Returns Total Returns Total Returns Total Returns Realized Gain/(Loss) $0 $0 $0 $0 Change in Unrealized Gain/(Loss) $910,566 $2,115,441 ($300,633) $419,803 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 Private Investment Companiesprivate investment companies represent cash and open trade equity invested in the Trading and Private Investment Companies as well as by each Seriesprivate investment companies and cumulative trading profits or losses allocated to each Series by the Trading Companies and Private Investment Companies.private investment companies. Trading Companies and Private Investment Companiesprivate investment companies allocate trading profits or losses on the basis of the proportion of each Series’ capital allocated for trading to each respective Trading Company, which bears no relationship to the amount of cash invested by a Series in the Trading Company and Private Investment Companies.private investment companies. The Trading Companies are valued using the equity method of accounting, which approximates fair value. Investments in Private Investment Companiesprivate investment companies are valued using the NAV provided by the underlying private investment.F-37The following table summarizes each of the Series’ investments in unconsolidated Trading and Private Investment Companies as of December 31, 2016 and 2015: As of December 31, 2016 As of December 31, 2015 Percentage of Percentage of Series Total Series Total Capital Invested Capital Invested 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 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, 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 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 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 XXXVIII and XXXIX 24.33 % $ 3,910,866 31.67 % $ 4,147,840 Equinox Frontier Winton Fund — Frontier Trading Company XXXVIII 9.96 % $ 4,072,450 20.82 % $ 7,274,269 Equinox Frontier Heritage Fund — Frontier Trading Companies II and XXXVIII 20.48 % $ 2,744,640 13.45 % $ 1,405,586 aof feeder funds in which the Series investeach series 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 Series’Trust’s total capital.F-38equityinvestments in earnings from unconsolidated Trading and Private Investment Companies for the years endedas of December 31, 2016, 20152023 and 2014:2022: Year Ended December 31, 2016 Year Ended December 31, 2015 Year Ended December 31, 2014 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 $ (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 (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 VII, LLC (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 XIV, LLC — — — — — — — — (176,563 ) 453,928 (194,219 ) 83,146 Frontier Trading Company XV, LLC — — — — — — — — (35,322 ) 226,177 (719,332 ) (528,477 ) Frontier Trading Company XXIII, LLC (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 (27,594 ) (774,261 ) 219,387 (582,468 ) (32,830 ) (469,048 ) (312,060 ) (813,938 ) (42,802 ) 491,468 (534,467 ) (85,801 ) 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 $ (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 $ (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 (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 ) Frontier Trading Company XV, LLC (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 (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 (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 $ (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 $ (4,003 ) $ (145,864 ) $ (32,717 ) $ (182,583 ) $ (2,922 ) $ 156,796 $ 2,785 $ 156,659 $ — $ — $ — $ — Frontier Trading Companies VII, LLC $ (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 ) Frontier Trading Company XXXVIII, LLC 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 $ (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 $ (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 (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 — — — — — — — — — — — — Frontier Trading Company VII, LLC (97,941 ) (464,066 ) 2,290,012 1,728,005 — — — — (424,248 ) (527,556 ) 479,923 (471,881 ) Frontier Trading Company XIV, LLC — — — — (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 — — — — (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 ) Frontier Trading Company XXXVIII, LLC (50,346 ) (933,870 ) 45,351 (938,865 ) (50,360 ) (940,340 ) (356,821 ) (1,347,521 ) — — — — Frontier Trading Company XXXIX, LLC 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 $ (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 As of December 31, 2023 As of December 31, 2022 Percentage of Percentage of Series Total Series Total Capital Invested in Capital Invested in Unconsolidated Trading Companies Fair Value Unconsolidated Trading Companies Fair Value Series Frontier Diversified Series: Frontier Trading Company XXXVIII 2.24 % $ 33,061 1.00 % $ 28,671 Frontier Masters Fund: Frontier Trading Company XXXVIII 2.53 % $ 8,598 1.64 % $ 11,418 Frontier Long/Short Commodity Fund: Frontier Trading Company XXXVIII 2.31 % $ 17,181 1.75 % $ 23,810 Frontier Balanced Fund: Frontier Trading Company XXXVIII 1.54 % $ 77,766 1.46 % $ 136,169 Frontier Select Fund: Frontier Trading Companies XXXVIII 3.92 % $ 30,934 1.36 % $ 20,414 Frontier Global Fund: Frontier Trading Company XXXVIII 2.62 % $ 28,911 0.57 % $ 16,200 Frontier Heritage Fund: Frontier Trading Company XXXVIII 1.80 % $ 29,840 0.91 % $ 27,970 F-39 Redemptions Redemptions Redemptions Liquidity Notice Period Permitted Permitted Restrictions Equinox Frontier Diversified Fund Multi-Strategy Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC 24 hours Weekly NoneGalaxy Plus Fund - LRRQuantica Managed Futures Feeder Fund (522)(507) LLC 24 hours Weekly Daily None Galaxy Plus Fund - QuantmetricsWelton GDP Feeder Fund (527)(538) LLC 24 hours Weekly Daily None Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None Frontier Masters Fund Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Weekly NoneGalaxy Plus Fund - Chesapeake Feeder Fund (518) LLCDaily 24 hours WeeklyNoneMulti-Strategy NoneGalaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours WeeklyNoneGalaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursWeeklyNoneGalaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursWeeklyNoneOption Trading Galaxy Plus Fund - DohertyQuantica Managed Futures Feeder Fund (528)(507) LLC 24 hours Weekly Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Equinox Frontier MastersLong/Short Commodity FundMulti-Strategy Galaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours Daily None Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC 24 hours Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Frontier Balanced Fund Multi-Strategy Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC 24 hours Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours Daily None Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours Daily None Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours Daily None Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours Daily None Frontier Select Fund Multi-Strategy Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC 24 hours Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Frontier Global Fund Trend Following Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNoneMulti-Strategy Galaxy Plus Fund - EvE STPAspect Feeder Fund (516)(532) LLC 24 hours Weekly Daily None Equinox Frontier Long/Short Commodity Fund Trend FollowingFrontier Heritage Fund Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyNoneMulti-StrategyGalaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNoneGalaxy Plus Fund - LRR Feeder Fund (522) LLC24 hoursWeeklyNoneEquinox Frontier Balanced Fund Multi-Strategy Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC 24 hours Weekly NoneGalaxy Plus Fund - QuantmetricsWelton GDP Feeder Fund (527)(538) LLC 24 hours Weekly NoneGalaxy Plus Fund - LRR Feeder Fund (522) LLCDaily 24 hours WeeklyNone NoneTrend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours WeeklyNoneGalaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC24 hoursWeeklyNoneGalaxy Plus Fund - QIM Feeder Fund (526) LLC24 hoursWeeklyNoneGalaxy Plus Fund - Quest Feeder Fund (517) LLC24 hoursWeeklyNoneOption Trading Daily Galaxy Plus Fund - Doherty Feeder Fund (528) LLCNone 24 hoursWeeklyNoneF-406. 6.Transactions with Affiliates advisorymanagement fees or advisorymanagement fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner will make contributions to the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Equinox Frontier Balanced Fund Class 1AP 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 units the Managing Owner receives in respect of its Minimum Purchase Commitment, the Managing Owner may purchase limited units in any Series as a Limited Owner. Principals of the Managing Owner or affiliates are allowed to own beneficial interests in the Trust, with respect to the Series, as well. All Units purchased by the Managing Owner are held for investment purposes only and not for resale. The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.nominalnotional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management fee equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including nominalnotional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the consolidated Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “nominal“notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund Class 1 and Class 2, and Class 3, 1.0%0.5% for the Equinox Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Equinox Frontier WintonGlobal Fund, Equinox Frontier Long/Short Commodity Fund Class 1a, Class 2a, and Class 3a 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 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this 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.net asset valuenotional assets will be greater than the percentage indicated aboveof the applicable Series’ net asset value to the extent that the nominalnotional assets of the Series exceeds its net asset value. The Managing Owner expects that the nominalnotional 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.FeesFees— —In connection with each Series’ trading activities from January 1, 2016 through October 23, 2016, the Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier WintonGlobal Fund and Equinox Frontier Heritage Fund 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 Series pays to the Managing Owner aan FCM Fee of up to 2.25% per annum of nominalnotional 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 EquinoxThe 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 aan FCM Fee of up to 2.25% of nominalnotional 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-41OperationsOperations. Because the EquinoxFrontier Diversified Fund, Frontier Masters Fund, 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 WintonGlobal 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.In addition, with respectInvestors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of eachany Series as applicable,during the Series pays monthly or quarterlyfirst twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to 3%three percent (3.0%) annually of the NAV annually,(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 Trust, with respectNAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the Series.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-422016, 20152023, 2022 and 2014.2021.For the Year Ended December 31, 2016 Incentive Fee Management Fee Service Fee Trading Fee Equinox Frontier Diversified Fund $ 1,144,159 $ 503,844 $ 247,399 $ 1,435,003 Equinox Frontier Masters Fund 245,244 452,071 151,627 537,884 Equinox Frontier Long/Short Commodity Fund 46,931 201,423 66,889 191,525 Equinox Frontier Balanced Fund 1,395,151 494,734 1,833,220 909,129 Equinox Frontier Select Fund 41,072 271,176 351,053 115,267 Equinox Frontier Winton Fund 99,067 1,069,141 681,308 320,680 Equinox Frontier Heritage Fund 9,072 242,764 254,775 104,146 For the Year Ended December 31, 2015 Incentive Fee Management Fee Service Fee Trading Fee Equinox Frontier Diversified Fund $ 2,068,435 $ 983,948 $ 412,335 $ 1,394,350 Equinox Frontier Masters Fund 618,626 696,963 226,790 579,677 Equinox Frontier Long/Short Commodity Fund 322,090 532,836 109,284 243,193 Equinox Frontier Balanced Fund 1,707,167 1,029,988 2,113,776 740,451 Equinox Frontier Select Fund 158,971 304,539 395,169 110,262 Equinox Frontier Winton Fund 715,409 1,199,380 764,354 288,023 Equinox Frontier Heritage Fund 132,676 280,570 287,946 96,359 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 Equinox Frontier Masters Fund 1,123,545 903,032 309,234 603,389 Equinox Frontier Long/Short Commodity Fund 253,177 821,891 132,136 280,737 Equinox Frontier Balanced Fund 3,620,437 1,092,555 2,027,439 694,288 Equinox Frontier Select Fund 363,142 496,959 394,486 109,839 Equinox Frontier Winton Fund 1,800,488 1,172,990 724,365 263,069 Equinox Frontier Heritage Fund 370,450 327,702 270,399 88,113 For the Year Ended December 31, 2023 Incentive (Rebate) Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 797 $ 80,028 Frontier Masters Fund - - 310 36,622 Frontier Long/Short Commodity Fund (5,126 ) - 164 30,053 Frontier Balanced Fund - 16,237 163,312 316,070 Frontier Select Fund - - 30,349 35,241 Frontier Global Fund - - 53,005 97,276 Frontier Heritage Fund - - 63,432 105,647 For the Year Ended December 31, 2022 Incentive
(Rebate) Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ (13,788 ) $ - $ 1,128 $ 123,260 Frontier Masters Fund - - 563 55,575 Frontier Long/Short Commodity Fund - - 270 41,502 Frontier Balanced Fund 213,064 18,115 263,174 475,553 Frontier Select Fund - - 53,197 60,136 Frontier Global Fund - - 84,304 148,079 Frontier Heritage Fund - - 92,170 140,566 For the Year Ended December 31, 2021 Incentive
(Rebate) Fees Management
Fee Service
Fee Trading
Fee Frontier Diversified Fund $ - $ - $ 2,118 $ 125,429 Frontier Masters Fund - - 628 52,957 Frontier Long/Short Commodity Fund - - 228 38,961 Frontier Balanced Fund 158,775 18,441 258,209 435,300 Frontier Select Fund - - 46,410 46,943 Frontier Global Fund - - 76,678 140,017 Frontier Heritage Fund - - 68,400 101,631 F-4320162023 and 2015.2022.As of December 31, 2016 Incentive Fees Management Fees Interest Fees Service Fees Trading Fees Equinox Frontier Diversified Fund $ — $ 23,496 $ — $ 15,193 $ 147,183 Equinox Frontier Masters Fund — 50,174 — 9,037 57,890 Equinox Frontier Long/Short Commodity Fund — — — 3,542 23,478 Equinox Frontier Balanced Fund — 25,217 21,606 129,956 203,324 Equinox Frontier Select Fund — 21,219 3,518 25,966 18,129 Equinox Frontier Winton Fund — 256,824 30,730 39,370 55,142 Equinox Frontier Heritage Fund — 56,501 7,420 16,457 17,953 As of December 31, 2023 Incentive
Fees Management
Fees Interest
Fees Service
Fees Trading
Fees Frontier Diversified Fund $ - $ - $ - $ 46 $ 4,735 Frontier Masters Fund - - - 17 2,617 Frontier Long/Short Commodity Fund - - 40 8 1,896 Frontier Balanced Fund 692 2,440 995 8,793 20,160 Frontier Select Fund - - 308 1,878 2,305 Frontier Global Fund - - 420 2,704 5,301 Frontier Heritage Fund - - 436 3,484 6,943 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 As of December 31, 2022 Incentive
Fees Management
Fees Interest
Fees Service
Fees Trading
Fees Frontier Diversified Fund $ - $ - $ - $ 85 $ 9,653 Frontier Masters Fund - - - 43 4,443 Frontier Long/Short Commodity Fund - - 53 21 3,447 Frontier Balanced Fund 692 1,573 2,306 16,784 36,946 Frontier Select Fund - - 342 3,630 4,454 Frontier Global Fund - - 302 6,437 12,480 Frontier Heritage Fund - - 447 6,432 11,679 Equinox Frontier Balanced Fund (Class 1 and Class 2), Equinox Frontier WintonLong/Short Commodity Fund Equinox(Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 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.F-44amountsinterest paid by each Series to the Managing Owner and its ratio to average net assets for the years ended December 31, 2016, 20152023, 2022 and 2014: 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 Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $0, $955,000 and, $1,040,000, respectively, for the years ended December 31, 2016, 2015 and 2014, respectively.2021:Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $776,430, $623,715 and, $1,136,465, respectively, for the years ended December 31, 2016, 2015 and 2014. 2023 2022 2021 2023 2022 2021 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 Frontier Long/Short Commodity Fund Class 2 $ 15 $ 17 $ 22 0.09 % 0.06 % 0.06 % Frontier Long/Short Commodity Fund Class 3 652 585 659 0.08 % 0.05 % 0.06 % Frontier Balanced Fund Class 1 11,521 13,088 8,660 0.22 % 0.15 % 0.10 % Frontier Balanced Fund Class 1AP 132 128 108 0.22 % 0.15 % 0.11 % Frontier Balanced Fund Class 2 2,576 2,970 1,749 0.22 % 0.15 % 0.10 % Frontier Balanced Fund Class 2a 13 17 16 0.05 % 0.03 % 0.02 % Frontier Balanced Fund Class 3a 165 156 103 0.04 % 0.03 % 0.02 % Frontier Select Fund Class 1 3,846 3,556 2,876 0.38 % 0.20 % 0.19 % Frontier Select Fund Class 1AP 32 29 20 0.38 % 0.20 % 0.19 % Frontier Select Fund Class 2 226 185 138 0.39 % 0.20 % 0.18 % Frontier Global Fund Class 1 1,746 5,232 3,665 0.10 % 0.19 % 0.14 % Frontier Global Fund Class 2 71 293 281 0.08 % 0.18 % 0.14 % Frontier Heritage Fund Class 1 2,247 5,196 3,669 0.11 % 0.17 % 0.16 % Frontier Heritage Fund Class 1AP 12 22 14 0.11 % 0.17 % 0.16 % Frontier Heritage Fund Class 2 233 451 373 0.11 % 0.17 % 0.16 % Total $ 23,487 $ 31,925 $ 22,353 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-45During 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 2016, 20152023, 2022 and 2014.2021. This data has been derived from the information presented in the consolidated financial statements. 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 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, 2015 $ 128.03 $ 133.59 $ 179.69 $ 154.88 $ 154.37 $ 90.35 $ 94.28 $ 125.11 Net operating results: Interest income 0.15 0.15 0.21 0.18 0.18 0.01 0.00 0.01 Expenses (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 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 Ratios to average net assets Net investment income/(loss) -7.65 % -3.62 % -3.62 % -3.62 % -3.62 % -8.44 % -4.26 % -4.24 % 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) 6.89 % 10.12 % 10.12 % 10.75 % 10.75 % 4.42 % 7.61 % 7.62 % Total return after incentive fees (2) 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 % Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund Class 2 Class 3 Class 2 Class 3 Class 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, December 31, 2022 $ 96.37 $ 90.72 $ 94.64 $ 89.45 $ 109.65 $ 71.93 $ 115.03 $ 76.29 Net operating results: Interest income 0.18 0.17 0.38 0.36 0.33 0.22 0.34 0.23 Expenses (3.14 ) (2.96 ) (5.54 ) (5.20 ) (2.30 ) (1.50 ) (2.35 ) (1.58 ) Net gain/(loss) on investments, net of non-controlling interests (25.23 ) (23.58 ) (24.09 ) (22.65 ) (34.94 ) (22.29 ) (36.71 ) (23.52 ) Net income/(loss) (28.19 ) (26.37 ) (29.25 ) (27.49 ) (36.91 ) (23.57 ) (38.72 ) (24.87 ) Net asset value, December 31, 2023 $ 68.18 $ 64.35 $ 65.39 $ 61.96 $ 72.74 $ 48.36 $ 76.31 $ 51.42 Ratios to average net assets Net investment income/(loss) -3.60 % -3.60 % -6.49 % -6.49 % -2.11 % -2.11 % -2.11 % -2.11 % Expenses before incentive fees (rebate) (3)(4) 3.83 % 3.83 % 6.97 % 6.97 % 2.96 % 2.96 % 2.96 % 3.06 % Expenses after incentive fees (rebate) (3)(4) 3.83 % 3.83 % 6.97 % 6.97 % 2.46 % 2.46 % 2.46 % 2.46 % Total return before incentive fees (rebate) (2) -29.25 % -29.07 % -30.91 % -30.74 % -34.16 % -33.27 % -34.16 % -33.20 % Total return after incentive fees (rebate) (2) -29.25 % -29.07 % -30.91 % -30.74 % -33.66 % -32.77 % -33.66 % -32.60 % Incentive fee (rebate) per share - - - - (0.47 ) (0.30 ) (0.48 ) (0.39 ) Incentive Fee (rebate) to ANA 0.00 % 0.00 % 0.00 % 0.00 % -0.50 % -0.50 % -0.50 % -0.60 % Frontier Balanced Fund Frontier Select Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2022 $ 99.17 $ 127.56 $ 172.01 $ 149.47 $ 148.96 $ 71.23 $ 91.71 $ 121.70 Net operating results: Interest income (expense) 0.05 0.07 0.10 0.08 0.08 0.00 0.00 0.00 Expenses (6.34 ) (5.04 ) (6.84 ) (5.98 ) (5.91 ) (3.50 ) (2.37 ) (3.14 ) Net gain/(loss) on investments, net of non-controlling interests (30.25 ) (39.58 ) (53.34 ) (46.13 ) (46.03 ) (21.76 ) (28.36 ) (37.64 ) Net income/(loss) (36.54 ) (44.55 ) (60.08 ) (52.03 ) (51.86 ) (25.26 ) (30.73 ) (40.78 ) Net asset value, December 31, 2023 $ 62.63 $ 83.01 $ 111.93 $ 97.44 $ 97.10 $ 45.97 $ 60.98 $ 80.92 Ratios to average net assets Net investment income/(loss) -7.96 % -4.85 % -4.85 % -4.85 % -4.85 % -6.26 % -3.27 % -3.27 % Expenses before incentive fees (3)(4) 8.03 % 4.92 % 4.92 % 4.92 % 4.92 % 6.26 % 3.27 % 3.27 % Expenses after incentive fees (3)(4) 8.03 % 4.92 % 4.92 % 4.92 % 4.92 % 6.26 % 3.27 % 3.27 % Total return before incentive fees (2) -36.85 % -34.93 % -34.93 % -34.81 % -34.81 % -35.47 % -33.50 % -33.51 % Total return after incentive fees (2) -36.85 % -34.93 % -34.93 % -34.81 % -34.81 % -35.47 % -33.50 % -33.51 % Incentive fee per share - - - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2022 $ 185.27 $ 297.25 $ 154.14 $ 198.42 $ 265.55 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (13.30 ) (13.81 ) (9.80 ) (7.67 ) (10.27 ) Net gain/(loss) on investments, net of non-controlling interests (37.37 ) (60.91 ) (37.89 ) (49.55 ) (66.31 ) Net income/(loss) (50.67 ) (74.72 ) (47.69 ) (57.22 ) (76.58 ) Net asset value, December 31, 2023 $ 134.60 $ 222.53 $ 106.45 $ 141.20 $ 188.97 Ratios to average net assets Net investment income/(loss) -8.25 % -5.25 % -7.53 % -4.53 % -4.53 % Expenses before incentive fees (3)(4) 8.25 % 5.25 % 7.53 % 4.53 % 4.53 % Expenses after incentive fees (3)(4) 8.25 % 5.25 % 7.53 % 4.53 % 4.53 % Total return before incentive fees (2) -27.35 % -25.14 % -30.94 % -28.84 % -28.84 % Total return after incentive fees (2) -27.35 % -25.14 % -30.94 % -28.84 % -28.84 % Incentive fee per share - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % (1) (1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. (2) (2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. (3) (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 Series, see footnote 6. (4) Expense ratios do not include mangementmanagement and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees areis included in the total return.F-46 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 % Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund Class 2 Class 3 Class 2 Class 3 Class 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, December 31, 2021 $ 88.98 $ 83.56 $ 70.17 $ 66.15 $ 89.97 $ 58.75 $ 94.38 $ 62.16 Net operating results: Interest income 0.20 0.19 0.35 0.33 0.27 0.17 0.28 0.19 Expenses (3.59 ) (3.37 ) (6.98 ) (6.55 ) (3.27 ) (2.14 ) (3.42 ) (2.27 ) Net gain/(loss) on investments, net of non-controlling interests 10.78 10.34 31.10 29.52 22.68 15.15 23.79 16.21 Net income/(loss) 7.39 7.16 24.47 23.30 19.68 13.18 20.65 14.13 Net asset value, December 31, 2022 $ 96.37 $ 90.72 $ 94.64 $ 89.45 $ 109.65 $ 71.93 $ 115.03 $ 76.29 Ratios to average net assets Net investment income/(loss) -3.17 % -3.17 % -6.45 % -6.45 % -2.60 % -2.60 % -2.60 % -2.60 % Expenses before incentive fees (rebate) (3)(4) 3.76 % 3.76 % 6.78 % 6.78 % 2.83 % 2.83 % 2.83 % 2.83 % Expenses after incentive fees (rebate) (3)(4) 3.35 % 3.35 % 6.78 % 6.78 % 2.83 % 2.83 % 2.83 % 2.83 % Total return before incentive fees (rebate) (2) 7.90 % 8.17 % 34.87 % 35.22 % 21.87 % 22.43 % 21.87 % 22.74 % Total return after incentive fees (rebate) (2) 8.30 % 8.57 % 34.87 % 35.22 % 21.87 % 22.43 % 21.87 % 22.74 % Incentive fee (rebate) per share (0.44 ) (0.41 ) - - - - - - Incentive Fee (rebate) to ANA -0.41 % -0.41 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Frontier Balanced Fund Frontier Select Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2021 $ 82.82 $ 103.38 $ 139.40 $ 120.98 $ 120.57 $ 63.39 $ 79.21 $ 105.10 Net operating results: Interest income (expense) (0.02 ) (0.02 ) (0.03 ) (0.02 ) (0.02 ) 0.00 0.00 0.00 Expenses (10.14 ) (8.70 ) (11.74 ) (10.13 ) (10.17 ) (5.39 ) (3.54 ) (4.67 ) Net gain/(loss) on investments, net of non-controlling interests 26.51 32.90 44.38 38.64 38.58 13.23 16.04 21.27 Net income/(loss) 16.35 24.18 32.61 28.49 28.39 7.84 12.50 16.60 Net asset value, December 31, 2022 $ 99.17 $ 127.56 $ 172.01 $ 149.47 $ 148.96 $ 71.23 $ 91.71 $ 121.70 Ratios to average net assets Net investment income/(loss) -9.43 % -6.37 % -6.37 % -6.37 % -6.37 % -6.21 % -3.21 % -3.21 % Expenses before incentive fees (3)(4) 7.51 % 4.46 % 4.46 % 4.46 % 4.46 % 6.21 % 3.21 % 3.21 % Expenses after incentive fees (3)(4) 9.42 % 6.36 % 6.36 % 6.36 % 6.36 % 6.21 % 3.21 % 3.21 % Total return before incentive fees (2) 21.65 % 25.29 % 25.30 % 25.45 % 25.45 % 12.37 % 15.78 % 15.79 % Total return after incentive fees (2) 19.75 % 23.39 % 23.39 % 23.55 % 23.54 % 12.37 % 15.78 % 15.79 % Incentive fee per share 2.05 2.60 3.51 3.03 3.04 - - - Incentive Fee to ANA 1.90 % 1.90 % 1.90 % 1.90 % 1.90 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2021 $ 109.45 $ 170.40 $ 103.43 $ 129.19 $ 172.91 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (14.39 ) (13.45 ) (11.60 ) (8.62 ) (11.40 ) Net gain/(loss) on investments, net of non-controlling interests 90.21 140.30 62.31 77.85 104.04 Net income/(loss) 75.82 126.85 50.71 69.23 92.64 Net asset value, December 31, 2022 $ 185.27 $ 297.25 $ 154.14 $ 198.42 $ 265.55 Ratios to average net assets Net investment income/(loss) -8.01 % -5.00 % -7.21 % -4.20 % -4.20 % Expenses before incentive fees (3)(4) 8.01 % 5.00 % 7.21 % 4.20 % 4.20 % Expenses after incentive fees (3)(4) 8.01 % 5.00 % 7.21 % 4.20 % 4.20 % Total return before incentive fees (2) 69.28 % 74.44 % 49.03 % 53.59 % 53.58 % Total return after incentive fees (2) 69.28 % 74.44 % 49.03 % 53.59 % 53.58 % Incentive fee per share - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % (1) (1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. (2) (2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized. (3) (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 consolidated 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 % (4) Frontier Diversified Fund Frontier Masters Fund Frontier Long/Short Commodity Fund Class 1 Class 2 Class 3 Class 1 Class 2 Class 3 Class 2 Class 2a Class 3 Class 3a Per unit operating performance (1) Net asset value, December 31, 2020 $ 72.68 $ 88.95 $ 83.33 $ 55.18 $ 67.54 $ 63.52 $ 85.99 $ 55.29 $ 90.21 $ 58.37 Net operating results: Interest income 0.09 0.11 0.11 0.19 0.27 0.25 0.27 0.17 0.27 0.17 Expenses (4.32 ) (3.28 ) (3.17 ) (6.89 ) (4.56 ) (4.28 ) (2.88 ) (1.74 ) (2.85 ) (1.84 ) Net gain/(loss) on investments, net of non-controlling interests (68.45 )* 3.19 3.28 (48.48 )* 6.92 6.66 6.59 5.04 6.75 5.45 Net income/(loss) (72.68 )* 0.03 0.23 (55.18 )* 2.63 2.63 3.98 3.46 4.17 3.79 Net asset value, December 31, 2021 $ - * $ 88.98 $ 83.56 $ - * $ 70.17 $ 66.15 $ 89.97 $ 58.75 $ 94.38 $ 62.16 Ratios to average net assets Net investment income/(loss) -10.83 % -6.54 % -6.54 % -24.03 % -11.12 % -11.12 % -5.16 % -5.16 % -5.16 % -5.16 % Expenses before incentive fees (3)(4) 11.07 % 6.78 % 6.78 % 24.71 % 11.81 % 11.81 % 5.70 % 5.70 % 5.70 % 5.70 % Expenses after incentive fees (3)(4) 11.07 % 6.78 % 6.78 % 24.71 % 11.81 % 11.81 % 5.70 % 5.70 % 5.70 % 5.70 % Total return before incentive fees (2) 5.06 %* 0.03 % 0.28 % 4.59 %* 3.89 % 4.14 % 4.63 % 6.25 % 4.63 % 6.49 % Total return after incentive fees (2) 5.06 %* 0.03 % 0.28 % 4.59 %* 3.89 % 4.14 % 4.63 % 6.25 % 4.63 % 6.49 % Incentive fee per share - - - - - - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Frontier Balanced Fund Frontier Select Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2020 $ 79.93 $ 96.81 $ 130.54 $ 113.20 $ 112.81 $ 58.55 $ 70.99 $ 94.20 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Expenses (7.39 ) (6.40 ) (7.92 ) (7.83 ) (6.75 ) (3.87 ) (2.22 ) (2.95 ) Net gain/(loss) on investments, net of non-controlling interests 10.28 12.97 16.78 15.61 14.51 8.71 10.44 13.86 Net income/(loss) 2.89 6.57 8.86 7.78 7.76 4.84 8.22 10.90 Net asset value, December 31, 2021 $ 82.82 $ 103.38 $ 139.40 $ 120.98 $ 120.57 $ 63.39 $ 79.21 $ 105.10 Ratios to average net assets Net investment income/(loss) -15.38 % -9.53 % -9.53 % -9.53 % -9.53 % -11.80 % -5.79 % -5.79 % Expenses before incentive fees (3)(4) 13.99 % 8.14 % 8.14 % 8.14 % 8.14 % 11.80 % 5.79 % 5.79 % Expenses after incentive fees (3)(4) 15.38 % 9.53 % 9.53 % 9.53 % 9.53 % 11.80 % 5.79 % 5.79 % Total return before incentive fees (2) 5.01 % 8.18 % 8.18 % 8.27 % 8.27 % 8.27 % 11.58 % 11.57 % Total return after incentive fees (2) 3.61 % 6.79 % 6.79 % 6.87 % 6.88 % 8.27 % 11.58 % 11.57 % Incentive fee per share 1.24 1.64 2.03 2.01 1.74 - - - Incentive Fee to ANA 1.39 % 1.39 % 1.39 % 1.39 % 1.39 % 0.00 % 0.00 % 0.00 % Frontier Global Fund Frontier Heritage Fund Class 1 Class 2 Class 1 Class 1AP Class 2 Per unit operating performance (1) Net asset value, December 31, 2020 $ 110.90 $ 167.56 $ 96.10 $ 116.50 $ 155.92 Net operating results: Interest income 0.00 0.00 0.00 0.00 0.00 Expenses (9.45 ) (8.67 ) (7.58 ) (5.34 ) (7.16 ) Net gain/(loss) on investments, net of non-controlling interests 8.00 11.51 14.91 18.03 24.16 Net income/(loss) (1.45 ) 2.84 7.33 12.69 16.99 Net asset value, December 31, 2021 $ 109.45 $ 170.40 $ 103.43 $ 129.19 $ 172.91 Ratios to average net assets Net investment income/(loss) -15.46 % -9.73 % -14.26 % -8.18 % -8.18 % Expenses before incentive fees (3)(4) 15.46 % 9.73 % 14.26 % 8.18 % 8.18 % Expenses after incentive fees (3)(4) 15.46 % 9.73 % 14.26 % 8.18 % 8.18 % Total return before incentive fees (2) -1.31 % 1.70 % 7.62 % 10.89 % 10.90 % Total return after incentive fees (2) -1.31 % 1.70 % 7.62 % 10.89 % 10.90 % Incentive fee per share - - - - - Incentive Fee to ANA 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % (1) Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. (2) (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) (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 Statementsconsolidated statements of Operationsoperations 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-488.Derivative Instruments and Hedging Activities(4) Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees is included in the total return. * Class 1A of Frontier Long/Short Commodity Fund was liquidated as of September 30, 2020. 20162023 and 20152022 is included in the Condensedconsolidated condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.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 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 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 Bought Sold 324 323 F-49Table of ContentsFor the Year Ended December 31, 2022 Bought Sold Frontier Balanced Fund 296 295 Bought Sold Frontier Balanced Fund 652 654 2016, 20152023, 2022 and 20142021 by sector:20162023 Equinox Frontier Long/Short Equinox Frontier Equinox Frontier Equinox Frontier Type of contract Commodity Fund Balanced Fund Select Fund Winton Fund Frontier
Balanced Fund Metals $ (34,888 ) $ 182,563 $ (410,694 ) $ (2,388,858 ) Agriculturals $ 128,298 Currencies — (13,492 ) 900,699 2,423,468 (137,759 ) Energies 62,750 (486,968 ) (341,104 ) (1,997,815 ) 1,270 Agriculturals (118,076 ) 104,957 (239,338 ) (645,570 ) Interest rates — 5,052,510 1,821,479 3,484,057 (103,008 ) Metals 20,799 Stock indices — (1,061,138 ) 375,929 (282,419 ) (231,826 ) Realized trading income/(loss)(1) $ (90,214 ) $ 3,778,432 $ 2,106,971 $ 592,863 $ (322,226 ) 20152022 Equinox Frontier Equinox Frontier Equinox Frontier Equinox Frontier Type of contract Diversified Fund Balanced Fund Select Fund Winton Fund Metals $ (290,825 ) $ (1,177,902 ) $ 318,485 $ 1,193,164 Agriculturals $ (385,424 ) Currencies 1,383,673 (1,439,511 ) (1,139,499 ) (708,080 ) 683,628 Energies 583,688 1,689,728 2,554,163 4,578,349 94,910 Agriculturals (393,721 ) (713,403 ) (430,337 ) 163,315 Interest rates 4,591,068 2,060,482 465,975 2,023,333 230,542 Metals (115,239 ) Stock indices 2,725,801 (584,380 ) (383,178 ) (3,884,112 ) 299,210 Realized trading income/(loss)(1) $ 8,599,684 $ (164,986 ) $ 1,385,609 $ 3,365,969 $ 807,627 20142021 Equinox Frontier Long/Short Equinox Frontier Equinox Frontier Type of contract Commodity Fund Balanced Fund Diversified Fund
Fund Metals $ (60,704 ) $ 395,916 $ (137,422 ) Agriculturals $ 191,851 Currencies (278,672 ) 4,230,277 2,058,953 96,075 Energies (1,920,468 ) 514,658 1,116,359 148,710 Agriculturals (252,807 ) 712,902 1,285,340 Interest rates (223,175 ) 10,131,219 7,556,999 108,590 Metals 123,350 Stock indices 154,966 (1,678,771 ) 3,975,474 204,123 Realized trading income/(loss)(1) $ (2,580,860 ) $ 14,306,201 $ 15,855,703 $ 872,699 (1) (1)Amounts recorded in the consolidated Statements of Operations under Net realized gain(loss) on futures forwards and optionsoptions.F-5020162023 Equinox Frontier Long/Short Equinox Frontier Equinox Frontier Equinox Frontier Type of contract Commodity Fund Balanced Fund Select Fund Winton Fund Agriculturals $ 2,242 Currencies 501 Interest rates 9,393 Metals $ 40,106 $ 60,680 $ (97,042 ) $ (577,784 ) (28,346 ) 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 ) 122,797 311,568 106 Change in unrealized trading income/(loss)(1) $ 693,263 $ (340,656 ) $ 187,115 $ 466,268 $ (16,104 ) 20152022 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 ) Agriculturals $ 187,295 Currencies (193,292 ) 326,929 68,644 (1,135,570 ) (252,215 ) Energies 147,793 (655,732 ) (87,484 ) (477,721 ) 47,945 Agriculturals 90,444 (27,073 ) (193,259 ) 195,067 Interest rates (924,670 ) (1,209,945 ) (1,031,494 ) (587,015 ) (108,413 ) Metals 98,894 Stock indices 503,775 (155,839 ) (298,237 ) 136,082 13,328 Change in unrealized trading income/(loss)(1) $ 450,401 $ (1,623,264 ) $ (1,200,359 ) $ (2,127,402 ) $ (13,166 ) 20142021 Equinox Frontier Long/Short Equinox Frontier Equinox Frontier Type of contract Commodity Fund Balanced Fund Diversified Fund Metals $ (162,388 ) $ (637,522 ) $ (146,990 ) Agriculturals $ (13,842 ) Currencies (6,439 ) (1,098,156 ) 844,069 11,977 Energies 1,631,427 711,051 533,875 (14,160 ) Agriculturals (574,982 ) (445,848 ) 17,224 Interest rates 322,580 1,984,817 2,428,862 (37,684 ) Metals (28,136 ) Stock indices (248,852 ) (889,661 ) (2,255,470 ) (7,461 ) Change in unrealized trading income/(loss)(1) $ 961,346 $ (375,319 ) $ 1,421,570 $ (89,306 ) (1) (1)Amounts recorded in the consolidated Statements of Operations under Net change in open trade equity/(deficit) F-5120162023 and 2015.2022.20162023 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 Gross Amounts of
recognized
Derivative
Assets/Liabilities Gross Amounts
offset in the
Statements of
Financial Condition Net Amounts
Presented in the
Statements of
Financial Condition Frontier Balanced Fund Open Trade Equity/(Deficit) $ 14,434 $ (28,868 ) $ (14,434 ) 20152022 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 Gross Amounts of
recognized
Derivative Assets Gross Amounts
offset in the
Statements of
Financial Condition Net Amounts
Presented in the
Statements of
Financial Condition Frontier Balanced Fund Open Trade Equity/(Deficit) $ 3,438 $ (1,768 ) $ 1,670 F-52Table of Contents9. Trading Activities and Related Risks9.Trading Activities and Related RisksCommodity Exchange Act, as amended (the “Commodity Exchange Act”)CEA requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property (for example, U.S. treasury bills) deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.clearinghouseclearing house or other counterparty will be able to meet its obligations to any Trading Company.10.Indemnifications and Guaranteesbad faith.willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with UBS Securities LLCthe custodian of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the guaranteesindemnifications in the accompanying consolidated 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-5311.Subsequent EventsOn 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”).11. Subsequent EventsTransaction was consummated on March 6, 2017, and upon consummation of the Transaction, the New Managing Owner becameevaluates events that occur after the managing owner of the Trustbalance sheet date but before 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 amendedup until consolidated financial statements are available 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 Newbe issued. The Managing Owner has temporarily suspendedassessed the sale of Units (as definedsubsequent events through the date that the consolidated financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to or disclosure in the 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.consolidated financial statements.The New Managing Owner is seeking to cause the suspension to be lifted as promptly as practicable.From January 1, 2024 through March 26, 2024, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund and Frontier Global Fund paid $257,210, $245,299, $130,094, $19,726, $830, $31,624 and $4,607, respectively in redemptions.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.F-54Report of Independent Registered Public Accounting FirmEquinox of Frontier Fundsstatementsstatement of financial condition, including the combined consolidated condensed schedulesschedule of investments, of Equinoxthe Frontier Funds (the Trust)“Trust”) as of December 31, 20162023 and 2015,2022, and the related combined consolidated statements of operations, changes in owners’ capital and cash flows for eachthe years ended December 31, 2023, 2022, and 2021, and the related notes to the combined consolidated financial statements (collectively referred to as the “financial statements”). In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the threeTrust as of December 31, 2023 and 2022, and the results of its operations and its cash flows for the years ended December 31, 2023, 2022, and 2021, in conformity with accounting principles generally accepted in the period then ended. United States of America. consolidated financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on thesethe Trust’s financial statements based on our audits.audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.auditsaudit in accordance with the standards of the Public Company Accounting Oversight Board (United States).PCAOB. Those standards require that we plan and perform the auditsaudit to obtain reasonable assurance about whether the financial statements are free of material misstatement.misstatement, whether due to error or fraud. 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 considerationAs part of our audit, we are required to obtain an understanding 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. Analso includesof the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supportingregarding the amounts and disclosures in the financial statements, assessingstatements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statement presentation.statements. We believe that our auditsaudit provide a reasonable basis for our opinion.In our opinion,Critical Audit Mattersconsolidatedcurrent period audit of the financial statements referredthat were communicated or required to above present fairly, in allbe communicated to the audit committee and that: (1) relate to accounts or disclosures that are material respects,to the financial positionstatements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.Equinoxthe Frontier Funds as of December 31, 2016 and 2015, and the results of their operations and their cash flows for each of the three years in the period then ended, in conformity with U.S. generally accepted accounting principles.Trust since 2019.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/ RSM US LLPMarch 31, 2017April 1, 2024F-5520162023 and 2015December 31, 2022 12/31/16 12/31/15 ASSETS Cash and cash equivalents $ 4,747,043 $ 13,975,625 U.S. Treasury securities, at fair value 42,757,604 117,478,438 Receivable from futures commission merchants 32,852,013 72,731,570 Open trade equity, at fair value 2,146,207 — Options purchased, at fair value — 526,288 Swap contracts, at fair value 40,189,178 40,136,065 Investments in private investment companies, at fair value 107,717,118 — Prepaid service fees — 24,251 Interest receivable 798,053 2,039,516 Receivables from related parties 87,670 3,120 Other assets — 17 Total Assets $ 231,294,886 $ 246,914,890 LIABILITIES & CAPITAL LIABILITIES Open trade deficit, at fair value $ — $ 4,348,870 Written options, at fair value — 165,760 Pending owner additions — 36,462 Owner redemptions payable 1,137,772 612,170 Incentive fees payable to Managing Owner — 382,136 Management fees payable to Managing Owner 433,430 402,943 Interest payable to Managing Owner 63,275 162,121 Trading fees payable to Managing Owner 523,099 282,522 Service fees payable to Managing Owner 239,520 273,856 Risk analysis fees payable 15,673 — Payables to related parties 85,078 63,744 Advance on unrealized Swap Appreciation 9,441,555 — Other liabilities 144,049 7 Total Liabilities 12,083,451 6,730,591 OWNERS CAPITAL Managing Owner Units 2,276,211 5,798,155 Limited Owner Units 216,935,224 234,386,144 Total Owners Capital 219,211,435 240,184,299 Total Liabilities and Owners Capital $ 231,294,886 $ 246,914,890 December 31,
2023 December 31,
2022 ASSETS Cash and cash equivalents $ 671,592 $ 430,193 U.S. Treasury securities, at fair value 37,939 389,520 Receivable from futures commission merchants 769,384 320,241 Open trade equity, at fair value - 1,670 Investments in private investment companies, at fair value 10,539,963 21,440,327 Interest receivable 2,645 9,701 Total Assets $ 12,021,523 $ 22,591,652 LIABILITIES & CAPITAL LIABILITIES Open trade deficit, at fair value $ 14,434 $ - Redemptions payable 24,908 67,761 Incentive fees payable to Managing Owner 692 692 Management fees payable to Managing Owner 2,440 1,573 Interest payable to Managing Owner 2,199 3,450 Trading fees payable to Managing Owner 43,957 83,102 Service fees payable to Managing Owner 16,930 33,432 Risk analysis fees payable 11,307 10,442 Subscriptions in advance for service fee rebates 733,996 710,323 Other liabilities 2,725 14,618 Total Liabilities 853,588 925,393 OWNERS CAPITAL Managing Owner Units 118,288 221,670 Limited Owner Units 11,049,647 21,444,589 Total Owners Capital 11,167,935 21,666,259 Total Liabilities and Owners Capital $ 12,021,523 $ 22,591,652 F-56FundFunds20162023 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 % Fair % of Total Capital Description Value (Net Asset Value) SHORT FUTURES CONTRACTS * Various base metals futures contracts (U.S.) $ (14,434 ) -0.13 % Total Short Futures Contracts $ (14,434 ) -0.13 % Total Open Trade Equity (Deficit) $ (14,434 ) -0.13 % PRIVATE INVESTMENT COMPANIES (1) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 437,641 3.92 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 628,452 5.63 % Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC 1,086,717 9.73 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 226,291 2.03 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 1,578,249 14.13 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 4,345,038 38.91 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 1,757,178 15.73 % Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) 149,233 1.34 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 331,164 2.97 % Total Private Investment Companies $ 10,539,963 94.39 % U.S. TREASURY SECURITIES US Treasury Note 6.875% due 08/15/2025 37,939 0.34 % Total U.S. Treasury Securities $ 37,939 0.34 % * *Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. (1) (1)See Notes to Consolidated Financial Statements, Note 4.(2)See Notes to Consolidated Financial Statements, Note 5. F-57FundFunds
December 31, 20152022 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 % Fair % of Total Capital Description Value (Net Asset Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (U.S.) $ 1,590 0.01 % Various base metals futures contracts (U.S.) 897 0.00 % Various currency futures contracts (U.S.) (230 ) 0.00 % Total Long Futures Contracts $ 2,257 0.01 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Europe) $ (227 ) 0.00 % Various currency futures contracts (Europe) 67 0.00 % Various currency futures contracts (Far East) (55 ) 0.00 % Various currency futures contracts (U.S.) (216 ) 0.00 % Various interest rates futures contracts (U.S.) (50 ) 0.00 % Various stock index futures contracts (Far East) (106 ) 0.00 % Total Short Futures Contracts $ (587 ) 0.00 % Total Open Trade Equity (Deficit) $ 1,670 0.01 % PRIVATE INVESTMENT COMPANIES (1) Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC $ 563,258 2.60 % Galaxy Plus Fund - QIM Feeder Fund (526) LLC 2,257,286 10.42 % Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC 2,154,581 9.94 % Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC 264,652 1.22 % Galaxy Plus Fund - Quest Feeder Fund (517) LLC 2,415,351 11.15 % Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 8,276,260 38.20 % Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 4,682,572 21.61 % Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC) 252,472 1.17 % Galaxy Plus Fund - LRR Feeder Fund (522) LLC 573,895 2.65 % Total Private Investment Companies $ 21,440,327 98.96 % U.S. TREASURY SECURITIES US Treasury Note 6.875% due 08/15/2025 389,520 1.80 % Total U.S. Treasury Securities $ 389,520 1.80 % * *Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented. (1) (1)See Notes to Consolidated Financial Statements, Note 4.5.F-58ContentsOperationsEquinox Frontier FundsConsolidated Statements of OperationsFor the Years Ended December 31, 2016, 2015 and 2014 2016 2015 2014 Investment income: Interest - net $ 585,952 $ 1,034,549 $ 1,121,287 Total Income 585,952 1,034,549 1,121,287 Expenses: Incentive Fees 2,980,696 5,723,374 11,993,289 Management Fees 3,235,153 5,028,224 5,857,792 Risk analysis Fees 89,265 — — Service Fees - Class 1 3,586,271 4,309,654 4,357,428 Trading Fees 3,613,634 3,452,315 3,327,096 Total Expenses 13,505,019 18,513,567 25,535,605 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 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) 6,811,181 (19,985,903 ) (1,839,399 ) Net unrealized gain/(loss) on swap contracts 53,113 3,145,177 14,538,860 Net realized gain/(loss) on U.S. Treasury securities 7,709,486 1,146,411 (429,638 ) Net unrealized gain/(loss) on U.S. Treasury securities (5,181,917 ) (2,972,057 ) 13,833,243 Trading commissions (732,436 ) (2,741,423 ) (3,832,184 ) Net gain/(loss) on investments 18,429,644 13,309,969 78,486,305 NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $ 5,510,577 $ (4,169,049 ) $ 54,071,987 2023 2022 2021 Investment income: Interest - net $ 15,880 $ 10,897 $ 11,678 Total Income 15,880 10,897 11,678 Expenses: Incentive Fees (rebate) (5,126 ) 199,276 158,775 Management Fees 16,237 18,115 18,441 Risk analysis Fees 6,391 5,434 5,532 Service Fees - Class 1 311,369 494,806 452,671 Due Diligence Fees 3,512 5,527 5,717 Trading Fees 700,937 1,044,671 941,238 Total Expenses 1,033,320 1,767,829 1,582,374 Investment income/(loss) - net (1,017,440 ) (1,756,932 ) (1,570,696 ) Realized and unrealized gain/(loss) on investments: Net realized gain/(loss) on futures, forwards and options (322,226 ) 807,627 872,699 Net unrealized gain/(loss) on private investment companies (6,248,287 ) 4,643,860 511,420 Net realized gain/(loss) on private investment companies 1,183,455 2,137,393 1,417,718 Net change in open trade equity/(deficit) (16,104 ) (13,166 ) (89,306 ) Net realized gain/(loss) on U.S. Treasury securities (25,553 ) (62,411 ) (34,992 ) Net unrealized gain/(loss) on U.S. Treasury securities (295 ) 1,166 (866 ) Trading commissions (10,773 ) (8,536 ) (15,423 ) Net gain/(loss) on investments (5,439,783 ) 7,505,933 2,661,250 NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS $ (6,457,223 ) $ 5,749,001 $ 1,090,554 F-59ContentsChanges in Owners’ Capital
for the Year Ended December 31, 2023Equinox Frontier FundsConsolidated Statements of Changes in Owners’ CapitalFor the Years Ended December 31, 2016, 2015 and 2014 Managing Limited Owner Owners Total Owners’ Capital, December 31, 2013 $ 4,801,516 $ 296,220,779 $ 301,022,295 Sale of Units 23,159 15,657,259 15,680,418 Redemption of Units (317,674 ) (100,250,717 ) (100,568,391 ) 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 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 Managing Owner Limited Owners Total Owners’ Capital, December 31, 2020 $ 283,217 $ 25,285,922 $ 25,569,139 Sale of Units (including transfers) 7,000 - 7,000 Redemption of Units (including transfers) (90,800 ) (6,236,203 ) (6,327,003 ) Net increase/(decrease) in Owners’ Capital resulting from operations 15,105 1,075,449 1,090,554 . Owners’ Capital, December 31, 2021 $ 214,522 $ 20,125,168 $ 20,339,690 Redemption of Units (including transfers) (59,300 ) (4,363,132 ) (4,422,432 ) Net increase/(decrease) in Owners’ Capital resulting from operations 66,448 5,682,553 5,749,001 Owners’ Capital, December 31, 2022 $ 221,670 $ 21,444,589 $ 21,666,259 Redemption of Units (including transfers) (41,850 ) (3,999,251 ) (4,041,101 ) Net increase/(decrease) in Owners’ Capital resulting from operations (61,532 ) (6,395,691 ) (6,457,223 ) Owners’ Capital, December 31, 2023 $ 118,288 $ 11,049,647 $ 11,167,935 The consolidated Trust is not unitized as are the individual Series of the TrustF-60
Combined Consolidated Statements of ContentsCash FlowsEquinox Frontier FundsConsolidated Statements of Cash FlowsFor 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 2023 2022 2021 Cash Flows from Operating Activities: Net increase/(decrease) in capital resulting from operations $ (6,457,223 ) $ 5,749,001 $ 1,090,554 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 16,104 13,166 85,604 Net change in ownership allocation of U.S. Treasury Securities (26,169 ) (15,849 ) (16,260 ) Net unrealized (gain)/loss on private investment companies 6,248,287 (4,643,860 ) (511,420 ) Net realized (gain)/loss on private investment companies (1,183,455 ) (2,137,393 ) (1,417,718 ) Net unrealized (gain)/loss on U.S. Treasury securities 295 (1,166 ) 866 Net realized (gain)/loss on U.S. Treasuries securities 25,553 62,411 34,992 (Purchases) sales of: (Purchases) of U.S. Treasury securities (1,126,364 ) (3,152,834 ) (2,415,391 ) Sales of U.S. Treasury securities 1,462,386 2,847,509 4,526,234 (Purchases) of Private Investment Companies (3,542,791 ) (17,491,552 ) (6,734,082 ) Sales of Private Investment Companies 9,378,323 22,427,541 12,157,468 U.S. Treasury interest and premium paid/amortized 15,880 10,897 11,678 Increase and/or decrease in: Receivable from futures commission merchants (449,143 ) 498,121 (584,389 ) Interest receivable 7,056 (6,672 ) 42,550 Redemptions receivable from private investment companies - - 181,323 Incentive fees payable to Managing Owner - (54,010 ) 54,702 Management fees payable to Managing Owner, net of change in receivable 867 142 (7,423 ) Interest payable to Managing Owner (1,251 ) 1,736 (393 ) Trading fees payable to Managing Owner (39,145 ) 12,104 (10,700 ) Service fees payable to Managing Owner (16,502 ) 1,513 (4,786 ) Risk analysis fees payable 865 62 867 Subscriptions in advance for service fee rebates 23,673 36,514 34,847 Other liabilities (11,893 ) (3,007 ) 1,033 Net cash provided by operating activities 4,325,353 4,154,374 6,520,156 Cash Flows from Financing Activities: Proceeds from sale of capital - - 7,000 Payment for redemption of capital (4,041,101 ) (4,422,432 ) (6,327,004 ) Redemptions payable (42,853 ) (481 ) 30,114 Net cash used in financing activities (4,083,954 ) (4,422,913 ) (6,289,890 ) Net increase (decrease) in cash and cash equivalents 241,399 (268,539 ) 230,266 Cash and cash equivalents, beginning of year 430,193 698,732 468,466 Cash and cash equivalents, end of year $ 671,592 $ 430,193 $ 698,732 F-61Equinox Frontier FundsNotes to Consolidated Financial Statements1.Organization and PurposeEquinox Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust and is set to expire on December 31, 2053. The Trust is a multi-advisor commodity pool, as described in CFTC Regulation § 4.10(d)(2). The Trust has authority to issue separate Series of Units pursuant to the requirements of the Trust Act. The assets of each Series are valued and accounted for separately from the assets of other Series. The Trust is not registered as an investment company under the Investment Company Act. It is managed by the Managing Owner.Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier WintonGlobal Fund, and Equinox Frontier Heritage Fund. The TrustTrust’s combined consolidated financial statements are comprised of each unitized Series’ consolidated financial statements being combined to present all Series which are consolidated into the Trust financial statements.in aggregate. However, the combined consolidated Trust does not issue units.● engages in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts), and may, from time to time, engage in cash and spot transactions;transactions.● allocates funds to a limited liability trading company or companies (“Trading Company” or “Trading Companies”) and or to an unaffiliated series limited liability company (“Galaxy Plus entities (“Galaxy Plus”entities” or “Galaxy Plus entity”). 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)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 vestedinvested 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;entity.●● maintains separate, distinct records for each Series, and accounts for the assets of each Series separately from the other Series;Series.● calculates the Net Asset Value (“NAV”) of its Units for each Series separately from the other Series;Series.● has an investment objective of increasing the value of each Series’ Units over the long term (capital appreciation), while managing risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments;instruments.F-62● 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 Agentsselling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12)twelve(12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier WintonGlobal 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.sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agentsselling 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 soldsold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay Selling Agentsselling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents;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 Daybusiness day to be received by the Managing Owner prior to 4:00 PM in New York.isare maintained in the books and records of each Series.2016,2023, the Trust, with respect to the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund, separates Units into threetwo 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 Fund separates Units into three separate Classes—Class 1, Class 2 and Class 1AP. The Trust, with respect to the Equinox Frontier Long/Short CommodityGlobal Fund, separates Units into a maximum oftwo separate Classes—Class 1 and Class 2. The Trust, with respect to the Frontier Balanced Fund, separates Units into five separate Classes—Class 1a,1, Class 2,1AP, Class 3,2, Class 2a and Class 3a. The Trust, with respect to the Equinox Frontier BalancedLong/Short Commodity Fund, separates Units into a maximum of fivefour separate Classes—Class 1, Class 1AP, Class 2, Class 2a, Class 3 and Class 3a.December 31, 2016,May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, EquinoxFrontier Select Fund, Frontier Balanced Fund and Equinox Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus.Plus Managed Account Platform (“Galaxy Plus Platform”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master FundsFunds”) in the Galaxy Plus.Plus Platform. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC. The SponsorNew Hyde Park. New Hyde Park 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 the Galaxy Plus Platform, approximately 30-70% of those Series’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 the Galaxy Plus Platform, their assets are split between investments in Trading Companies and investments in the pooled cash management account.F-63TableEach of Contentsthe Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.bad faith.willful misconduct.2.Significant Accounting PoliciesConsolidationCombination of consolidated series— The Series, through investing in the Trading Companies and the Galaxy Plus Platform, 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 thea risk analysis fee (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. The Galaxy Plus Platform is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC,New Hyde Park, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. The Galaxy Plus Platform is available to qualified high-net-worth individuals and institutional investors. InvestmentsInvestment 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 combined consolidated statements of financial condition.and Seriesare combined to form the combined consolidated financial statements of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in combination.Plus.Plus Platform. Subscriptions and redemptions by these non-affiliated investors will have a direct impact on the Trust ownership percentage in the Galaxy Plus.Plus Platform. It is expected that ownership percentage will fluctuate (sometimes significantly) on a week by weekweek-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.TreasuriesTreasury securities and assets held at a futures commission merchant (“FCM”),an FCM of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1, and Class 2 only), EquinoxFrontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Equinox Frontier WintonGlobal Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 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 Series, and shown net on the statementcombined consolidated statements of operations.F-64Merchants—Merchants—The Trust deposits assets with aan FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of December 31, 20162023 and December 31, 2022 included restricted cash for margin requirements of $2,631,477$769,384 and $320,241 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.Balanced Fund.210)210).Trust isSeries are able to subscribe into and redeem from the Galaxy Plus entities on a weeklydaily basis. The value of the Private Investment Companiesprivate investment companies is determined by the SponsorNew Hyde Park and reported on a daily basis. The change in value is calculated as the difference between the total purchase proceedscost and the fair value calculated by the SponsorNew Hyde Park and is recorded as net unrealized gain/(loss) on private investment companies on the combined consolidated statements of operations.Earnings—Earnings— Each Series of the Trust may maintain three to seven classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a Class 3a and Class 1AP. All classes have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated daily to Class 1, Class 1a, Class 2, Class 2a, Class 3, Class 3a and Class 1AP Units based on each Class’Class’s respective owners’ capital balances as applicable to the classes maintained by the Series.F-65Taxes—Taxes— The Trust applies the provisions of ASC 740Income Taxes(“ (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the combined consolidated 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 year ended December 31, 2016. 2023.20132020 through 20162023 tax years generally remain subject to examination by U.S. federal and most state tax authorities.Selling Agent Serviceselling 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 asin expenses on the Statementcombined consolidated statements of Operations.operations. The Series are all chargecharged 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 Statementscombined consolidated statements of Operations.operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the combined consolidated statements of operations.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 WintonGlobal 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 Agentsselling 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.selling agents.F-66Recently Adopted Accounting Pronouncements—Owner redemptions payable— In May 2015,Funds payable for existing owner redemption requests are recorded as capital subtractions at the FASB issued ASU No. 2015-07, “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities That Calculate Net Asset ValueNAV per Share (or Its Equivalent).” ASU No. 2015-07 removesunit on the requirement to include investments in the fair value hierarchy for which the fair value is measured at NAV using the practical expedient under “Fair Value Measurements and Disclosures (Topic 820).” ASU No. 2015-07 is effective for annual reporting periods beginning after December 15, 2015, 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, adoption does not affect the Trust’s financial condition, results of operations,second business day following receipt or cash flows.request.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 does not have a material effect on the Trust financial statements.3.Fair Value MeasurementsF-67 receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews, compares and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The swap contracts are reported at fair value using Level 3 inputs. All swap investments were liquidated in 2020.Companies.Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying Private Investment Companiesprivate investment companies as a practical expedient. The FundEach Series applies the practical expedient to its investments in Private Investment Companiesprivate investment companies on an investment-by-investment basis, and consistently with the Fund’sSeries’ entire position in a particular investment, unless it is probable that the FundSeries 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 thatprivate investment companies are measured at fair value using the net asset value per share (or its equivalent) have not been classified inexcluded from the fair value hierarchy below.table below.20162023 and 2015,2022, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:December 31, 2023 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value Open Trade Equity (Deficit) $ (14,434 ) $ - $ - $ (14,434 ) U.S. Treasury Securities 37,939 - - 37,939 December 31, 2022 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value Open Trade Equity (Deficit) $ 1,670 $ - $ - $ 1,670 U.S. Treasury Securities 389,520 - - 389,520 Total 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) $ (4,424,290 ) $ 75,418 $ — $ (4,348,872 ) Swap Contracts — — 40,136,065 40,136,065 U.S. Treasury Securities 117,478,438 — — 117,478,438 Purchased Options — 526,288 — 526,288 Written Options — (165,760 ) — (165,760 ) 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.F-68 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 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, 2016 and 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$53,113The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2015:Swaps$3,145,177The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2014.Swaps$14,535,3584.Swap ContractsSwap,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.F-692016 and 2015, approximately 10.2% and $22,866,000 and 9.3% or $22,873,000, respectively, of the2020, All swaps were sold so that no Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as swap Contracts, at fair value on the Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted.counterparties.The Trust had invested in the following swaps as of and for the year ended December 31, 2016: 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 $11,413,283 $22,580,043 $13,851,707 $1,877,692 Termination Date 3/26/2018 8/2/2018 8/2/2018 8/7/2018 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 Realized Gain/(Loss) $0 $0 $0 $0 Change in Unrealized Gain/(Loss) $431,146 ($218,070) ($48,002) ($111,960) 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 CompaniesPrivate Investment Companiesprivate investment companies as well as the cumulative trading profits or losses allocated to the Trust by the private investment companies. Private Investment Companies. Private Investment Companiesinvestment 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,private investment company, which bears no relationship to the amount of cash invested by the Trust in the Private Investment Companies.private investment companies. Investments in Private Investment Companiesprivate investment companies are valued using the NAV provided by the underlying private investment.F-70The 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 aof feeder funds in which the Trust invests and master trading entities into which the feeder funds invest. No investment held by the Galaxy Plus Platform 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 F-71 Redemptions Redemptions Liquidity Notice Period Permitted Restrictions Frontier Funds Multi-Strategy Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC24 hoursWeeklyNoneGalaxy Plus Fund - LRR Feeder Fund (522) LLC 24 hours WeeklyDaily None Galaxy Plus Fund - QuantmetricsQuantica Managed Futures Feeder Fund (527)(507) LLC 24 hours WeeklyDailyNone Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC 24 hours Daily None Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC 24 hours Daily None Trend Following Galaxy Plus Fund - Aspect Feeder Fund (532) LLC 24 hours WeeklyNoneGalaxy Plus Fund - Chesapeake Feeder Fund (518) LLC24 hoursWeeklyDaily None Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC 24 hours WeeklyDaily None Galaxy Plus Fund - QIM Feeder Fund (526) LLC 24 hours WeeklyDaily None Galaxy Plus Fund - Quest Feeder Fund (517) LLC 24 hours WeeklyNoneOption TradingGalaxy Plus Fund - Doherty Feeder Fund (528) LLC24 hoursWeeklyDaily None 6.Transactions with AffiliatesEquinox Frontier Balanced Fund Class 1AP 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.nominalnotional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statementscombined consolidated statements of Operations.operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “nominal“notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Equinox Frontier Balanced Fund Class 1 Class 2 and Class 3,2, 1.0% for the Equinox Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Equinox Frontier WintonGlobal Fund, Equinox Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a 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 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this 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.F-72net asset valuenotional assets will be greater than the percentage indicated aboveof the applicable Series’ net asset value to the extent that the nominalnotional assets of the Series exceeds its net asset value. The Managing Owner expects that the nominalnotional 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.Fees—Fees— In connection with each Series’ trading activities from January 1, 2016 through October 23, 2016, the Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, EquinoxFrontier Global Fund (formerly Frontier Winton FundFund) and Equinox Frontier Heritage Fund 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 Series pays to the Managing Owner aan FCM Fee of up to 2.25% per annum of nominalnotional 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 EquinoxThe 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 aan FCM Fee of up to 2.25% of nominalnotional 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.Fees—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 Statementscombined consolidated statements of Operationsoperations. Because the Equinox Frontier Balanced Fund, EquinoxFrontier Diversified Fund, Frontier Masters Fund, 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.Equinox Frontier Balanced Fund and the Equinox Frontier Diversified Fund and 20% for the Equinox Frontier WintonGlobal 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.2016,2023, the Trust hashad a payable to the Managing Owner in the amounts of $0, $433,430, $63,275, $523,099,$692, $2,440, $2,199, $43,957 and $239,520$16,930 for incentive fees, management fees, interest, trading fees, and service fees, respectively.2015,2022, the Trust hashad a payable to the Managing Owner in the amounts of $382,136, $402,943, $162,121, $282,522$692, $1,573, $3,450, $83,102 and $273,856$33,432 for incentive fees, management fees, interest, trading fees, and service fees, respectively.2016, the Trust paid2023, the Managing Owner $2,980,696, $3,235,153, $3,586,271earned $(5,126), $16,237, $311,369 and $3,613,634$700,937 for incentive fees (rebate), management fees, service fees, and trading fees, respectively.2015, the Trust paid2021, the Managing Owner $5,723,374, $5,028,224, $4,309,654earned $158,775, $18,441, $452,671 and $3,452,315$941,238 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.F-73For the years ended December 31, 2016, 2015 and 2014 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) respectively.Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier WintonLong/Short Commodity Fund Equinox(Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a only)3a), Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a only)3a), 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.2016, 20152023, 2022 and 2014,2021, the Trust paid $1,347,984, $2,237,965$23,487, $31,925, and $2,341,213,$22,353, 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.Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $0, $955,000 and, $1,040,000, respectively, for the years ended December 31, 2016, 2015 and 2014, respectively.Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $776,430, $623,715 and, $1,136,465, respectively, for the years ended December 31, 2016, 2015 and 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.Financial Highlightsyearyears ended December 31, 2016, 20152023, 2022 and 2014.2021. This data has been derived from the information presented in the combined consolidated financial statements. 2016 2015 2014 Ratios to average net assets (1) Net investment gain/(loss) (1) -5.50 % -6.70 % -9.32 % Expenses before incentive fees (3)(4) 4.48 % 4.90 % 5.17 % Expenses after incentive fees (3)(4) 5.75 % 7.10 % 9.75 % Total return before incentive fees (2) 3.62 % 0.60 % 25.23 % Total return after incentive fees (2) 2.35 % -1.60 % 20.65 % 2023 2022 2021 Ratios to average net assets (1) Net investment income/(loss) (1) -6.37 % -7.17 % -6.69 % Expenses before incentive fees (rebate) (3) -6.50 % -6.40 % -6.06 % Expenses after incentive fees (rebate) (3) -6.47 % -7.21 % -6.74 % Total return before incentive fees (rebate) (2) -40.44 % 24.27 % 5.32 % Total return after incentive fees (rebate) (2) -40.41 % 23.46 % 4.65 % (1) (1)Annualized with the exception of incentive fees. (2) (2)Total returns are not annualized. (3) (3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Consolidated Statements of Operations of the Trust. See footnote 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.F-748.Derivative Instruments and Hedging Activities20162023 and 2015December 31, 2022 is included in the Consolidated Condensed Schedulescombined consolidated condensed schedules of Investments.investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.2016, 20152023, 2022, and 2014,2021, the monthly average of futures, forwards and options contracts bought was approximately 31,405, 40,214,324, 296, and 28,999,652 respectively and the monthly average of futures, forwards, and options contracts sold was approximately 31,157, 40,589,323, 295, and 28,961654, respectively.2016, 20152023, 2022, and 20142021 by contract type:Type of contract Frontier Balanced Fund Agriculturals $ 128,298 Currencies (137,759 ) Energies 1,270 Interest rates (103,008 ) Metals 20,799 Stock indices (231,826 ) Realized trading income/(loss)(1) $ (322,226 ) Realized Trading Revenue from Futures, Forwards and Options(1)forAmounts recorded in the Year Ended December 31, 2016(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 combined consolidated statements of operations under Net Change in Open Trade Equity from Futures, Forwards and Optionsfor 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)gain(loss) on futures forwards and options.Type of contract Frontier Balanced Fund Agriculturals $ (385,424 ) Currencies 683,628 Energies 94,910 Interest rates 230,542 Metals (115,239 ) Stock indices 299,210 Realized trading income/(loss)(1) $ 807,627 (1) (2)Amounts recorded in the combined consolidated Statements of operations under Net realized gain(loss) on futures forwards and options.Type of contract Frontier Balanced Fund Agriculturals $ 191,851 Currencies 96,075 Energies 148,710 Interest rates 108,590 Metals 123,350 Stock indices 204,123 Realized trading income/(loss)(1) $ 872,699 (1) InAmounts recorded in the Consolidated Statementcombined consolidated statements of Operationsoperations under netNet realized gain(loss) on futures forwards and options.Type of contract Frontier Balanced Fund Agriculturals $ 2,242 Currencies 501 Interest rates 9,393 Metals (28,346 ) Stock indices 106 Change in unrealized trading income/(loss)(1) $ (16,104 ) (1) Amounts recorded in the combined consolidated Statements of operations under Net change in open trade equity equity/(deficit), at fair value.F-75Realized Trading Revenue from Futures, Forwards and Optionsfor 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 Type of contract Frontier Balanced Fund Agriculturals $ 187,295 Currencies (252,215 ) Energies 47,945 Interest rates (108,413 ) Metals 98,894 Stock indices 13,328 Change in unrealized trading income/(loss)(1) $ (13,166 ) Net Change(1)Amounts recorded in Open Trade Equity from Futures, Forwards and Optionsfor 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 Statementcombined consolidated Statements of Operationsoperations under net realized gain/(loss) on futures, forwards and options.(2)In the Consolidated Statement of Operations under netNet change in open trade equity equity/(deficit), at fair value.F-76Realized Trading Revenue from Futures, Forwards and Optionsfor 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 Type of contract Metals $ (13,842 ) Currencies 11,977 Energies (14,160 ) Interest rates (37,684 ) Agriculturals (28,136 ) Stock indices (7,461 ) Change in unrealized trading income/(loss)(1) $ (89,306 ) Net Change(1)Amounts recorded in Open Trade Equity from Futures, Forwards and Optionsfor 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 Statementcombined consolidated statements of Operationsoperations under net realized gain/(loss) on futures, forwards and options(2)In the Consolidated Statement of Operations under netNet change in open trade equity equity/(deficit), at fair value..F-7720162023 and 2015:2022: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 LiabilitiesAs 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.Trading Activities and Related Risks Gross Amounts of recognized
Derivative Assets/Liabilities Gross Amounts
offset in the
Statements of
Financial Condition Net Amounts
Presented in the
Statements of
Financial Condition Frontier Balanced Fund Open Trade Equity/(Deficit) $ 14,434 $ (28,868 ) $ (14,434 ) Gross Amounts
of recognized
Derivative Assets Gross Amounts
offset in the
Statements of
Financial Condition Net Amounts
Presented in the
Statements of
Financial Condition Frontier Balanced Fund Open Trade Equity/(Deficit) $ 3,438 $ (1,768 ) $ 1,670 Commodity Exchange ActCEA 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.margin-to-equitymargin- to-equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.F-789.Indemnifications and Guaranteesbad faith.willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the TrustSeries up to the amount of equity at risk with UBS Securities LLC.the custodian of the referenced Series as allocated from the Trading Company. The Trust has not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote.The Trust has 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 combined consolidated financial statements as it expects any possibility of losses to be remote.10.Subsequent EventsOn 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 theThe Managing Owner ofevaluates events that occur after the Trustbalance sheet date but before and the Series. Pursuantup until financial statements are available 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”). 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 suspendedassessed the sale of Units (as definedsubsequent events through the date that the combined consolidated financial statements were issued and has determined that, except as set forth below, there were no subsequent events requiring adjustment to or disclosure in the combined consolidated financial statements.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.paid $689,390 in redemptions.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.F-79Report of Independent Registered Public Accounting Firmand Equinoxof Frontier Fundsas members of the Frontier Trading Companiesof the Frontier Trading Company I, LLC, Frontier Trading Company II, LLC, Frontier Trading Company VII, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, 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, 20162023 and 2015, and2022, the related statements of operations, changes in members’ equity and cash flows for each of the three years inended December 31, 2023, 2022, and 2021, and the periods then ended. These financial statements are the responsibility of the trading companies’ management. Our responsibility isrelated notes 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 audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. The trading 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’ 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.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 VII, LLC, Frontier Trading Company XIV, LLC, Frontier Trading Company XV, 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, LLCCompanies as of December 31, 20162023 and 2015,2022, and the results of their operations and their cash flows for eachthe years ended December 31, 2023, 2022, and 2021, in accordance with accounting principles generally accepted in the United States of America.three yearsFinancial Statements section of our report. We are required to be independent of the Trading Companies and to meet our other ethical responsibilities, in accordance with the period then ended, in conformity with U.S. generally accepted accounting principles.relevant ethical requirements relating to our audit. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.As discussed in Note 9 toResponsibilities of Management for the Financial Statementson March 6, 2017 a unit purchase agreement between Frontier Fund Management LLC (New Managing Owner)in accordance with accounting principles generally accepted in the United States of America, and Equinox Fund Management (Equinox) was consummated whereby Equinox’s general units were transferredfor the design, implementation, and maintenance of internal control relevant to the New Managing Owner. Upon consummation,preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.New Managing Owner becamefinancial statements, management is required to evaluate whether there are conditions or events, considered in the managing owneraggregate, that raise substantial doubt about the Trading Companies’ ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.TrustFinancial Statementseach Series,to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in replacementaccordance with GAAS will always detect a material misstatement when it exists. The risk of Equinox.not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements.● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Trading Companies’ internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Trading Companies’ ability to continue as a going concern for a reasonable period of time. RSM USSpicer Jeffries LLPMarchApril 1, 202420172023 and 2022F-80The Trading Companies of the Frontier FundStatements of Financial ConditionDecember 31, 2016 and 2015 Frontier Trading Frontier Trading Frontier Trading Company I, LLC Company II, LLC Company VII, LLC (1) 12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 ASSETS Receivable from futures commission merchants $ 6,647,098 $ 22,187,113 $ 17,996,697 $ 12,744,570 $ — $ 14,330,819 Open trade equity, at fair value 237,661 755,452 1,222,524 599,579 — — Options purchased, at fair value — 371,758 — — — 154,380 Interest receivable — — — 217 — — Total Assets $ 6,884,759 $ 23,314,323 $ 19,219,221 $ 13,344,366 $ — $ 14,485,199 LIABILITIES & MEMBERS’ EQUITY LIABILITIES Interest payable $ — $ 1,816 $ — $ — $ — $ 238 Risk analysis fee payable 1,155 — 12,215 — — — Options written, at fair value — 165,760 — — — — Open trade deficit, at fair value — — — — — 6,482,499 Total Liabilities 1,155 167,576 12,215 — — 6,482,737 MEMBERS’ EQUITY (Net Asset Value) 6,883,604 23,146,747 19,207,006 13,344,366 — 8,002,462 Total Liabilities and Members’ Equity $ 6,884,759 $ 23,314,323 $ 19,219,221 $ 13,344,366 $ — $ 14,485,199 Frontier Trading Frontier Trading Frontier Trading Company XIV, LLC (2) Company XV, LLC Company XXIII, LLC (3) 12/31/2016 12/31/2015 12/31/2016 12/31/2015 12/31/2016 12/31/2015 ASSETS Receivable from futures commission merchants $ — $ 3,409,216 $ 8,207,387 $ 13,281,153 $ — $ 3,093,791 Open trade equity, at fair value — 34,484 642,494 462,340 — — Interest receivable — 211 — — — — Total Assets $ — $ 3,443,911 $ 8,849,881 $ 13,743,493 $ — $ 3,093,791 LIABILITIES & MEMBERS’ EQUITY LIABILITIES Interest payable $ — $ — $ 304 $ 156 $ — $ — Risk analysis fee payable — — 2,303 — — — Open trade deficit, at fair value — — — — — 27,706 Total Liabilities — — 2,607 156 — 27,706 MEMBERS’ EQUITY (Net Asset Value) — 3,443,911 8,847,274 13,743,337 — 3,066,085 Total Liabilities and Members’ Equity $ — $ 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 I, LLC 12/31/2023 12/31/2022 ASSETS Receivable from futures commission merchants $ 769,384 $ 320,241 Open trade equity, at fair value - 1,670 Total Assets $ 769,384 $ 321,911 LIABILITIES & MEMBERS’ EQUITY LIABILITIES Risk analysis fee payable $ 11,307 $ 10,442 Open trade deficit, at fair value 14,434 - Total Liabilities 25,741 10,442 MEMBERS’ EQUITY (Net Asset Value) 743,643 311,469 Total Liabilities and Members’ Equity $ 769,384 $ 321,911 Frontier Trading Company XXXVIII LLC 12/31/2023 12/31/2022 ASSETS Investments in private investment companies, at fair value $ 226,291 $ 264,652 Total Assets $ 226,291 $ 264,652 LIABILITIES & MEMBERS’ EQUITY LIABILITIES Advance on unrealized swap appreciations $ - $ - Total Liabilities - - MEMBERS’ EQUITY (Net Asset Value) 226,291 264,652 Total Liabilities and Members’ Equity $ 226,291 $ 264,652 (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, 2016F-81The Trading Companies of the Equinox Frontier FundsCondensed Schedule of InvestmentsDecember 31, 2016 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.The accompanying notes are an integral part of these consolidated financial statements.F-82Equinox Frontier FundsScheduleSchedules of Investments20152023 Frontier Trading Frontier Trading Frontier Trading Frontier Trading Company I LLC Company II LLC Company VII LLC Company XIV 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) $ (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.) (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) 16,565 0.07 % 36,783 0.28 % — 0.00 % (3,962 ) -0.12 % Various stock index futures contracts (Far East) (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.) (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 $ 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) $ 249,752 1.07 % $ (168,539 ) -1.26 % $ — 0.00 % $ 26,881 0.78 % Total Currency Forwards $ 249,752 1.07 % $ (168,539 ) -1.26 % $ — 0.00 % $ 26,881 0.78 % Total Open Trade Equity (Deficit) $ 755,452 3.24 % $ 599,579 4.51 % $ (6,482,649 ) -81.02 % $ 34,484 0.98 % OPTIONS PURCHASED * Various energy futures contracts (U.S.) $ — 0.00 % $ — 0.00 % $ 154,530 1.93 % $ — 0.00 % Various stock index futures contracts (U.S.) 371,758 1.59 % — 0.00 % — 0.00 % — 0.00 % Total Options Purchased $ 371,758 1.59 % $ — 0.00 % $ 154,530 1.93 % $ — 0.00 % OPTIONS WRITTEN * Various stock index futures contracts (U.S.) $ (165,760 ) -0.71 % $ — 0.00 % $ — 0.00 % $ — 0.00 % Total Options Written $ (165,760 ) -0.71 % $ — 0.00 % $ — 0.00 % $ — 0.00 % Frontier Trading Frontier Trading Company I LLC Company XXXVIII LLC % of
Total Capital Description Value (Net Asset Value) Value (Net Asset Value) SHORT FUTURES CONTRACTS * Various base metals futures contracts (U.S.) (14,434 ) -1.94 % - 0.00 % Total Short Futures Contracts $ (14,434 ) -1.94 % $ - 0.00 % Total Open Trade Equity (Deficit) $ (14,434 ) -1.94 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC $ - 0.00 % 226,291 100.00 % Total Private Investment Companies $ - 0.00 % $ 226,291 100.00 % *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.accompanying notes are an integral partTrading Companies of these consolidated financial statements.the Frontier FundsF-83TableCondensed Schedules of ContentsInvestmentsThe Trading Companies of the Equinox Frontier FundsCondensed Schedule of InvestmentsDecember 31, 2015 Frontier Trading Frontier Trading Frontier Trading Frontier Trading Company XV LLC Company XXIII LLC Company XXIX LLC Company XXXIV 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) $ (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 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 % Frontier Trading Frontier Trading Frontier Trading Frontier Trading Company XXXV LLC Company XXXVII LLC Company XXXVIII LLC Company XXXIX LLC (3) %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 % 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 % 11,269 0.38 % — 0.00 % Various energy futures contracts (U.S.) — 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 % 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 % (40,433 ) -1.36 % — 0.00 % 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 % $ — 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.) — 0.00 % 4,332,427 100.00 % — 0.00 % — 0.00 % Total Swaps $ 8,685,850 100.00 % $ 4,332,427 100.00 % $ — 0.00 % $ 7,960,269 100.00 % Frontier Trading Frontier Trading Company I LLC Company XXXVIII LLC % of Total Capital % of Total Capital Description Value (Net Asset Value) Value (Net Asset Value) LONG FUTURES CONTRACTS * Various agriculture futures contracts (U.S.) $ 1,590 0.51 % - 0.00 % Various base metals futures contracts (U.S.) 897 0.29 % - 0.00 % Various currency futures contracts (U.S.) (230 ) -1.19 % - 0.00 % Total Long Futures Contracts $ 2,257 -0.39 % $ - 0.00 % SHORT FUTURES CONTRACTS * Various agriculture futures contracts (Europe) $ (227 ) -0.07 % - 0.00 % Various currency futures contracts (Europe) 67 0.02 % - 0.00 % Various currency futures contracts (Far East) (55 ) -0.02 % - 0.00 % Various currency futures contracts (U.S.) (216 ) -0.07 % - 0.00 % Various interest rates futures contracts (U.S.) (50 ) -0.02 % - 0.00 % Various stock index futures contracts (Far East) (106 ) -0.03 % - 0.00 % Total Short Futures Contracts $ (587 ) -0.19 % $ - 0.00 % Total Open Trade Equity (Deficit) $ 1,670 -0.58 % $ - 0.00 % PRIVATE INVESTMENT COMPANIES Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC $ - 0.00 % 264,652 100.00 % Total Private Investment Companies $ - 0.00 % $ 264,652 100.00 % *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-84The Trading Companies of the Frontier FundStatements of OperationsFor 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)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, 2016The accompanying notes are an integral part of these consolidated financial statements.F-85The Trading Companies of the Frontier FundStatements of Changes in Members’ EquityFor 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, 2016The accompanying notes are an integral part of these consolidated financial statements.F-86The Trading Companies of the Frontier FundStatements of Cash FlowsFor 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 $ — $ — $ — $ — $ — $ — $ — $ — $ — F-87Contentsthe Frontier Funds Frontier Trading Company I, LLC 12/31/2023 12/31/2022 12/31/2021 Investment Income: Interest-net $ 4,074 $ (2,319 ) $ (213 ) Total Income 4,074 (2,319 ) (213 ) Realized and unrealized gain (loss) on investments: Net realized gain/(loss) on futures, forwards, and options (322,226 ) 807,627 872,698 Net change in open trade equity (16,104 ) (13,166 ) (89,306 ) Risk analysis fees (6,391 ) (5,434 ) (5,532 ) Trading commissions (16,810 ) (13,009 ) (15,423 ) Net gain/(loss) on investments (361,531 ) 776,018 762,437 NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $ (357,457 ) $ 773,699 $ 762,224 Frontier Trading Company XXXVIII, LLC 12/31/2023 12/31/2022 12/31/2021 Investment Income: Interest-net $ - $ - $ - Total Income - - - Realized and unrealized gain (loss) on investments: Net unrealized gain/(loss) on private investment companies (38,361 ) 134,657 40,965 Net gain/(loss) on investments (38,361 ) 134,657 40,965 NET INCREASE/(DECREASE) IN MEMBERS’ EQUITY RESULTING FROM OPERATIONS $ (38,361 ) $ 134,657 $ 40,965 Frontier Trading Company I LLC Members’ Equity, December 31, 2020 $ 324,900 Capital Contributed 825,630 Capital Distributed (1,089,936 ) Net Increase (decrease) in Members’ Equity Resulting From Operations 762,224 Members’ Equity, December 31, 2021 $ 822,818 Capital Contributed 450,000 Capital Distributed (1,735,048 ) Net Increase (decrease) in Members’ Equity Resulting From Operations 773,699 Members’ Equity, December 31, 2022 $ 311,469 Capital Contributed 805,000 Capital Distributed (15,369 ) Net Increase (decrease) in Members’ Equity Resulting From Operations (357,457 ) Members’ Equity, December 31, 2023 $ 743,643 Frontier Trading Company XXXVIII, LLC Members’ Equity, December 31, 2020 $ 89,030 Capital Contributed - Capital Distributed - Net Increase (decrease) in Members’ Equity Resulting From Operations 40,965 Members’ Equity, December 31, 2021 $ 129,995 Capital Contributed - Capital Distributed - Net Increase (decrease) in Members’ Equity Resulting From Operations 134,657 Members’ Equity, December 31, 2022 $ 264,652 Capital Contributed - Capital Distributed - Net Increase (decrease) in Members’ Equity Resulting From Operations (38,361 ) Members’ Equity, December 31, 2023 $ 226,291 Frontier Trading Company I, LLC 2023 2022 2021 Cash Flows from Operating Activities Net increase (decrease) in members’ equity resulting from operations $ (357,457 ) $ 773,699 $ 762,224 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 (449,143 ) 498,121 (584,389 ) Decrease (increase) in open trade equity (deficit), at fair value 16,104 13,166 85,604 (Decrease) increase in risk analysis fee payable 865 62 867 Net cash provided by (used in) operating activities (789,631 ) 1,285,048 264,306 Cash Flows from Financing Activities Capital Contributed 805,000 450,000 825,630 Capital Distributed (15,369 ) (1,735,048 ) (1,089,936 ) Net cash provided by (used in) financing activities 789,631 (1,285,048 ) (264,306 ) Net change in cash and cash equivalents - - - Cash and cash equivalents, beginning of year $ - $ - $ - Cash and cash equivalents, end of year $ - $ - $ - Frontier Trading Company XXXVIII, LLC 2023 2022 2021 Cash Flows from Operating Activities Net increase (decrease) in members’ equity resulting from operations $ (38,361 ) $ 134,657 $ 40,965 Adjustments to reconcile net increase (decrease) in members’ equity resulting from operations to net cash provided by (used in) operating activities: (Decrease) increase in swap collateral - - - Net unrealized (gain) loss on swap contracts - - - Net unrealized (gain) loss in Investments in private investment companies 38,361 (134,657 ) (40,965 ) Net cash provided by (used in) operating activities - - - Cash Flows from Financing Activities Capital Distributed - - - Net cash provided by (used in) financing activities - - - Net change in cash and cash equivalents - - - Cash and cash equivalents, beginning of year $ - $ - $ - Cash and cash equivalents, end of year $ - $ - $ - The Trading Companies of the Equinox Frontier FundsNotes to Financial Statements1. 1.Organization and Purpose Frontier Trading Company VII LLC, Frontier Trading Company IX LLC , Frontier Trading Company XV LLC, Frontier Trading Company XXIII, Frontier Trading Company XXIX, 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).expenses.expenses and a risk analysis fee (for closed Series only).● ●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 Companyprivate 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. ● ●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. bad faith.willful misconduct.2. 2.Significant Accounting Policies Presentation—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. The Trading Companies are investment companies and follow ASC 946.Merchants—Merchants—The Trading Companies deposit assets with aan FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The 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, 20162023 and December 31, 2022 included restricted cash for margin requirements of $2,631,477$769,384 and $321,911 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.F-88forward and swapforward 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 statementsStatement of financial conditionOperations 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).statementsStatements of operations.Operations. Fair value of exchange-traded contracts is based upon exchange settlement prices. Fair value of non-exchange-tradednon- 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.Transactions—Transactions— The Trading Company’s functional currency is the U.S. dollar,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. —Trading – Trading Companies are able to subscribe into and redeem from the Galaxy Plus entities on a weekly basis. The value of the Private Investment Companiesprivate 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.Swaps—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. Investments in private investment companies are valued utilizing the net asset values as a practical expedient. The Trading Companies strategically invest a portion or all of their assets in total return 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, 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 swap 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. All valuation processes are monitored by the valuation committee.Taxes—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 20132020 through 20162023 tax years generally remain subject to examination by U.S. federal and most state tax authorities.Expenses—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 EquinoxFrontier Fund Management LLC, the Managing Owner of the Trust.Recently Adopted Accounting Pronouncement—In May 2015, the FASB issued ASU No. 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 include investments in the fair value hierarchy for which the fair value is measured at NAV using the practical expedient under “Fair Value Measurements and Disclosures (Topic 820).” ASU No. 2015-07 is effective for annual reporting periods beginning after December 15, 2015, 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, adoption does not affect the Trading Company’s financial condition, results of operations, or cash flows.F-89Events—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 currencies)currency forwards) 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. receives the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approvesapproved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs.Companies.Companies. Investments in private investment companies are valued utilizing the net asset values provided by the underlying Private Investment Companiesprivate investment companies as a practical expedient. The FundEach Series applies the practical expedient to its investments in Private Investment Companiesprivate investment companies on an investment-by-investment basis, and consistently with the Fund’sSeries’ entire position in a particular investment, unless it is probable that the FundSeries 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 thatPrivate Investment Companies are measuredreported at fair value using the net asset value per share (orLevel 2 inputs. The Frontier Select Fund (through its equivalent) have not been classifiedinvestment in the fair value hierarchy below.an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investment were liquidated on December 21, 2020.F-9020162023 and 2015,2022, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value: Total December 31, 2016 Level 1 Inputs Level 2 Inputs Level 3 Inputs Fair Value Frontier Trading Company I LLC Open Trade Equity (Deficit) $ 288,647 $ (50,986 ) $ — $ 237,661 Frontier Trading Company II LLC Open Trade Equity (Deficit) 1,123,666 98,858 — 1,222,524 Frontier Trading Company XV, LLC Open Trade Equity (Deficit) 635,782 6,712 — 642,494 Frontier Trading Company XXXIV, LLC Swap Contracts — — 18,939,450 18,939,450 Frontier Trading Company XXXV, LLC Swap Contracts — — 8,637,847 8,637,847 Frontier Trading Company XXXVII, LLC Swap Contracts — — 4,220,468 4,220,468 Frontier Trading Company XXXVIII, LLC Private Investment Companies — 11,183,404 — 11,183,404 Frontier Trading Company XXXIX, LLC Swap Contracts — — 8,391,414 8,391,414 F-91December 31, 2023 Practical Expedient Level 1 Inputs Level 2 Inputs Level 3 Inputs Total
Fair Value Frontier Trading Company I LLC Open Trade Equity (Deficit) $ - $ (14,434 ) $ - $ - $ (14,434 ) Frontier Trading Company XXXVIII, LLC Private Investment Companies 226,291 - - - 226,291 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 F-92The 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 years ended December 31, 2016 and 2015, all identified level three assets are components of the Frontier Trading Company XXXIV, XXXV, XXXVII, and XXXIX. 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 December 31, 2022 Practical Expedient Level 1 Inputs Level 2 Inputs Level 3 Inputs Total
Fair Value Frontier Trading Company I LLC Open Trade Equity (Deficit) $ - $ 1,670 $ - $ - $ 1,670 Frontier Trading Company XXXVIII, LLC Private Investment Companies 264,652 - - - 264,652 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 F-93 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 statements of operations attributable to level 3 investments still held at December 31, 2016: 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 3 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 operations attributable to level 3 investments still held at December 31, 2014: 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 F-94yearyears ended December 31, 20162023, 2022 and 2015,2021, the TrustTrading Companies did not transfer any assets between Level 1, Level 2 or Level 3.4. 4.Swap Contracts 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 fundsSeries 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, theThe Frontier Trading Company XXXIX, LLC ceased trading operations on May 30, 2020. The Frontier Trading Company XXXIV LLC, Frontier Trading Company XXXV LLC and 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 shownceased trading operations on December 21, 2020. Embedded in the Fund’s Statements of Financial Conditions under advance on unrealized swap appreciation, which relatesfair value is management and incentive fees being paid to the Trading Companies’ total return swaps with Deutsche Bank AG.Advisors.F-95The Trading Companies have invested in the following swaps as of December 31, 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 Counterparty DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG Notional Amount $11,413,283 $22,580,043 $13,851,707 $1,877,692 Termination Date 3/26/2018 8/2/2018 8/2/2018 8/7/2018 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 Realized Gain/(Loss) $0 $0 $0 $0 Change in Unrealized Gain/(Loss) $431,145 ($218,073) ($48,003) ($111,959) 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 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 F-965. 5.Financial Highlights 2016, 20152023, 2022, and 2014.2021. Frontier Trading Frontier Trading Company I LLC Company XXXVIII, LLC 12/31/2023 12/31/2022 12/31/2021 12/31/2023 12/31/2022 12/31/2021 Net Investment Gain 0.70 % -0.39 % -0.04 % 0.00 % 0.00 % 0.00 % Total Return -50.46 % 360.75 % 306.85 % -14.50 % 103.59 % 46.01 % 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 Net Investment Gain -0.01 % -0.11 % -0.12 % 0.04 % 0.02 % 0.03 % 0.05 % -0.02 % -0.03 % Total Return 19.51 % 63.74 % 145.03 % 36.78 % 67.48 % 241.28 % 145.34 % 117.20 % 37.77 % 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 Net Investment Gain 0.11 % -0.01 % -0.20 % 0.01 % 0.01 % -0.02 % -0.42 % -0.45 % -0.46 % Total Return 75.41 % -27.64 % 159.10 % 32.45 % -0.93 % 19.79 % -99.9 % 48.44 % 2149.00 % Frontier Trading Frontier Trading Frontier Trading Company XXIX, LLC (4) Company XXXIX, LLC Company XXXIV, 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 Net Investment Gain 0.06 % -0.04 % 0.01 % 0.00 % 0.00 % 0.00 % 0.00 % -0.02 % -0.05 % Total Return -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 XXXV, LLC Company XXXVII, LLC Company XXXVIII, 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 Net Investment Gain 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % -0.02 % -0.04 % -0.07 % Total Return 7.97 % 32.20 % 91.13 % -2.57 % -2.86 % 47.89 % -71.58 % -58.46 % 85.85 % 6. (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 commenced operations in November 2014 and ceased trading operations January 29, 2016.6.Investments in Unconsolidated Trading Companies and Private Investment CompaniesPrivate Investment Companiesprivate investment companies as well as the cumulative trading profits or losses allocated to the Trust by the private investment companies. Private Investment Companies. Private Investment Companiesinvestment 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,private investment company, which bears no relationship to the amount of cash invested by the Trading Company in the Private Investment Companies.private investment companies. Investments in Private Investment Companiesprivate investment companies are valued using the NAV provided by the underlying private investment.2016,2023, 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.$226,691. For the year ended December 31, 2016,2023, Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC incurred $78,605$0 in trading commissions and had $2,328,567$4,538 and $134,141$17,682 in realized and unrealized trading gains, respectively, for a net incomeloss of $2,384,103.$38,361. Galaxy Plus Fund – Quest FIT Feeder Fund (535) LLC allows for weeklydaily redemptions upon 24 hours written notice. There are no liquidity restrictions.7. 7.Derivative Instruments and Hedging Activities 20162023 and 20152022 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trading Companies’ positions in swap contracts.F-97For 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-98For the Year Ended December 31, 2023 Monthly average contracts: Bought Sold Frontier Trading Company I LLC 324 323 For the Year Ended December 31, 2022 Monthly average contracts: Bought Sold Frontier Trading Company I LLC 296 295 For the Year Ended December 31, 2021 Monthly average contracts: Bought Sold Frontier Trading Company I LLC 652 654 2016, 20152023, 2022, and 2014,2021, approximately by sector:2016(1)2023. Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of Contract Company I LLC Company II LLC Company VII LLC Company XIV LLC Metals $ (570,904 ) $ (2,388,857 ) $ (2,735,981 ) $ 15,680 Currencies (1,134,947 ) 2,449,081 (333,855 ) 180,074 Energies (540,962 ) (1,997,815 ) 1,426,316 173,411 Agriculturals (793,888 ) (645,570 ) 634,825 (128,046 ) Interest rates 6,698,984 3,484,057 (342,396 ) 1,341,209 Stock indices 1,051,934 (282,419 ) (128,497 ) (462,833 ) 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 Company XV LLC Company XXIII LLC Company XXIX LLC Company XXXVIII LLC Metals $ (410,694 ) $ 125,165 $ (8,260 ) $ (496,363 ) Currencies 885,773 (661,239 ) 5,174 (1,715,921 ) Energies (341,104 ) (403,582 ) (54,266 ) 33,941 Agriculturals (239,338 ) — 4,630 (188,884 ) Interest rates 1,821,478 3,627,111 154,416 (1,732,861 ) Stock indices 375,929 (660,900 ) 41,389 (541,633 ) Realized trading income/(loss)(1) $ 2,092,044 $ 2,026,555 $ 143,083 $ (4,641,720 ) Frontier Trading
Company I LLC Type of contract Agriculturals $ 128,298 Currencies (137,759 ) Energies 1,270 Interest rates (103,008 ) Metals 20,799 Stock indices (231,826 ) Realized trading income/(loss)(1) $ (322,226 ) Unrealized Trading Revenue from Futures, Forwards, and Optionsfor the Year Ended December 31, 2016(2) Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of Contract Company I LLC Company II LLC Company VII LLC Company XIV LLC Metals $ (16,549 ) $ (577,784 ) $ 2,998,383 $ (36,385 ) Currencies (695,645 ) 147,840 (34,630 ) (68,823 ) Energies 109,673 (165,261 ) 3,264,774 87,766 Agriculturals 8,545 105,158 169,070 (2,760 ) Interest rates 43,332 699,717 (2,272 ) 55,947 Stock indices 293,774 311,568 42,046 (70,230 ) 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 Company XV LLC Company XXIII LLC Company XXIX LLC Company XXXVIII LLC Metals $ (97,042 ) $ (4,280 ) $ 10,744 $ (62,455 ) Currencies 244,511 (118,177 ) (38,876 ) (270,069 ) Energies (457,543 ) 61,323 (10,686 ) 2,020 Agriculturals (47,280 ) — 40,435 146,494 Interest rates 435,147 80,695 5,426 52,293 Stock indices 122,797 8,145 (11,793 ) 52,098 Unrealized trading income/(loss)(2) $ 200,590 $ 27,706 $ (4,750 ) $ (79,619 ) (1)In the Statement 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 and net unrealized gain/(loss) on option/swap contractsF-992015(1)2022. Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of contract Company I LLC Company II LLC Company VII, LLC Company XIV, LLC Metals $ 638,640 $ 412,683 $ 2,770,377 $ (173,565 ) Currencies 1,473,437 (346,462 ) 572,927 (1,062,588 ) Energies 3,075,926 3,898,848 13,476,409 1,755,803 Agriculturals (618,275 ) 295,065 1,146,162 (308,178 ) Interest rates 4,813,887 4,204,957 (803,460 ) 767,420 Stock indices 2,273,642 (1,544,747 ) 173,194 (850,694 ) Realized trading income/(loss)(1) $ 11,657,257 $ 6,920,344 $ 17,335,609 $ 128,198 Frontier Trading
Company I LLC Type of contract Agriculturals $ (385,424 ) Currencies 683,628 Energies 94,910 Interest rates 230,542 Metals (115,239 ) Stock indices 299,210 Realized trading income/(loss)(1) $ 807,627 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 Optionsfor the Year Ended December 31, 2015(2) Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of contract Company I LLC Company II LLC Company VII, LLC Company XIV, LLC Metals $ 225,190 $ 342,136 $ (3,034,728 ) $ 134,618 Currencies (346,776 ) (77,235 ) (166,305 ) 334,553 Energies (487,009 ) (369,441 ) (9,809,446 ) (950,395 ) Agriculturals 28,013 51,330 115,115 (4,647 ) Interest rates (1,490,244 ) (2,060,991 ) 740,922 (437,886 ) Stock indices 878,018 (759,504 ) 122,840 (66,627 ) 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 Statement 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 and net unrealized gain/(loss) on option/swap contractsF-1002014(1)2021. Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of contract Company I LLC Company II LLC Company VII, LLC Company XIV, LLC Metals $ (437,457 ) $ 170,841 $ 690,535 $ (882,227 ) Currencies 1,750,349 3,665,521 2,527,403 2,737,165 Energies 1,194,230 5,800,067 (3,255,197 ) 237,904 Agriculturals 1,309,078 (1,089,242 ) (158,431 ) 829,935 Interest rates 10,676,345 12,258,469 123,894 3,297,947 Stock indices 3,172,068 1,689,346 219,589 (1,068,847 ) Realized trading income/(loss)(1) $ 17,664,613 $ 22,495,002 $ 147,793 $ 5,151,877 Frontier Trading
Company I LLC Type of contract Agriculturals $ 191,851 Currencies 96,075 Energies 148,710 Interest rates 108,590 Metals 123,350 Stock indices 204,122 Realized trading income/(loss)(1) $ 872,698 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 ) (1) Amounts recorded in the Statements of Operations under Net realized gain(loss) on futures forwards and options. 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 RevenueNet Change in Open Trade Equity from Futures, Forwards and Options2014(2)2023 Frontier Trading Frontier Trading Frontier Trading Frontier Trading Type of contract Company I LLC Company II LLC Company VII, LLC Company XIV, LLC Metals $ (111,947 ) $ (379,502 ) $ (67,120 ) $ 164,178 Currencies 365,702 (685,924 ) 90,671 (743,778 ) Energies 389,322 526,450 410,565 873,446 Agriculturals (89,486 ) (281,100 ) 967,983 (28,250 ) Interest rates 1,577,387 2,337,987 (432,162 ) 371,048 Stock indices (946,046 ) (2,365,920 ) (409,378 ) (317,959 ) Unrealized trading income/(loss)(2) $ 1,184,932 $ (848,009 ) $ 560,559 $ 318,685 Frontier Trading
Company I LLC Type of contract Metals $ (28,346 ) Currencies 501 Energies - Agriculturals 2,242 Interest rates 9,393 Stock indices 106 Change in unrealized trading income/(loss)(1) $ (16,104 ) 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 ) Frontier Trading
Company I LLC Type of contract Metals $ 98,894 Currencies (252,215 ) Energies 47,945 Agriculturals 187,295 Interest rates (108,413 ) Stock indices 13,328 Change in unrealized trading income/(loss)(1) $ (13,166 ) Frontier Trading
Company I LLC Type of contract Metals $ (28,136 ) Currencies 11,977 Energies (14,160 ) Agriculturals (13,842 ) Interest rates (37,684 ) Stock indices (7,461 ) Change in unrealized trading income/(loss)(1) $ (89,306 ) (1) (1)InAmounts recorded in the Statementconsolidated statements of Operations under net realized gain/(loss) on futures, forwards and options(2)In the Statement of Operationsoperations under net change in open trade equity and net unrealized gain/(loss) on option/swap contractsequity/(deficit)F-10120162023 and 2015.December 31, 2022. Net Amounts of 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) $ 515,659 $ (277,998 ) $ 237,661 Frontier Trading Company II, LLC Open Trade Equity/(Deficit) $ 2,393,850 $ (1,171,326 ) $ 1,222,524 Frontier Trading Company XV, LLC Open Trade Equity/(Deficit) $ 834,176 $ (191,682 ) $ 642,494 Frontier Trading Company XXXIV, LLC Swap Contracts $ 18,939,450 $ — $ 18,939,450 Frontier Trading Company XXXV, LLC Swap Contracts $ 8,637,847 $ — $ 8,637,847 Frontier Trading Company XXXVII, LLC Swap Contracts $ 4,220,468 $ — $ 4,220,468 Frontier Trading Company XXXIX, LLC Swap Contracts $ 8,391,414 $ — $ 8,391,414 F-102TableAs of ContentsDecember 31, 2023 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 Gross Amounts
of recognized
Assets Gross Amounts
of recognized
Liabilities Net Amounts of
Assets and
Liabilities
Presented in the
Statements of
Financial
Condition Frontier Trading Company I, LLC Open Trade Equity/(Deficit) $ 14,434 $ (28,868 ) $ (14,434 ) Gross Amounts
of recognized
Assets Gross Amounts
of recognized
Liabilities Net Amounts of
Assets and
Liabilities
Presented in the
Statements of
Financial
Condition Frontier Trading Company I, LLC Open Trade Equity/(Deficit) $ 3,438 $ (1,768 ) $ 1,670 8. 7.Trading Activities and Related Risks Commodity Exchange ActCEA 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.margin-to-equitymargin-to- equity ratio will typically not exceed approximately 35% although the actual ratio could be higher or lower from time to time.F-103 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.9. 8.Indemnifications 10. 9.Subsequent Events On December 5, 2016, Equinox FundEffective January 11, 2024, Horizon3 Investment Management LLP, previously accessed through Frontier Trading Company I 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 suspensionchanged to be lifted as promptly as practicable.accessed through the Galaxy Plus Fund-Horizon3 Feeder Fund (577) LLC. The trading strategy remains the same.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.F-104Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-105Independent Auditor’s ReportBoard of DirectorsIndependent Auditor’s Report F-92 - F-93 Financial Statements Statements of Financial Condition F-94 Statements of Operations F-95 Statements of Changes in Members’ Equity F-96 Notes to Financial Statements F-97 - F-107 Oath and Affirmation of the Commodity Pool Operator F-108 on the Financial Statements accompanying financial statements of Galaxy Plus Fund –- Quantica Managed Futures Feeder Fund (507) LLC, 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, Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC and Galaxy Plus Fund – Quest FIT- Volt Diversified Alpha Feeder Fund (535)(550) LLC (collectively, the Funds), which comprise the statements of financial condition including the condensed schedules of investments, as of December 31, 2016, and2023, the related statements of operations and changes in members’ equity for the periodsyear then ended, December 31, 2016, and the related notes to the financial statements.statements (collectively, the financial statements).Management's ResponsibilityWe conducted our audits in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audits of the Financial Statements section of our report. We are required to be independent of the Funds and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audits. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.thesethe financial statements in accordance with accounting principles generally accepted in the United States of America; this includesAmerica, and for 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 ResponsibilityOur responsibility is to express an opinion on theseIn preparing the financial statements, based on our audits. We conducted our audits in accordance with auditing standards generally acceptedmanagement is required to evaluate whether there are conditions or events, considered in the United Statesaggregate, that raise substantial doubt about the Funds’ ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.America. Those standards require that we plan and perform the auditFinancial Statementsmisstatement.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 relevanterror, and to the entity’s preparationissue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and fair presentation of the financial statements in order to designtherefore is not a guarantee that an 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.F-106OpinionIn 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,conducted in accordance with accounting principles generally acceptedGAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the United Statesaggregate, they would influence the judgment made by a reasonable user based on the financial statements.● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Funds’ internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Funds’ ability to continue as a going concern for a reasonable period of time. America.the audits, significant audit findings, and certain internal control–related matters that we identified during the audits.24, 201725, 2024F-107Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of Financial Condition December 31, 20162023(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) Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - 507 Series 510 Series 517 Series 522 Series 526 Series 532 Series 538 Series 550 Series Assets Investment in Master Fund - at fair value $ 1,228,044 $ 462,417 $ 1,582,555 $ 337,351 $ 632,298 $ 4,365,549 $ 1,782,221 $ 152,558 Receivable from Master Fund - - - - 17,730 - - - Cash 91,436 33,716 91,225 33,223 13,876 117,605 64,051 54,466 Prepaid sponsor fees - - - 2,934 - - - - Total assets $ 1,319,480 $ 496,133 $ 1,673,780 $ 373,508 $ 663,904 $ 4,483,154 $ 1,846,272 $ 207,024 Liabilities and members’ equity Payable to Master Fund $ 84,753 $ 35,086 $ 91,115 $ 37,176 $ - $ 68,854 $ 58,331 $ 54,970 Subscriptions received in advance - - - - 7,122 - - - Accrued management fees 6,750 1,003 4,232 3,678 1,408 23,456 3,179 2,748 Accrued incentive fees 1,339 - 111 1,051 26,289 25,432 1,244 - Accrued sponsor fees 177 672 1,134 - 773 4,784 949 710 Total liabilities 93,019 36,761 96,592 41,905 35,592 122,526 63,703 58,428 Members’ equity 1,226,461 459,372 1,577,188 331,603 628,312 4,360,628 1,782,569 148,596 Total liabilities and members’ equity $ 1,319,480 $ 496,133 $ 1,673,780 $ 373,508 $ 663,904 $ 4,483,154 $ 1,846,272 $ 207,024 F-108Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of Financial Condition (continued)OperationsFor the year ended December 31, 20162023(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 Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - 507 Series 510 Series 517 Series 522 Series 526 Series 532 Series 538 Series 550 Series Net investment income (loss) allocated from Master Fund: Interest income $ 27,187 $ 19,865 $ 74,372 $ 14,074 $ 52,408 $ 287,747 $ 103,607 $ 8,967 Interest expense (9,760 ) (4,436 ) (11,703 ) - - (22,598 ) - - Other expenses (48 ) (478 ) (1,408 ) (1,501 ) (1,411 ) (1,472 ) (1,459 ) (1,915 ) Net investment income (loss) allocated from Master Fund 17,379 14,951 61,261 12,573 50,997 263,677 102,148 7,052 Fund expenses: Operating expenses 956 376 1,766 1,746 1,909 2,145 1,885 2,119 Professional fees 17,593 18,982 19,188 18,812 18,879 23,257 19,138 18,999 Management fees 78,461 11,796 30,727 54,186 35,062 411,809 93,164 26,494 Incentive fees - - - 1,051 - - - - Sponsor fees 18,517 4,099 10,592 3,289 11,618 48,019 11,339 2,081 Total fund expenses 115,527 35,253 62,273 79,084 67,468 485,230 125,526 49,693 Total net investment income (loss) (98,148 ) (20,302 ) (1,012 ) (66,511 ) (16,471 ) (221,553 ) (23,378 ) (42,641 ) 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 (328,448 ) 2,135 (513,500 ) 27,713 (1,132,763 ) (892,306 ) (1,548,220 ) (90,057 ) Net change in unrealized appreciation (depreciation) on investments (182,905 ) (29,697 ) (31,962 ) (66,703 ) 119,795 (142,215 ) 189,643 (12,884 ) Net realized and unrealized gain (loss) on investments and foreign currency transactions allocated from investment in Master Fund (511,353 ) (27,562 ) (545,462 ) (38,990 ) (1,012,968 ) (1,034,521 ) (1,358,577 ) (102,941 ) Net increase (decrease) in members’ equity resulting from operations $ (609,501 ) $ (47,864 ) $ (546,474 ) $ (105,501 ) $ (1,029,439 ) $ (1,256,074 ) $ (1,381,955 ) $ (145,582 ) F-109Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Statements of OperationsChanges in Members’ EquityFor the periodsyear ended December 31, 20162023(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) Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - 507 Series 510 Series 517 Series 522 Series 526 Series 532 Series 538 Series 550 Series Increase (decrease) in members’ equity from operations: Total net investment income (loss) $ (98,148 ) $ (20,302 ) $ (1,012 ) $ (66,511 ) $ (16,471 ) $ (221,553 ) $ (23,378 ) $ (42,641 ) Net realized gain (loss) from investments and foreign currency transactions (328,448 ) 2,135 (513,500 ) 27,713 (1,132,763 ) (892,306 ) (1,548,220 ) (90,057 ) Net change in unrealized appreciation (depreciation) on investments (182,905 ) (29,697 ) (31,962 ) (66,703 ) 119,795 (142,215 ) 189,643 (12,884 ) Net increase (decrease) in members’ equity from operations (609,501 ) (47,864 ) (546,474 ) (105,501 ) (1,029,439 ) (1,256,074 ) (1,381,955 ) (145,582 ) Increase (decrease) in members’ equity from capital transactions: Proceeds from issuance of capital 288,328 123,849 127,648 25,486 557,438 1,379,647 789,093 83,556 Payments for redemption of capital (845,616 ) (206,832 ) (417,171 ) (162,727 ) (1,156,926 ) (4,058,850 ) (2,343,348 ) (145,885 ) Net increase (decrease) in members’ equity from capital transactions (557,288 ) (82,983 ) (289,523 ) (137,241 ) (599,488 ) (2,679,203 ) (1,554,255 ) (62,329 ) Total net increase (decrease) in members’ equity (1,166,789 ) (130,847 ) (835,997 ) (242,742 ) (1,628,927 ) (3,935,277 ) (2,936,210 ) (207,911 ) Members’ equity, beginning of the year 2,393,250 590,219 2,413,185 574,345 2,257,239 8,295,905 4,718,779 356,507 Members’ equity, end of the year $ 1,226,461 $ 459,372 $ 1,577,188 $ 331,603 $ 628,312 $ 4,360,628 $ 1,782,569 $ 148,596 F-110Galaxy 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.F-111Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Statements of Changes in Members’ EquityFor 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)F-112Galaxy 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.F-113Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGeminiNew Hyde Park Alternatives Funds, LLC (the “Sponsor” or “GAF”“NHPAF”) 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. 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.FundsSponsor by allocating the Investor’s subscription proceeds between the Funds’ bank accounts and the corresponding Master Funds.GAFNHPAF 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.GAFNHPAF was formed in October 2013 and its principal office is located in Chicago,Wheaton, Illinois. GAFNHPAF 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).AgreementAgreement.F-114Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to the Financial Statements2016,2023, 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 the SEC’s Regulation S-X 3-09. The financial statementstatements 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.2016,2023, 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.2016,2023, 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.2016,2023, 522 owned 100% of its Master Fund.2016,2023, 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.2016,2023, 532 owned 100% of its Master Fund.Quest FITWelton GDP Feeder Fund (535)(538) LLC (“535”538”) – On its inception date, September 19, 2016, 535March 28, 2017, 538 invested its assets in Galaxy Plus Fund – Quest FITWelton GDP Master Fund (535)(538) LLC, a Delaware limited liability company. As of December 31, 2016, 5352023, 538 owned 100% of its Master Fund.F-115Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to the Financial StatementsNote 2.Summary of Significant Accounting PoliciesFundFunds are attached to this report and should be read in conjunction with the Onshore Platform’s financial statements.Fund.Fund percentage in the Master Funds on the first day.Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements 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..accounting period.“more-likely-thank-not”“more-likely-than-not” of being sustained by the applicable tax authority. For tax positions meeting the “more-likely-thank-not”“more-likely-than-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 thatF-116Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial Statementsperiods since each Fund’s inception remain open.filling.Indemnifications:Indemnifications and litigations: 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. From time to time, in the normal course of business, the Funds may be threatened with, or named as defendants in, lawsuits, arbitrations, and administrative claims. Any such claims that are decided against the Funds could harm the Funds’ business. The Funds are also subject to periodic regulatory audits and inspections which could result in fines or other disciplinary actions. Unfavorable outcomes in such matters may result in a material impact on the Funds’ financial position or results from operations. As of December 31, 2023, the Sponsor was not aware of any matters that would have a material impact on the Funds’ financial statements.cash flows:Cash Flows: The Onshore Platform has elected not to provide statementsStatements of cash flowsCash Flows as permitted by U.S. GAAP as all of the following conditions have been met:● ●During the period,year, substantially all of the Funds’ investments were carried at fair value and classified as Level 1 or Level 2 or were measured using the practical expedient measurements in accordance with FASB ASC 820;● ●The Funds had little or no debt during the period;year;● ●The Onshore Platform financial statements include statementsStatements of changesChanges in members’ equity.Members’ Equity.Note 3.Classes of Interest and Series 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.Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements Commissions.Commissions and other fees allocable to Class A Interests as disclosed in the LLC Agreement.Commissions.Commissions and other fees allocable to Class B Interests as disclosed in the LLC Agreement.F-117Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial StatementsCommissions.Commissions and other fees allocable to Class C Interests as disclosed in the LLC Agreement.Fee.Fee and other fees allocable to Class EF Interests as disclosed in the LLC Agreement.subclasssub-class 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.Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements periodsyear ended December 31, 2016,2023, 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 Galaxy Plus Fund LLC -507 Galaxy Plus Fund LLC -507 Galaxy Plus Fund LLC -510 Galaxy Plus Fund LLC -517 Galaxy Plus Fund LLC -522 Series Series Series Series Series Class C Class EF Class EF Class EF Class EF Subscriptions $ - $ 288,328 $ 123,849 $ 127,648 $ 25,486 Redemptions (38,000 ) (807,616 ) (206,832 ) (417,171 ) (162,727 ) Total increase (decrease) $ (38,000 ) $ (519,288 ) $ (82,983 ) $ (289,523 ) $ (137,241 ) F-118 Galaxy Plus Fund LLC -526 Galaxy Plus Fund LLC -532 Galaxy Plus Fund LLC -538 Galaxy Plus Fund LLC -550 Galaxy Plus Fund LLC -550 Series Series Series Series Series Class EF Class EF Class EF Class C Class EF Subscriptions $ 557,438 $ 1,379,647 $ 789,093 $ - $ 83,556 Redemptions (1,156,926 ) (4,058,850 ) (2,343,348 ) (100,670 ) (45,215 ) Total increase (decrease) $ (599,488 ) $ (2,679,203 ) $ (1,554,255 ) $ (100,670 ) $ 38,341 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.periodsyear ended December 31, 2016,2023, there were no transfers.transfers from one class to another class.Galaxy Plus Fund LLC Note 4.(A Delaware Series Limited Liability Company)Management, Incentive, Sponsor and Other FeesNotes to Financial Statements fundFund 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.During the period ended December 31, 2016, 510 paid $14,685 to the Sponsor related to theseF-119Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial Statementsfee 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. The amounts due to the Selling Agents and Sponsor are included in the Management Fee charged to the Funds. During the periodsyear ended December 31, 2016, 5102023, Management Fees paid management fees of $171 to Selling Agents.Agents and the Sponsor are as follows: Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Galaxy Plus Fund LLC - Fund LLC - Fund LLC - Fund LLC - Fund LLC - 507 Series 510 Series 532 Series 538 Series 550 Series Selling Agent $ 3,631 $ - $ - $ - $ 389 Sponsor 296 809 79 563 501 Galaxy Plus Fund LLC (A Delaware Series Limited Liability Company) Notes to Financial Statements havehas entered into separate agreementsfee arrangements with the Trading Advisors which results in which the managing owner will retainretaining a portion of both the management and incentive fees charged to the Class EF members. During the periodsyear ended December 31, 2016,2023, the amount of management fees and incentive fees retained by the managing owner of Class EF interestmembers are as follows:F-120 Galaxy Plus Fund LLC - 507
Series Galaxy Plus Fund LLC -510
Series Galaxy Plus Fund LLC - 517
Series Galaxy Plus Fund LLC - 522
Series Class EF Class EF Class EF Class EF Management fee $ 48,500 $ 1,766 $ 27,482 $ 28,530 Incentive fee - - - - Galaxy Plus Fund LLC - 526
Series Galaxy Plus Fund LLC - 532
Series Galaxy Plus Fund LLC - 538
Series Galaxy Plus Fund LLC - 550
Series Class EF Class EF Class EF Class EF Management Fee $ 19,262 $ 312,863 $ 7,250 $ 21,778 Incentive Fee - - - - 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 — — 20162023 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 — — Galaxy Plus Fund LLC - 507
Series Galaxy Plus Fund LLC - 510
Series Galaxy Plus Fund LLC - 517
Series Galaxy Plus Fund LLC - 522
Series Class EF Class EF Class EF Class EF Accrued management fee $ 3,535 $ 124 $ 2,131 $ 1,963 Accrued incentive fee - - - - Galaxy Plus Fund LLC - 526
Series Galaxy Plus Fund LLC - 532
Series Galaxy Plus Fund LLC - 538
Series Galaxy Plus Fund LLC - 550
Series Class EF Class EF Class EF Class EF Accrued management fee $ 767 $ 19,633 $ 465 $ 1,558 Accrued incentive fee - - - - and 0.15% for Class EF Interests.pro ratedpro-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, noNo sales commissions were charged during the periodsyear ended December 31, 2016.2023. Sales commissions are included in the Sponsor Fee totals on the Statements of Operations.F-121Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial Statementscosts;costs, legal, compliance, regulatory, reporting, filing, escrow, accounting and printing fees and expenses;expenses, and any other operating or administrative expenses related to accounting, research, due diligence or reporting; however, eachreporting. However, the Master Fund will be responsible for paying all of its execution and clearing brokerage commissions; forward and other over-the-counter trading spreads;commissions, Fund set-up and organization expenses (which can be capped at the discretion of the Sponsor); bank wire fees; fees related to the audit and tax preparation; and extraordinary expenses such as litigation and indemnification.Effective December 1, 2016, the Sponsor amended the Offering MemorandumThe allocation 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 beis based on the number of trading managers that trade on behalf of each respective Fund. The audit and tax preparation fees are recorded as expenses bya component of professional fees in the fundsStatements of Operations, and are recorded in 2017the year when thesethe related services are performed.Galaxy Plus Fund LLC Note 5.(A Delaware Series Limited Liability Company)Notional FundingNotes to Financial Statements 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, options, and forward positions held for such Master Fund. The notional amount of the futures, options, 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.toin 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.predefinepredefined parameters but is done at the Sponsor’s discretion.F-122TableContentsGalaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial StatementsNote 6.In-Kind ContributionsOn 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 risk2016,2023, 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, 2016,2023, is limited to the fair value of its investment in the Master Fund.Note 8.Financial highlightsperiodsyear ended December 31, 20162023 are presented in the table below. The information has been derived from information presented in the financial statements.F-123 Galaxy Plus Fund LLC -
507 Series Galaxy Plus Fund LLC -
507 Series Galaxy Plus Fund LLC -
510 Series Galaxy Plus Fund LLC -
510 Series Galaxy Plus Fund LLC -
517 Series Class C Class EF Class C Class EF Class EF Total return before incentive fee -30.45 % -30.53 % -17.26 % -11.70 % -23.87 % Incentive fee 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Total return after incentive fee (A) -30.45 % -30.53 % -17.26 % -11.70 % -23.87 % Ratios to average members’ equity (B): Expenses excluding incentive fee 9.00 % 7.18 % 13.79 % 6.60 % 4.22 % Incentive fee 0.00 % 0.00 % 0.00 % 0.00 % 0.00 % Total expenses and incentive fee 9.00 % 7.18 % 13.79 % 6.60 % 4.22 % Net investment loss (C) -7.55 % -5.56 % -6.19 % -3.37 % -0.06 % 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 % * Galaxy Plus Fund LLC -
522 Series Galaxy Plus Fund LLC -
526 Series Galaxy Plus Fund LLC -
532 Series Galaxy Plus Fund LLC -
532 Series Galaxy Plus Fund LLC -
538 Series Class EF Class EF Class C Class EF Class C Total return before incentive fee -21.67 % -57.71 % -18.45 % -19.61 % -34.22 % Incentive fee -0.19 % 0.00 % 0.00 % 0.00 % 0.00 % Total return after incentive fee (A) -21.86 % -57.71 % -18.45 % -19.61 % -34.22 % Ratios to average members’ equity (B): Expenses excluding incentive fee 18.83 % 4.52 % 6.07 % 8.46 % 6.42 % Incentive fee 0.25 % 0.00 % 0.00 % 0.00 % 0.00 % Total expenses and incentive fee 19.08 % 4.52 % 6.07 % 8.46 % 6.42 % Net investment loss (C) -15.74 % -1.08 % -1.47 % -3.68 % -3.04 % F-124 Galaxy Plus Fund LLC -
538 Series Galaxy Plus Fund LLC -
550 Series Galaxy Plus Fund LLC -
550 Series Class EF Class C Class EF Total return before incentive fee -32.91 % -4.06 % -53.93 % Incentive fee 0.00 % 0.00 % 0.00 % Total return after incentive fee (A) -32.91 % -4.06 % -53.93 % Ratios to average members’ equity (B): Expenses excluding incentive fee 4.41 % 4.15 % 25.13 % Incentive fee 0.00 % 0.00 % 0.00 % Total expenses and incentive fee 4.41 % 4.15 % 25.13 % Net investment loss (C) -0.79 % -3.71 % -20.68 % 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 % * (A) *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) (B)The total expense and net investment income (loss) ratios are computed based upon weighted-average members’ equity as a whole for the periodsyear ended December 31, 2016.2023.(C) (C)The net investment income/income (loss) ratio excludes net realized and unrealized gains (losses) on investments. The net investment income/(loss) and total expense ratios, excluding nonrecurring expenses, have been annualized for partial periods. Total returns have not been annualized.F-125Galaxy Plus Fund LLC(A Delaware Series Limited Liability Company)Notes to the Financial StatementsNote 9.Subsequent events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Onshore Platform’sFunds’ financial statements through March 24, 2017,25, 2024, 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 Funds’ financial statements through this date.F-126Galaxy Plus Fund – AspectVolt Diversified Alpha Master Fund (550) LLCMaster Fund (532) LLC(A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator /s/ David Young David Young, President The attached annual report is filed under exemption pursuant toNew Hyde Park Alternative Funds, LLC — SponsorSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016Galaxy Plus Fund LLCF-127Independent Auditor’s ReportBoard of DirectorsIndependent Auditor’s Report F-111 - F-112 Financial Statements Statement of Financial Condition F-113 Condensed Schedule of Investments F-114 Statement of Operations F-115 Statement of Changes in Members’ Equity F-116 Notes to Financial Statements F-117 - F-125 Oath and Affirmation of the Commodity Pool Operator F-126 on the Financial Statements accompanying financial statements of Galaxy Plus Fund – Aspect— Quantica Managed Futures Master Fund (532)(507) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and2023, the related statements of operations and changes in member’smembers’ equity for the period from December 16, 2016 (commencement of operations) to December 31, 2016,year then ended, and the related notes to the financial statements.Management's ResponsibilityIn our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in members’ equity for the year then ended in accordance with accounting principles generally accepted in the United States of America.thesethe financial statements in accordance with accounting principles generally accepted in the United States of America; this includesAmerica, and for 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 ResponsibilityOur responsibility is to express an opinion on theseIn preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. Assets Equity in commodity trading accounts at clearing brokers: Cash $ 272,072 Restricted cash - margin balance 900,436 Investments in futures contracts, at fair value (represents unrealized appreciation on open derivative contracts, net) 36,282 Receivable from Offshore Feeder Fund 114,692 Receivable from Onshore Feeder Fund 84,753 Total assets $ 1,408,235 Liabilities and Members’ Equity Total liabilities $ - Members’ equity 1,408,235 Total liabilities and members’ equity $ 1,408,235 Number of Percent of Contracts/
Units Fair Value Members’ Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 11 $ 17,542 1.25 % Currency 29 11,429 0.81 Index 24 27,093 1.92 Interest 8 20,235 1.44 Metals 2 (242 ) (0.02 ) Foreign: Futures contracts: Agriculture 3 10,146 0.72 Index 40 9,668 0.69 Interest1 75 99,851 7.09 Metals 33 (4,124 ) (0.29 ) Total long positions 191,598 13.61 Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 19 (4,447 ) (0.32 ) Currency 9 (3,047 ) (0.22 ) Energy 8 (29,220 ) (2.07 ) Index 2 (4,850 ) (0.34 ) Interest1 22 (88,258 ) (6.27 ) Foreign: Futures contracts: Agriculture 11 4,304 0.31 Index 40 (21,674 ) (1.54 ) Interest 11 (8,653 ) (0.61 ) Metals 5 529 0.04 Total short positions (155,316 ) (11.02 ) Investments in futures contracts, at fair value $ 36,282 2.59 % 1 No individual position is greater than 5% of members’ equity. Investment income: Interest income $ 30,431 Total investment income 30,431 Expenses: Interest expense 10,945 Other expenses 53 Total expenses 10,998 Net investment income 19,433 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized gain (loss) from: Derivative contracts1 (380,789 ) Foreign currency transactions 13,765 (367,024 ) Net increase (decrease) in unrealized appreciation on: Derivative contracts (199,121 ) (199,121 ) Net realized and unrealized loss on investments and foreign currency transactions (566,145 ) Net decrease in members’ equity resulting from operations $ (546,712 ) 1 Includes trading costs. Changes in members’ equity from operations: Net investment income $ 19,433 Net realized loss from derivative contracts and foreign currency transactions (367,024 ) Net increase (decrease) in unrealized appreciation on derivative contracts (199,121 ) Net decrease in members’ equity resulting from operations (546,712 ) Changes in members’ equity from capital transactions: Proceeds from issuance of capital 163,516 Payments for redemptions of capital (846,048 ) Net decrease in members’ equity resulting from capital transactions (682,532 ) Total decrease (1,229,244 ) Members’ equity, beginning of year 2,637,479 Members’ equity, end of year $ 1,408,235 ● 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 Members’ Equity. 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 $ 37,286 $ 37,286 $ - $ - Currency 11,429 11,429 - - Index 58,472 58,472 - - Interest 120,086 120,086 - - Metals 14,423 14,423 - - Total investment assets at fair value 241,696 241,696 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (9,741 ) (9,741 ) - - Currency (3,047 ) (3,047 ) - - Energy (29,220 ) (29,220 ) - - Index (48,235 ) (48,235 ) - - Interest (96,911 ) (96,911 ) - - Metals (18,260 ) (18,260 ) - - Total investment liabilities at fair value (205,414 ) (205,414 ) - - Total net investments at fair value $ 36,282 $ 36,282 $ - $ - Description Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 14 $ 572,083 Agriculture 30 $ (619,405 ) Currency 29 784,810 Currency 9 (765,075 ) Index 64 5,295,033 Energy 8 (384,273 ) Interest 83 18,289,499 Index 42 (1,328,597 ) Metals 35 1,077,742 Interest 33 (4,293,328 ) Metals 5 (360,159 ) Net Trading
Gain (Loss)* Futures contracts: Agriculture $ 168,606 Currency 47,208 Energy (160,972 ) Index (13,381 ) Interest (386,918 ) Metals (216,004 ) Total futures contracts (561,461 ) Trading costs (18,449 ) Total net trading loss $ (579,910 ) * Includes both realized loss of $380,789 and unrealized depreciation of $199,121 and is located in net realized and unrealized loss on investments on the Statement of Operations. Amounts exclude foreign currency transactions. Net
Amount of Gross Assets
(Liabilities) Amounts
of Recognized in the
Statement of in the
Statement of Description Assets
(Liabilities) Financial
Condition Financial
Condition Futures contracts $ 241,696 $ (205,414 ) $ 36,282 Total $ 241,696 $ (205,414 ) $ 36,282 Net Amount
in the Cash Statement Collateral of Financial Received by Net Condition Counterparty Amount Counterparty A $ 36,282 $ 900,436 $ 936,718 Total $ 36,282 $ 900,436 $ 936,718 Total return (A) (25.40 )% Ratios to average members’ equity (B): Net investment income (C) 1.02 % Total expenses 0.58 % (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 Master Fund. (B) The total expense and net investment income ratios are computed based upon weighted-average members’ equity as a whole for the year ended December 31, 2023. (C) The net investment income ratio excludes net realized and unrealized loss on investments. /s/ David Young David Young, President New Hyde Park Alternative Funds, LLC — Sponsor Independent Auditor’s Report F-129 - F-130 Financial Statements Statement of Financial Condition F-131 Condensed Schedule of Investments F-132 Statement of Operations F-133 Statement of Changes in Member’s Equity F-134 Notes to Financial Statements F-135 - F-144 Oath and Affirmation of the Commodity Pool Operator F-145 audit. opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America.America. ThoseAmerica (GAAS). Our responsibilities under those standards requireare further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Fund and to meet our other ethical responsibilities, in accordance with the relevant ethical requirements relating to our audit. We believe that we plan and perform the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.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. error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements.making those risk assessments, the auditor considersperforming an audit in accordance with GAAS, we:● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. Assets Equity in commodity trading accounts at clearing brokers: Cash $ 299,161 Restricted cash - margin balance 128,167 Investments in futures contracts, at fair value (represents unrealized appreciation on open derivative contracts, net) 3 Receivable from Onshore Feeder Fund 35,086 Total assets $ 462,417 Liabilities and Member’s Equity Total liabilities $ - Member’s equity 462,417 Total liabilities and member’s equity $ 462,417 Number of Percent of Contracts/
Units Fair Value Member’s
Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 1 $ - 0.00 % Currency 1 590 0.13 Index 6 15,566 3.37 Interest 5 455 0.10 Foreign: Futures contracts: Energy 1 (80 ) (0.02 ) Index 3 638 0.14 Interest 4 185 0.04 Total long positions 17,354 3.76 Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 1 50 0.01 Currency 5 (2,018 ) (0.44 ) Energy 1 (1,050 ) (0.23 ) Index 15 (12,800 ) (2.77 ) Interest 5 (1,081 ) (0.23 ) Foreign: Futures contracts: Index 1 (452 ) (0.10 ) Total short positions (17,351 ) (3.76 ) Investments in futures contracts, at fair value $ 3 0.00 % Investment income: Interest income $ 19,865 Total investment income 19,865 Expenses: Interest expense 4,436 Other expenses 478 Total expenses 4,914 Net investment income 14,951 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized gain (loss) from: Derivative contracts1 5,412 Foreign currency transactions (3,277 ) 2,135 Net increase (decrease) in unrealized appreciation on: Derivative contracts (29,697 ) (29,697 ) Net realized and unrealized loss on investments and foreign currency transactions (27,562 ) Net decrease in member’s equity resulting from operations $ (12,611 ) 1 Includes trading costs Changes in member’s equity from operations: Net investment income $ 14,951 Net realized gain from derivative contracts and foreign currency transactions 2,135 Net increase (decrease) in unrealized appreciation on derivative contracts (29,697 ) Net decrease in member’s equity resulting from operations (12,611 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 101,099 Payments for redemptions of capital (219,066 ) Net decrease in member’s equity resulting from capital transactions (117,967 ) Total decrease (130,578 ) Member’s equity, beginning of year 592,995 Member’s equity, end of year $ 462,417 entity’sMaster 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.● 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. 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 $ 50 $ - $ - Currency 640 640 - - Index 16,640 16,640 - - Interest 1,159 1,159 - - Total investment assets at fair value 18,489 18,489 - - Liabilities: Derivative contracts: Futures contracts: Currency (2,068 ) (2,068 ) - - Energy (1,130 ) (1,130 ) - - Index (13,688 ) (13,688 ) - - Interest (1,600 ) (1,600 ) - - Total investment liabilities at fair value (18,486 ) (18,486 ) - - Total net investments at fair value $ 3 $ 3 $ - $ - Description Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 1 $ 23,050 Agriculture 1 $ (23,563 ) Currency 1 29,120 Currency 5 (403,024 ) Energy 1 77,040 Energy 1 (25,140 ) Index 9 1,634,946 Index 16 (3,646,002 ) Interest 9 2,327,305 Interest 5 (1,412,788 ) Net Trading Gain (Loss)* Futures contracts: Agriculture $ (3,363 ) Currency 33,254 Energy (15,610 ) Index 35,758 Interest (71,567 ) Metals 4,700 Total futures contracts (16,828 ) Trading costs (7,457 ) Total net trading loss $ (24,285 ) * Includes both realized gain of $5,412 and unrealized depreciation of $29,697 and is located in net realized and unrealized loss on investments and foreign currency transactions on the Statement of Operations. Amounts exclude foreign currency transactions. Net Amount of Gross Amounts of Offset in the Assets (Liabilities)
in the Recognized Statement of Statement of Description Assets (Liabilities) Financial Condition Financial Condition Futures contracts $ 18,489 $ (18,486 ) $ 3 Total $ 18,489 $ (18,486 ) $ 3 Net
Amount
in the Cash Statement of Collateral Financial Condition Received by
Counterparty Net Amount Counterparty A $ 3 $ 128,167 $ 128,170 Total $ 3 $ 128,167 $ 128,170 Total return (A) (6.31 )% Ratios to average member’s equity (B): Net investment income (C) 2.57 % Total expenses 0.84 % (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 income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2023. (C) The net investment income ratio excludes net realized and unrealized loss on investments. /s/ David Young David Young, President New Hyde Park Alternative Funds, LLC — Sponsor Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC Independent Auditor’s Report F-148 - F-149 Financial Statements Statement of Financial Condition F-150 Condensed Schedule of Investments F-151 Statement of Operations F-152 Statement of Changes in Member’s Equity F-153 Notes to Financial Statements F-154 - F-163 Oath and Affirmation of the Commodity Pool Operator F-164 orderaccordance with accounting principles generally accepted in the United States of America, and for the design, implementation and maintenance of internal control relevant to design audit proceduresthe preparation and fair presentation of financial statements that are appropriatefree from material misstatement, whether due to fraud or error.circumstances, but notaggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.purposeAudit of expressingthe Financial Statementsopinionauditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. Anfinancial statements.also includes evaluatingin accordance with GAAS, we:● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Financial Condition December 31, 2023 (Expressed in U.S. Dollars) Assets Equity in commodity trading accounts at clearing brokers: Cash $ 792,927 Restricted cash - margin balance 541,233 Investments in futures contracts, at fair value (represents unrealized appreciation on open derivative contracts, net) 157,280 Receivable from Onshore Feeder Fund 91,115 Total assets $ 1,582,555 Liabilities and Member’s Equity Total liabilities $ - Member’s equity 1,582,555 Total liabilities and member’s equity $ 1,582,555 Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 2023 (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 3 $ 9,909 0.63 % Currency 43 36,996 2.34 Index 20 30,087 1.90 Interest 4 3,187 0.20 Metals 6 6,803 0.43 Foreign: Futures contracts: Index 10 13,078 0.83 Interest 36 65,966 4.17 Total long positions 166,026 10.50 Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 20 7,213 0.46 Energy 11 (3,820 ) (0.24 ) Foreign: Futures contracts: Energy 2 2,530 0.16 Index 15 (14,669 ) (0.93 ) Total short positions (8,746 ) (0.55 ) Investments in futures contracts, at fair value $ 157,280 9.95 % Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Operations For the year ended December 31, 2023 (Expressed in U.S. Dollars) Investment income: Interest income $ 74,372 Total investment income 74,372 Expenses: Interest expense 11,703 Other expenses 1,408 Total expenses 13,111 Net investment income 61,261 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized loss from: Derivative contracts1 (513,351 ) Foreign currency transactions (149 ) (513,500 ) Net increase (decrease) in unrealized appreciation on: Derivative contracts (31,962 ) (31,962 ) Net realized and unrealized loss on investments and foreign currency transactions (545,462 ) Net decrease in member’s equity resulting from operations $ (484,201 ) 1 Includes trading costs. Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the year ended December 31, 2023 (Expressed in U.S. Dollars) Changes in member’s equity from operations: Net investment income $ 61,261 Net realized loss from derivative contracts and foreign currency transactions (513,500 ) Net increase (decrease) in unrealized appreciation on derivative contracts (31,962 ) Net decrease in member’s equity resulting from operations (484,201 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 90,926 Payments for redemptions of capital (445,195 ) Net decrease in member’s equity resulting from capital transactions (354,269 ) Total decrease (838,470 ) Member’s equity, beginning of year 2,421,025 Member’s equity, end of year $ 1,582,555 Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements ● 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. Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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 $ 17,210 $ 17,210 $ - $ - Currency 37,235 37,235 - - Energy 5,080 5,080 - - Index 45,720 45,720 - - Interest 70,153 70,153 - - Metals 9,510 9,510 - - Total investment assets at fair value 184,908 184,908 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (88 ) (88 ) - - Currency (239 ) (239 ) - - Energy (6,370 ) (6,370 ) - - Index (17,224 ) (17,224 ) - - Interest (1,000 ) (1,000 ) - - Metals (2,707 ) (2,707 ) - - Total investment liabilities at fair value (27,628 ) (27,628 ) - - Total net investments at fair value $ 157,280 $ 157,280 $ - $ - Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Description Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 3 $ 143,973 Agriculture 20 $ (598,377 ) Currency 43 3,513,095 Energy 13 (570,150 ) Index 30 5,757,267 Index 15 (569,507 ) Interest 40 9,043,910 Metals 6 936,495 Net Trading
Gain (Loss)* Futures contracts: Agriculture $ (110,422 ) Currency 100,998 Energy (161,181 ) Index (14,600 ) Interest (208,871 ) Metals (139,155 ) Total futures contracts (533,231 ) Trading costs (12,082 ) Total net trading loss $ (545,313 ) * Includes both realized loss of $513,351 and unrealized depreciation of $31,962 and is located in net realized and unrealized gain (loss) on investments on the Statement of Operations. Amounts exclude foreign currency transactions. Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Description Gross
Amounts of
Recognized
Assets
(Liabilities) Offset
in the
Statement
of Financial
Condition Net Amount of
Assets (Liabilities)
in the
Statement
of Financial
Condition Futures contracts $ 184,908 $ (27,628 ) $ 157,280 Total $ 184,908 $ (27,628 ) $ 157,280 Net amount
in the
statement
of Financial
Condition Cash
Collateral
Received by
Counterparty Net amount
in the
Statement
of
Financial
Condition Counterparty A $ 157,280 $ 541,233 $ 698,513 Total $ 157,280 $ 541,233 $ 698,513 Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Notes to Financial Statements Total return (A) (21.16 )% Ratios to average member’s equity (B): Net investment income (C) 3.42 % Total expenses 0.73 % (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 income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2023. (C) The net investment income ratio excludes net realized and unrealized loss on investments. evaluating the overallsponsor fees, had been charged to the Master Fund instead of the Feeder Fund.Galaxy Plus Fund – Quest Master Fund (517) LLC (A Delaware Limited Liability Company) Oath and Affirmation of the Commodity Pool Operator /s/ David Young David Young, President New Hyde Park Alternative Funds, LLC — Sponsor Galaxy Plus Fund – Quest Master Fund (517) LLC Independent Auditor’s Report F-167 - F-168 Financial Statements Statement of Financial Condition F-169 Condensed Schedule of Investments F-170 Statement of Operations F-171 Statement of Changes in Member’s Equity F-172 Notes to Financial Statements F-173 - F-181 Oath and Affirmation of the Commodity Pool Operator F-182 ● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. Assets Equity in commodity trading accounts at clearing brokers: Cash $ 297,235 Restricted cash - margin balance 5,390 Receivable from Onshore Feeder Fund 37,176 Total assets $ 339,801 Liabilities and Member’s Equity Deficit in commodity trading accounts at clearing brokers: Investments in futures contracts, at fair value (represents unrealized depreciation on open derivative contracts, net) $ 2,450 Total liabilities 2,450 Member’s equity 337,351 Total liabilities and member’s equity $ 339,801 Number of Percent of Contracts/
Units Fair Value Member’s Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 14 $ (5,950 ) (1.76 )% Total long positions (5,950 ) (1.76 ) Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 14 3,500 1.04 Total short positions 3,500 1.04 Investments in futures contracts, at fair value $ (2,450 ) (0.72 )% Investment income: Interest income $ 14,074 Total investment income 14,074 Expenses: Other expenses 1,501 Total expenses 1,501 Net investment income 12,573 Realized and unrealized gain (loss) on investments: Net realized gain from: Derivative contracts1 27,713 27,713 Net (increase) decrease in unrealized depreciation: Derivative contracts (66,703 ) (66,703 ) Net realized and unrealized loss on investments (38,990 ) Net decrease in member’s equity resulting from operations $ (26,417 ) 1 Includes trading costs. Changes in member’s equity from operations: Net investment income $ 12,573 Net realized gain from derivative contracts 27,713 Net (increase) decrease in unrealized depreciation on derivative contracts (66,703 ) Net decrease in member’s equity resulting from operations (26,417 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 4,941 Payments for redemptions of capital (233,616 ) Net decrease in member’s equity resulting from capital transactions (228,675 ) Total decrease (255,092 ) Member’s equity, beginning of year 592,443 Member’s equity, end of year $ 337,351 ● 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. 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 $ 3,500 $ 3,500 $ - $ - Total investment assets at fair value 3,500 3,500 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (5,950 ) (5,950 ) - - Total investment liabilities at fair value (5,950 ) (5,950 ) - - Total net investments at fair value $ (2,450 ) $ (2,450 ) $ - $ - Description Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 14 $ 345,800 Agriculture 14 $ (352,450 ) Net Trading
Gain (Loss)* Options on futures contracts: Agriculture $ 18,729 Total options on futures contracts 18,729 Futures contracts: Agriculture (57,244 ) Total futures contracts (57,244 ) Trading costs (475 ) Total net trading loss $ (38,990 ) * Includes both realized gain of $27,713 and unrealized depreciation of $66,703 and is located in net realized and unrealized gain (loss) on investments on the Statement of Operations. Net Amount of Gross Amounts
of Recognized Offset in the
Statement of Assets (Liabilities)
in the Statement of Description Assets (Liabilities) Financial Condition Financial Condition Futures contracts $ (5,950 ) $ 3,500 $ (2,450 ) Total $ (5,950 ) $ 3,500 $ (2,450 ) Net Amount
in the
Statement of Cash Collateral Financial Condition Received by
Counterparty Net Amount Counterparty A $ (2,450 ) $ 5,390 $ 2,940 Total $ (2,450 ) $ 5,390 $ 2,940 Total return (A) (5.74 )% Ratios to average member’s equity (B): Net investment income (C) 2.93 % Total expenses 0.35 % (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 income ratios are computed based upon weighted-average member’s equity as a whole for the year ended December 31, 2023. (C) The net investment income ratio excludes net realized and unrealized loss on investments. /s/ David Young David Young, President New Hyde Park Alternative Funds, LLC — Sponsor Galaxy Plus Fund – LRR Master Fund (522) LLC Independent Auditor’s Report F-185 - F-186 Financial Statements Statement of Financial Condition F-187 Condensed Schedule of Investments F-188 Statement of Operations F-189 Statement of Changes in Member’s Equity F-190 Notes to Financial Statements F-191 - F-199 Oath and Affirmation of the Commodity Pool Operator F-200 F-128TableContentsOpinionIn our opinion,Management is responsible for the preparation and fair presentation of 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.America, and for 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.¨ Exercise professional judgment and maintain professional skepticism throughout the audit. ¨ Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ¨ Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ¨ Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ¨ Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. 24, 201725, 2024F-129Galaxy Plus Fund - Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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 Assets Equity in commodity trading accounts at clearing brokers: Cash $ 570,607 Restricted cash - margin balance 148,159 Total assets $ 718,766 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) $ 68,738 Payable to Onshore Feeder Fund 17,730 Total liabilities 86,468 Member’s equity 632,298 Total liabilities and member’s equity $ 718,766 F-130 Number of Percent of
Member’s Contracts/Units Fair Value Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Currency 1 $ (298 ) (0.05 )% Foreign: Futures contracts: Index 2 (197 ) (0.03 ) Total long positions (495 ) (0.08 ) Short positions: Derivative contracts: Domestic (United States): Futures contracts: Currency 13 (4,179 ) (0.66 ) Energy 1 37 0.01 Index1 8 (31,742 ) (5.02 ) Interest 6 (21,522 ) (3.40 ) Metals 2 (1,905 ) (0.30 ) Foreign: Futures contracts: Index 15 (4,903 ) (0.78 ) Interest 1 (4,029 ) (0.64 ) Total short positions (68,243 ) (10.79 ) Investments in futures contracts, at fair value $ (68,738 ) (10.87 )% Galaxy Plus Fund - Aspect Master Fund (532) LLC1 (A Delaware Limited Liability Company)Condensed ScheduleNo individual investment is greater than 5% of InvestmentsDecember 31, 2016(Expressed in U.S. Dollars)member’s equity. 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 )% F-131Investment income: Interest income $ 52,408 Total investment income 52,408 Expenses: Other expenses 1,411 Total expenses 1,411 Net investment income 50,997 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized gain (loss) from: Derivative contracts1 (1,141,389 ) Foreign currency transactions 8,626 (1,132,763 ) Net (increase) decrease in unrealized depreciation on: Derivative contracts 119,795 119,795 Net realized and unrealized loss on investments and foreign currency transactions (1,012,968 ) Net decrease in member’s equity resulting from operations $ (961,971 ) Galaxy Plus Fund - Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 ) 1 Includes broker trading commissionscostsF-132Galaxy Plus Fund - Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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 Changes in member’s equity from operations: Net investment income $ 50,997 Net realized loss from derivative contracts and foreign currency transactions (1,132,763 ) Net (increase) decrease in unrealized depreciation on derivative contracts 119,795 Net decrease in member’s equity resulting from operations (961,971 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 316,668 Payments for redemptions of capital (987,096 ) Net decrease in member’s equity resulting from capital transactions (670,428 ) Total decrease (1,632,399 ) Member’s equity, beginning of year 2,264,697 Member’s equity, end of year $ 632,298 F-133Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureAspectQIM Master Fund (532)(526) LLC20,19, 2016 and commenced operationsoperation on December 16,June 22, 2016. The Master Fund was created to serve as the trading entity managed Aspect Capital Limited,by Quantitative Investment Management, L.L.C. (the “Trading Advisor”) pursuant to its Aspect Core DiversifiedGlobal Program (the “Program”). The Program appliesis a proprietary and systematic quantitative investment approachshort to generate profit from trends in both rising and fallingmedium-term trading strategy designed to capitalize on market inefficiencies across a wide array of futures markets.GeminiNew Hyde Park Alternative Funds, LLC (the “Sponsor” or “GAF”“NHPAF”) 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.GAFNHPAF was formed in October 2013 and its principal office is located in Chicago,Wheaton, Illinois. GAFNHPAF 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).AspectQIM Feeder Fund (532)(526) (“LLC532”LLC526”), a separated series of the Onshore Platform and Galaxy Plus Fund – AspectQIM Offshore Feeder Fund (532)(526) Segregated Portfolio (“SPC532”SPC526”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 5322023, SPC526 had not yet commenced operations.operations and LLC526 is the sole member.LLC532LLC526 and SPC532SPC526 are collectively hereafter referred to as the “Feeder Funds”.areand the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.F-134Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 2.Summary of Significant Accounting Policies$4,954,266$709,906 is held in USD and a payable of ($42,091)$8,860 in foreign currencies as of December 31, 2016,2023, and are recorded in cash and restricted cash – margin balance on the statementStatement of financial condition.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, 20162023 included restricted cash for margin requirements of $2,301,058.$148,159. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20162023 included amounts due to the broker for unsettled trades of $0.F-135Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.Thethe 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.periodyears ended December 31, 2016,2020 through 2023, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statementStatement of operations.Operations. During the period,year, the Master Fund did not accrue any interest or penalties.F-136Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsstatementStatement of cash flowsCash Flows as permitted by GAAP as all of the following conditions have been met:● During the period,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 period;year;● The Master Fund’s financial statements include a statementStatement of changesChanges in member’s equity.Member’s Equity.Note 3.Fair Value Measurements Level 2 inputs may also include discounts related to restrictions on the investments.F-137Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016.2023. 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.periodyear ended December 31, 2016.2023.F-138Table of ContentsGalaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016. Presentation2023. For futures contracts, 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 ) $ — $ — 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: Energy $ 37 $ 37 $ - $ - Index 741 741 - - Total investment assets at fair value 778 778 - - Liabilities: Derivative contracts: Futures contracts: Currency (4,477 ) (4,477 ) - - Index (37,583 ) (37,583 ) - - Interest (25,551 ) (25,551 ) - - Metals (1,905 ) (1,905 ) - - Total investment liabilities at fair value (69,516 ) (69,516 ) - - Total net investments at fair value $ (68,738 ) $ (68,738 ) $ - $ - F-139Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial Instrumentsoptionoptions 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.2016.2023.Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.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, 2016,2023, the Master Fund had open futures contracts with the following notional values by sector:F-140Table of ContentsGalaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription Quantity Notional
Value Description Quantity Notional
Value Long: Short: Currency 1 $ 138,438 Currency 13 $ (1,017,718 ) Index 2 193,083 Energy 1 (25,140 ) Index 23 (1,054,338 ) Interest 7 (842,890 ) Metals 2 (414,360 ) 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 periodyear ended December 31, 2016,2023, the Master Fund participated in 5517,642 futures contract transactions. 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 ) Net Trading Gain (Loss)* Futures contracts: Currency $ (205,175 ) Energy (48,637 ) Index (441,645 ) Interest (202,226 ) Metals (82,737 ) Total futures contracts (980,420 ) Trading costs (41,174 ) Total net trading loss $ (1,021,594 ) * Includes both realized loss of ($86,638)$1,141,389 and unrealized lossappreciation of ($286,034)$119,795 and is located in net realized and unrealized gain (loss)loss on investments on the statementStatement of operations.Operations. Amounts exclude foreign currency transactions and translation.transactions.F-141Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingstatementStatement of financial conditionFinancial 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 Master Fund’s right of set-off is enforceable atby law. 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 Net
Amount of Gross
Amounts of Offset
in the Assets
(Liabilities)
in the Recognized Statement of Statement of Description Assets
(Liabilities) Financial
Condition Financial
Condition Futures contacts $ (69,516 ) $ 778 $ (68,738 ) Total $ (69,516 ) $ 778 $ (68,738 ) Net
Amount in Cash the Statement
of Financial Collateral
Received by Net Condition Counterparty Amount Counterparty A $ (68,738 ) $ 148,159 $ 79,421 Total $ (68,738 ) $ 148,159 $ 79,421 F-142Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini HedgeGalaxy Plus Fund Services,– QIM Master Fund (526) LLC an affiliateSponsor, provides administrationMaster Fund had $17,730 payable to the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level.foron behalf of the Master Fund.Note 7.Financial Highlightsperiod December 15, 2016 (commencement of operations) throughyear ended December 31, 20162023 are presented in the table below. The information has been derived from information presented in the financial statements.Total return (A) ( 7.4655.69)% RatioRatios to average member’s equity (B): Net investment income (C) —3.34% Total expenses —0.09% (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 lossincome ratios are computed based uponon weighted-average member’s equity as a whole for the periodyear ended December 31, 2016.2023.(C) The net investment lossincome ratio excludes net realized and unrealized gains (losses)loss on investments.larger, and the net investment incomelower and total expense ratiosratio would have been higher if the management, and incentive fees, as well as theand sponsor fees,fee, 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 8.Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017,25, 2024, 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.F-143Galaxy Plus Fund – Aspect Master Fund (532) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorDecember 31, 2016 and for the period from December 16, 2016 (commencement of operations) toyear ended December 31, 2016,2023, is accurate and complete./s/ David Young David Young, President GeminiNew Hyde Park Alternative Funds, LLC — Sponsor Galaxy Plus Fund – QIM Master Fund (526) LLC F-144Chesapeake Aspect Master Fund (518)(532) LLCLLC20162023F-145Independent Auditor’s Report F-203 - F-204 Financial Statements Statement of Financial Condition F-205 Condensed Schedule of Investments F-206 Statement of Operations F-207 Statement of Changes in Member’s Equity F-208 Notes to Financial Statements F-209 - F-219 Oath and Affirmation of the Commodity Pool Operator F-220 Board of DirectorsReport on the Financial Statements accompanying financial statements of Galaxy Plus Fund – Chesapeake— Aspect Master Fund (518)(532) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and2023, 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,year then ended, and the related notes to the financial statements.Management's ResponsibilityIn our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America.thesethe financial statements in accordance with accounting principles generally accepted in the United States of America; this includesAmerica, and for 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 ResponsibilityOur responsibility is to express an opinion on theseIn preparing the financial statements, based on our audit. We conducted our audit in accordance with auditing standards generally acceptedmanagement is required to evaluate whether there are conditions or events, considered in the United Statesaggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.America. Those standards require that we plan and perform the auditFinancial Statementsmisstatement.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 thoseerror, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk assessments,of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the auditor considersoverride of internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedurescontrol. Misstatements are considered material if there is a substantial likelihood that, are appropriateindividually or in the circumstances, but not foraggregate, they would influence 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 estimatesjudgment made by management, as well as evaluating the overall presentation ofa reasonable user based on the financial statements.We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.F-146Opinionour 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,performing an audit in accordance with accounting principles generally acceptedGAAS, we:● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. United Statesplanned scope and timing of America.the audit, significant audit findings, and certain internal control–related matters that we identified during the audit.24, 201725, 2024F-147Galaxy Plus Fund - Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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 Assets Equity in commodity trading accounts at clearing brokers: Cash $ 1,001,690 Restricted cash - margin balance 3,082,757 Investments in futures contracts, at fair value (represents unrealized appreciation on open derivative contracts, net) 212,248 Receivable from Onshore Feeder Fund 68,854 Total assets $ 4,365,549 Liabilities and Member’s Equity Total liabilities $ - Member’s equity 4,365,549 Total liabilities and member’s equity $ 4,365,549 F-148Galaxy Plus Fund - Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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 )% Number of Percent of Contracts/
Units Fair Value Member’s Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 21 $ 50,361 1.15 % Currency 83 157,052 3.60 Index 18 76,426 1.75 Interest 31 29,828 0.68 Metals 4 (422 ) (0.01 ) Foreign: Futures contracts: Agriculture 13 30,717 0.70 Index 69 30,077 0.69 Interest 56 18,527 0.42 Metals 47 23,326 0.53 Total long positions 415,892 9.51 Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 49 6,199 0.14 Currency 46 (113,578 ) (2.60 ) Energy 25 317 0.01 Index 4 (6,748 ) (0.15 ) Interest 4 (7,310 ) (0.17 ) Metals 1 (2,860 ) (0.07 ) Foreign: Futures contracts: Agriculture 19 7,229 0.17 Energy 5 6,719 0.15 Index 166 (51,530 ) (1.18 ) Interest 8 (7,721 ) (0.18 ) Metals 24 (34,361 ) (0.79 ) Total short positions (203,644 ) (4.67 ) Investments in futures contracts, at fair value $ 212,248 4.84 % F-149Investment income: Interest income $ 287,747 Total investment income 287,747 Expenses: Interest expense 22,598 Other expenses 1,472 Total expenses 24,070 Net investment income 263,677 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized loss from: Derivative contracts1 (891,581 ) Foreign currency transactions (725 ) (892,306 ) Net (increase) decrease in unrealized depreciation on: Derivative contracts (142,215 ) (142,215 ) Net realized and unrealized loss on investments and foreign currency transactions (1,034,521 ) Net decrease in member’s equity resulting from operations $ (770,844 ) (A Delaware Limited Liability Company)Statement of OperationsFor 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 ) 1 Includes broker trading commisionscostsF-150Galaxy Plus Fund - Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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 Changes in member’s equity from operations: Net investment income $ 263,677 Net realized loss from derivative contracts and foreign currency transactions (892,306 ) Net (increase) decrease in unrealized depreciation on derivative contracts (142,215 ) Net decrease in member’s equity resulting from operations (770,844 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 963,737 Payments for redemptions of capital (4,176,628 ) Net decrease in member’s equity resulting from capital transactions (3,212,891 ) Total decrease (3,983,735 ) Member’s equity, beginning of year 8,349,284 Member’s equity, end of year $ 4,365,549 F-151Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureChesapeakeAspect Master Fund (518)(532) LLCJanuary 6,April 20, 2016 and commenced operationoperations on June 7,December 16, 2016. The Master Fund was created to serve as the trading entity managed by ChesapeakeAspect Capital CorporationLimited, L.L.C. (the “Trading Advisor”) pursuant to its Aspect Core Diversified Program (the “Program”). The Program employsapplies a proprietary and systematic disciplinedquantitative investment approach based on trendto generate profit from trends in both rising and momentum, diversification, and capital preservation.falling markets.GeminiNew Hyde Park Alternative Funds, LLC (the “Sponsor” or “GAF”“NHPAF”) 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.GAFNHPAF was formed in October 2013 and its principal office is located in Chicago,Wheaton, Illinois. GAFNHPAF 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).- Chesapeake– Aspect Feeder Fund (518)(532) (“LLC518”LLC532”), a separated series of the Onshore Platform and Galaxy Plus Fund – ChesapeakeAspect Offshore Feeder Fund (518)(532) Segregated Portfolio (“SPC518”SPC532”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC518 has2023, SPC532 had not yet commenced operations.operations and LLC532 is the sole member.LLC518LLC532 and SPC518SPC532 are collectively hereafter referred to as the “Feeder Funds”.areand the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.F-152Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 2.Summary of Significant Accounting Policies$12,052,692$4,080,134 is held in USD and a payable balance of ($133,423)$4,313 in foreign currencies as of December 31, 2016,2023, and are recorded in cash and restricted cash – margin balance on the statementStatement of financial condition.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, 20162023 included restricted cash for margin requirements of $5,814,400.$3,082,757. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20162023 included amounts due to the broker for unsettled trades of $0.(See(see Note 5).F-153Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.Thethe 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.periodyears ended December 31, 2016,2020 through 2023, remain open. The Master Fund recognizes interest and penalties, if any,F-154Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsstatementStatement of operations.Operations. During the period,year, the Master Fund did not accrue any interest or penalties.Thethe 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.statementStatement of cash flowsCash Flows as permitted by GAAP as all of the following conditions have been met:● During the period,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 period;year;● The Master Fund’s financial statements include a statementStatement of changesChanges in member’s equity.Member’s Equity.Note 3.Fair Value Measurements Level 2 inputs may also include discounts related to restrictions on the investments.F-155Table of ContentsGalaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016.2023. 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.periodyear ended December 31, 2016.2023.F-156Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016. Presentation2023. For futures contracts, 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 ) $ — $ — 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 $ 110,696 $ 110,696 $ - $ - Currency 159,062 159,062 - - Energy 38,415 38,415 - - Index 116,740 116,740 - - Interest 52,100 52,100 - - Metals 72,828 72,828 - - Total investment assets at fair value 549,841 549,841 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (16,190 ) (16,190 ) - - Currency (115,588 ) (115,588 ) Energy (31,379 ) (31,379 ) Index (68,515 ) (68,515 ) Interest (18,776 ) (18,776 ) - - Metals (87,145 ) (87,145 ) - - Total investment liabilities at fair value (337,593 ) (337,593 ) - - Total net investments at fair value $ 212,248 $ 212,248 $ - $ - F-157Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial Instrumentsoptionoptions 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.2016.2023.Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.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, 2016,2023, the Master Fund had open futures contracts with the following notional values by sector:F-158Table of ContentsGalaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 34 $ 1,472,087 Agriculture 68 $ (1,825,805 ) Currency 83 7,941,563 Currency 46 (4,857,263 ) Index 87 7,885,323 Energy 30 (1,019,080 ) Interest 87 23,922,596 Index 170 (2,742,029 ) Metals 51 2,020,599 Interest 12 (2,021,376 ) Metals 25 (1,649,317 ) 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 periodyear ended December 31, 2016,2023, the Master Fund participated in 2,83715,699 futures contract transactions. 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 ) Net Trading
Gain (Loss)* Futures contracts: Agriculture $ 569,033 Currency (61,109 ) Energy (30,131 ) Index (281,315 ) Interest (810,868 ) Metals (384,455 ) Total futures contracts (998,845 ) Trading costs (34,951 ) Total net trading loss $ (1,033,796 ) * Includes both realized gainloss of $405,614$891,581 and unrealized lossdepreciation of ($425,852)$142,215 and is located in net realized and unrealized gain (loss)loss on investments on the statementStatement of operations.Operations. Amounts exclude foreign currency transactions and translation.transactions.F-159Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingstatementStatement of financial conditionFinancial 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 Master Fund’s right of set-off is enforceable atby law. 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 Net Amount Gross Amounts of
Recognized Offset in the
Statement of of Assets (Liabilities)
in the Statement of Description Assets (Liabilities) Financial Condition Financial Condition Futures contracts $ 549,841 $ (337,593 ) $ 212,248 Total $ 549,841 $ (337,593 ) $ 212,248 F-160 Net Amount
in the Cash Statement of
Financial Condition Collateral
Received by
Counterparty Net
Amount Counterparty A $ 212,248 $ 3,082,757 $ 3,295,005 Total $ 212,248 $ 3,082,757 $ 3,295,005 Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini HedgeNotes to Financial StatementsServices, LLC an affiliatehad $68,854 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to the Sponsor, provides administrationFeeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level.foron behalf of the Master Fund.Note 7.Subscription in kindThe 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 Highlightsperiod June 7, 2016 (commencement of operations) throughyear ended December 31, 20162023, are presented in the table below. The information has been derived from information presented in the financial statements.Total return (A) ( 0.4612.83)% RatioRatios to average member’s equity (B): Net investment income (C) (0.094.36)%Total expenses 0.090.40% (A) (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) (B)The total expense and net investment lossincome ratios are computed based upon weighted-average member’s equity as a whole for the periodyear ended December 31, 2016.2023.(C) (C)The net investment lossincome ratio excludes net realized and unrealized gains (losses)loss on investments.ratiosratio 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, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017,25, 2024, 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.F-161Galaxy Plus Fund – Chesapeake Master Fund (518) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorDecember 31, 2016 and for the period from June 7, 2016 (commencement of operations) toyear ended December 31, 2016,2023, is accurate and complete./s/ David YoungDavid Young, President GeminiNew Hyde Park Alternative Funds, LLC — Sponsor F-162Galaxy Plus Fund – DohertyAspect Master Fund (528)(532) LLC(A Delaware Limited Liability Company)Independent Auditor’s ReportF-223 - F-224 The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act. Financial ReportStatementsDecember 31, 2016Statement of Financial Condition F-225 Condensed Schedule of Investments F-226 Statement of Operations F-227 Statement of Changes in Member’s Equity F-228 Notes to Financial Statements F-229 - F-238 Oath and Affirmation of the Commodity Pool Operator F-239 F-163Board of DirectorsManaging MemberReport on the Financial Statements accompanying financial statements of Galaxy Plus Fund – Doherty— Welton GDP Master Fund (528)(538) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and2023, 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,year then ended, and the related notes to the financial statements.Management's ResponsibilityIn our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America.thesethe financial statements in accordance with accounting principles generally accepted in the United States of America; this includesAmerica, and for 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 ResponsibilityOur responsibility is to express an opinion on theseIn preparing the financial statements, based on our audit. We conducted our audit in accordance with auditing standards generally acceptedmanagement is required to evaluate whether there are conditions or events, considered in the United Statesaggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.America. Those standards require that we plan and perform the auditFinancial Statementsmisstatement.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 relevanterror, and to the entity’s preparationissue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and fair presentation of the financial statements in order to designtherefore is not a guarantee that an 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.F-164OpinionIn 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,conducted in accordance with accounting principles generally acceptedGAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the United Statesaggregate, they would influence the judgment made by a reasonable user based on the financial statements.● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. America.the audit, significant audit findings, and certain internal control–related matters that we identified during the audit.Denver, ColoradoMarch 24, 2017F-165DohertyWelton GDP Master Fund (528)(538) LLCStatement of Financial ConditionDecember 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 Assets Equity in commodity trading accounts at clearing brokers: Cash $ 365,930 Restricted cash - margin balance 1,211,334 Investments in futures contracts, at fair value (represents unrealized appreciation on open derivative contracts, net) 146,626 Receivable from Onshore Feeder Fund 58,331 Total assets $ 1,782,221 Liabilities and Member’s Equity Total liabilities $ - Member’s equity 1,782,221 Total liabilities and member’s equity $ 1,782,221 F-166DohertyWelton GDP Master Fund (528)(538) LLC Number of Percent of Contracts/
Units Fair Value Member’s
Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 16 $ (7,964 ) (0.45 )% Currency 21 6,954 0.39 Energy 1 2,320 0.13 Index(1) 43 109,156 6.12 Interest 56 38,776 2.18 Metals 4 2,105 0.12 Foreign: Futures contracts: Agriculture 1 (300 ) (0.02 ) Energy 2 (1,120 ) (0.06 ) Index 35 12,529 0.70 Interest 101 65,398 3.67 Metals 17 (14,661 ) (0.82 ) Total long positions $ 213,193 11.96 % Short positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture 39 $ 19,402 1.09 Currency 8 (5,239 ) (0.29 ) Energy 15 (15,901 ) (0.89 ) Index 6 (11,318 ) (0.64 ) Metals 1 475 0.03 Foreign: Futures contracts: Energy 4 2,340 0.13 Index 2 (1,542 ) (0.09 ) Metals 23 (54,784 ) (3.07 ) Total short positions (66,567 ) (3.73 ) Total investments in futures contracts, at fair value $ 146,626 8.23 % Condensed Schedule1No individual position is more than 5% of InvestmentsDecember 31, 2016(Expressed in U.S. Dollars)member’s equity. 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 % F-167DohertyWelton GDP Master Fund (528)(538) LLCperiod from July 19, 2016 (Commencement of Operations) toyear ended December 31, 20162023Investment income: Interest income $ 103,607 Total investment income 103,607 Expenses: Other expenses 1,459 Total expenses 1,459 Net investment income 102,148 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized loss from: Derivative contracts1 ( Expressed1,544,536) Foreign currency transactions (3,684 ) (1,548,220 ) Net increase (decrease) in U.S. Dollars)unrealized appreciation on:Derivative contracts 189,643 189,643 Net realized and unrealized loss on investments and foreign currency transactions (1,358,577 ) Net decrease in member’s equity resulting from operations $ (1,256,429 ) 1 Includes trading costs. 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 commissionsF-168DohertyWelton GDP Master Fund (528)(538) LLCStatement of Changes in Member’s EquityFor 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 Changes in member’s equity from operations: Net investment income $ 102,148 Net realized loss from derivative contracts and foreign currency transactions (1,548,220 ) Net increase (decrease) in unrealized appreciation on derivative contracts 189,643 Net decrease in member’s equity resulting from operations (1,256,429 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 530,725 Payments for redemptions of capital (2,226,938 ) Net decrease in member’s equity resulting from capital transactions (1,696,213 ) Total decrease (2,952,642 ) Member’s equity, beginning of year 4,734,863 Member’s equity, end of year $ 1,782,221 F-169Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureDohertyWelton GDP Master Fund (528)(538) LLCApril 20, 2016January 27, 2017, and commenced operation on July 19, 2016.March 28, 2017. The Master Fund was created to serve as the trading entity managed by Doherty Advisory,Welton Investment Partners, L.L.C. (the “Trading Advisor”) pursuant to its Relative Value ModerateGlobal Directional Portfolio (the “Program”). The Program is a discretionary pure relative value/market neutral arbitrage strategy.designed to provide investors with non-correlated returns and long-term capital appreciation through the global futures and FX Markets.GeminiNew Hyde Park Alternative Funds, LLC (the “Sponsor” or “GAF”“NHPAF”) 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.GAFNHPAF was formed in October 2013 and its principal office is located in Chicago,Wheaton, Illinois. GAFNHPAF 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).DohertyWelton GDP Feeder Fund (528)(538W) (“LLC528”LLC538W”), a separated series of the Onshore Platform and Galaxy Plus Fund – DohertyWelton GDP Offshore Feeder Fund (528)(538W) Segregated Portfolio (“SPC528”SPC538W”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC528 has2023, SPC538W had not yet commenced operations.LLC528operations and SPC528LLC538W is the sole member.areand the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.F-170Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 2.Summary of Significant Accounting Policiescan holdholds various currencies at the clearing broker, of which $6,528,291$1,578,086 is held in USD and $0a payable balance of $(822) in foreign currencies as of December 31, 2016,2023, and are recorded in cash and restricted cash – margin balance on the statementStatement of financial condition.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, 20162023, included restricted cash for margin requirements of $496,013.$1,211,334. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20162023 included amounts due to the broker for unsettled trades of $0.$822, which are denominated in foreign currency.(See(see Note 5).F-171Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsperiodyears ended December 31, 2016,2020 through 2023, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statementStatement of operations.Operations. During the period,year, the Master Fund did not accrue any interest or penalties.F-172Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsstatementStatement of cash flowsCash Flows as permitted by GAAP as all of the following conditions have been met:● ●During the period,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 period;year;● ●The Master Fund’s financial statements include a statementStatement of changesChanges in member’s equity.Member’s Equity.Note 3.Fair Value Measurements Level 2 inputs may also include discounts related to restrictions on the investments.2016.2023. 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.F-173Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsperiodyear ended December 31, 2016.2023.F-174Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016. Presentation2023. For futures contracts, 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 $ 27,962 $ 27,962 $ - $ - Currency 8,214 8,214 - - Energy 14,764 14,764 - - Index 133,305 133,305 - - Interest 112,088 112,088 - - Metals 21,750 21,750 - - Total investment assets at fair value 318,083 318,083 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (16,824 ) (16,824 ) - - Currency (6,499 ) (6,499 ) - - Energy (27,125 ) (27,125 ) - - Index (24,480 ) (24,480 ) - - Interest (7,914 ) (7,914 ) - - Metals (88,615 ) (88,615 ) - - Total investment liabilities at fair value (171,457 ) (171,457 ) - - Total net investments at fair value $ 146,626 $ 146,626 $ - $ - 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 $ — $ — F-175Note 4. Derivative Financial InstrumentsGalaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial Instrumentsoptionoptions 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.2016.2023.2016,2023, the Master Fund had open futures contracts with the following notional values by sector:Description Quantity Notional Value Long: Index 6 $ 670,875 Description Quantity Notional Value Description Quantity Notional Value Long: Short: Agriculture 17 $ 916,798 Agriculture 39 $ 1,281,671 Currency 21 1,395,137 Currency 8 696,205 Energy 3 223,145 Energy 19 1,192,146 Index 78 13,965,544 Index 8 752,328 Interest 157 38,649,088 Metals 24 1,571,176 Metals 21 1,728,158 F-176Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsperiodyear ended December 31, 2016,2023, the Master Fund participated in 28016,823 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 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 Net Trading Gain (Loss)* Futures contracts: Agriculture $ (211,188 ) Currency (77,570 ) Energy 36,391 Index (258,849 ) Interest (330,964 ) Metals (450,636 ) Total futures contracts (1,292,816 ) Trading costs (62,077 ) Total net trading loss $ (1,354,893 ) * *Includes both realized gainloss of $212,853$1,544,536 and unrealized gainappreciation of $76,776$189,643 and is located in net realized and unrealized gain (loss) on investments on the statementStatement of operations.Operations. Amounts exclude foreign currency transactions and translation.transactions.F-177Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingstatementStatement of financial conditionFinancial 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 Master Fund’s right of set-off is enforceable atby law. 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 of Gross
Amounts of Offset
in the Assets (Liabilities)
in the Recognized Statement of Statement of Description Assets (Liabilities) Financial Condition Financial Condition Futures contracts $ 318,083 $ (171,457 ) $ 146,626 Total $ 318,083 $ (171,457 ) $ 146,626 Net
Amount
in the Cash Statement of Collateral Financial Condition Received by
Counterparty Net
Amount Counterparty A $ 146,626 $ 1,211,334 $ 1,357,960 Total $ 146,626 $ 1,211,334 $ 1,357,960 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 F-178Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini HedgeGalaxy Plus Fund Services,– Welton GDP Master Fund (538) LLC an affiliateSponsor, provides administrationMaster Fund had $58,331 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Feeder Fund level.foron behalf of the Master Fund.Note 7.Subscription in kindThe 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 Highlightsperiod July 19, 2016 (commencement of operations) throughyear ended December 31, 20162023 are presented in the table below. The information has been derived from information presented in the financial statements.Total return (A) 4.59(29.87)% RatioRatios to average member’s equity (B): Net investment income (C) —3.55% Total expenses —0.05% (A) (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) (B)The total expense and net investment lossincome ratios are computed based upon weighted-average member’s equity as a whole for the periodyear ended December 31, 2016.2023.(C) (C)The net investment lossincome ratio excludes net realized and unrealized gains (losses)loss on investments.ratiosratio would have been higher if the management, and incentive fees, as well asand 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, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017,25, 2024, 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.F-179Galaxy Plus Fund – Doherty Master Fund (528) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorDecember 31, 2016 and for the period from July 19, 2016 (commencement of operations) toyear ended December 31, 2016,2023 is accurate and complete. /s/ David Young David Young, President GeminiNew Hyde Park Alternative Funds, LLC — Sponsor Galaxy Plus Fund – Welton GDP Master Fund (538) LLC F-180Emil van Essen STP Volt Diversified Alpha Master(516)(550) LLC20162023F-181Independent Auditor’s Report F-242 - F-243 Financial Statements Statement of Financial Condition F-244 Condensed Schedule of Investments F-245 Statement of Operations F-246 Statement of Changes in Member’s Equity F-247 Notes to Financial Statements F-248 - F-257 Oath and Affirmation of the Commodity Pool Operator F-258 Board of DirectorsReport on the Financial Statements accompanying financial statements of Galaxy Plus Fund – Emil van Essen STP— Volt Diversified Alpha Master Fund (516)(550) LLC (the Fund), which comprise the statement of financial condition, including the condensed schedule of investments, as of December 31, 2016, and2023, 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,year then ended, and the related notes to the financial statements.Management's ResponsibilityIn our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, and the results of its operations and changes in member’s equity for the year then ended in accordance with accounting principles generally accepted in the United States of America.thesethe financial statements in accordance with accounting principles generally accepted in the United States of America; this includesAmerica, and for 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 ResponsibilityOur responsibility is to express an opinion on theseIn preparing the financial statements, based on our audit. We conducted our audit in accordance with auditing standards generally acceptedmanagement is required to evaluate whether there are conditions or events, considered in the United Statesaggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date that the financial statements are issued or available to be issued.America. Those standards require that we plan and perform the auditFinancial Statementsmisstatement.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 relevanterror, and to the entity’s preparationissue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and fair presentation of the financial statements in order to designtherefore is not a guarantee that an 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.F-182OpinionIn 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,conducted in accordance with accounting principles generally acceptedGAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the United Statesaggregate, they would influence the judgment made by a reasonable user based on the financial statements.● Exercise professional judgment and maintain professional skepticism throughout the audit. ● Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. ● Obtain an understanding of internal control relevant to the audit 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 Fund’s internal control. Accordingly, no such opinion is expressed. ● Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements. ● Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Fund’s ability to continue as a going concern for a reasonable period of time. America.the audit, significant audit findings, and certain internal control–related matters that we identified during the audit.24, 201725, 2024F-183Galaxy Plus Fund - Emil van Essen STP– Volt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Statement of Financial Condition December 31, 20162023(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 Assets Equity in commodity trading accounts at clearing brokers: Cash $ 70,402 Restricted cash - margin balance 31,696 Receivable from Onshore Feeder Fund 54,970 Total assets $ 157,068 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) $ 4,510 Total liabilities 4,510 Member’s equity 152,558 Total liabilities and member’s equity $ 157,068 F-184Galaxy Plus Fund - Emil van Essen STP– Volt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Condensed Schedule of Investments December 31, 20162023(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)F-185Galaxy 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 )% Number of Percent of Contracts/
Units Fair Value Member’s
Equity Long positions: Derivative contracts: Domestic (United States): Futures contracts: Agriculture1 6 $ (10,330 ) (6.77 )% Currency 2 2,650 1.74 Interest 1 125 0.08 Metals 1 2,380 1.56 Foreign: Futures contracts: Interest 1 834 0.55 Total long positions (4,341 ) (2.84 ) Short positions: Derivative contracts: Foreign: Futures contracts: Currency 1 (169 ) (0.11 ) Total short positions (169 ) (0.11 ) Investments in futures contracts, at fair value $ (4,510 ) (2.95 )% 1 Maturities range from May 2017 through February 20182No individual contract or contract monthposition is greater than 5% of member’s equityequity.3Maturities range from February 2017 through June 20174Maturities range from February 2017 through October 2018F-186Galaxy Plus Fund - Emil van Essen STP– Volt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Statement of Operations For the period from April 15, 2016 (Commencement of Operations) toyear ended December 31, 20162023(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 Investment income: Interest income $ 8,967 Total investment income 8,967 Expenses: Other expenses 1,915 Total expenses 1,915 Net investment income 7,052 Realized and unrealized gain (loss) on investments and foreign currency transactions: Net realized loss from: Derivative contracts1 (89,864 ) Foreign currency transactions (193 ) (90,057 ) Net (increase) decrease in unrealized depreciation on: Derivative contracts (12,884 ) (12,884 ) Net realized and unrealized loss on investments and foreign currency transactions (102,941 ) Net decrease in member’s equity resulting from operations $ (95,889 ) 1 Includes broker trading commisionscosts.F-187Galaxy Plus Fund - Emil van Essen STP– Volt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Statement of Changes in Member’s Equity For the period from April 15, 2016 (Commencement of Operations) toyear ended December 31, 20162023(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 Changes in member’s equity from operations: Net investment income $ 7,052 Net realized loss from derivative contracts and foreign currency transactions (90,057 ) Net (increase) decrease in unrealized depreciation on derivative contracts (12,884 ) Net decrease in member’s equity resulting from operations (95,889 ) Changes in member’s equity from capital transactions: Proceeds from issuance of capital 51,934 Payments for redemptions of capital (86,836 ) Net decrease in member’s equity resulting from capital transactions (34,902 ) Total decrease (130,791 ) Member’s equity, beginning of year 283,349 Member’s equity, end of year $ 152,558 F-188Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial StatementsNote 1.Organization and StructureEmil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC (the “Master Fund”) was formed in Delaware as a limited liability company on January 7, 2016September 9, 2020 and commenced operations on April 15, 2016.November 11, 2020. The Master Fund was created to serve as the trading entity managed by Emil van Essen, L.L.C.Volt Capital Management AB (the “Trading Advisor”) pursuant to its The Multi-StrategyVolt Program (the “Program”). The Program is an approximate 50/50 combinationa diversified, systematic approach that uses machine learning on a portfolio of the Spread Trading Programdiversified, liquid financial and the Long-Short Commodity Program.commodities futures contracts.GeminiNew Hyde Park Alternative Funds, LLC (the “Sponsor” or “GAF”“NHPAF”) 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.GAFNHPAF was formed in October 2013 and its principal office is located in Chicago,Wheaton, Illinois. GAFNHPAF 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).funds.Funds. Galaxy Plus Fund – Emil van EssenVolt Diversified Alpha Feeder Fund (516)(550) (“LLC516”LLC550”), a separated series of the Onshore Platform and Galaxy Plus Fund – Emil van EssenVolt Diversified Alpha Offshore Feeder Fund (516)(550) Segregated Portfolio (“SPC516”SPC550”), a segregated portfolio of the Offshore Platform, can each invest in the Master Fund. As of December 31, 2016, SPC 5162023, SPC550 had not yet commenced operations.LLC530operations and SPC530LLC550 is the sole member.areand the corresponding transactions with the Master Fund and are governed by the Onshore Platform’s and the Offshore Platform’s respective Confidential Offering Memorandums.F-189Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial Statements$12,890,986$102,098 is held in USD and $48,206$0 in foreign currencies as of December 31, 2016,2023, and are recorded in cash and restricted cash – margin balance on the statementStatement of financial condition.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, 20162023 included restricted cash for margin requirements of $3,039,420.$31,696. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. Cash with the clearing broker as of December 31, 20162023 included amounts due to the broker for unsettled trades of $0.F-190Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial StatementsThethe Master Fund follows the following valuation and revenue recognition policies. All investments are recorded at their estimated fair value, as described in Note 3.Thethe 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.Galaxy Plus Fund – Volt Diversified Alpha Master Fund (550) LLC (A Delaware Limited Liability Company) Notes to Financial Statements periodyears ended December 31, 2016,2020 through 2023, remain open. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statementStatement of operations.Operations. During the period,year, the Master Fund did not accrue any interest or penalties.F-191Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsstatementStatement of cash flowsCash Flows as permitted by GAAP as all of the following conditions have been met:● ●During the period,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 period;year;● ●The Master Fund’s financial statements include a statementStatement of changesChanges in member’s equity.Member’s Equity.Galaxy Plus Fund – Volt Diversified Alpha Master Fund (550) LLC Note 3.(A Delaware Limited Liability Company)Fair Value MeasurementsNotes to Financial Statements Level 2 inputs may also include discounts related to restrictions on the investments.F-192Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016.2023. 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.periodyear ended December 31, 2016.2023.F-193Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial Statements2016. Presentation2023. For futures contracts, 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 $ 40 $ 40 $ - $ - Currency 2,650 2,650 - - Interest 959 959 - - Metals 2,380 2,380 - - Total investment assets at fair value 6,029 6,029 - - Liabilities: Derivative contracts: Futures contracts: Agriculture (10,370 ) (10,370 ) - - Currency (169 ) (169 ) - - Total investment liabilities at fair value (10,539 ) (10,539 ) - - Total net investments at fair value $ (4,510 ) $ (4,510 ) $ - $ - 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 ) $ — $ — Galaxy Plus Fund – Volt Diversified Alpha Master Fund (550) LLC Note 4.(A Delaware Limited Liability Company)DerivativeNotes to Financial InstrumentsStatementsoptionoptions 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.F-194Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC(A Delaware Limited Liability Company)Notes to the Financial Statements2016.2023.Thethe Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits.Galaxy Plus Fund – Volt Diversified Alpha Master Fund (550) LLC (A Delaware Limited Liability Company) Notes to Financial Statements 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.2016,2023, 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 ) Description Quantity Notional
Value Description Quantity Notional
Value Long: Short: Agriculture 6 $ 176,465 Currency 1 $ (101,029 ) Currency 2 97,425 Interest 2 188,234 Metals 1 207,180 periodyear ended December 31, 2016,2023, the Master Fund participated in 3,2341,229 futures contract and 24 options on futures contract transactions.F-195Galaxy Plus Fund – Emil van Essen STP Master Fund (516) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsTransactions 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 — $ — 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 Net Trading
Gain (Loss)* Futures contracts: Agriculture $ (48,733 ) Currency (23,103 ) Energy (4,800 ) Index 2,339 Interest (6,756 ) Metals (18,697 ) Total futures contracts (99,750 ) Trading costs (2,998 ) Total net trading loss $ (102,748 ) * *Includes both realized gainloss of $3,934,142$89,864 and unrealized lossdepreciation of ($1,249,410)$12,884 and is located in net realized and unrealized gain (loss)loss on investments on the statementStatement of operations.Operations. Amounts exclude foreign currency transactions and translation.transactions.F-196Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial StatementsNote 5.Balance Sheet OffsettingstatementStatement of financial conditionFinancial 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 Master Fund’s right of set-off is enforceable atby law. 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 F-197Description Gross
Amounts of
Recognized
Assets
(Liabilities) Offset
in the
Statement of
Financial
Condition Net Amount
of Assets
(Liabilities)
in the
Statement of
Financial
Condition Futures contracts $ (10,539 ) $ 6,029 $ (4,510 ) Total $ (10,539 ) $ 6,029 $ (4,510 ) Net amount
in the
statement of
Financial
Condition Cash
Collateral
Received by
Counterparty Net amount
in the
Statement of
Financial
Condition Counterparty A $ (4,510 ) $ 31,696 $ 27,186 Total $ (4,510 ) $ 31,696 $ 27,186 Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) LLC(A Delaware Limited Liability Company) Notes to the Financial StatementsNote 6.Related PartiesGemini HedgeServices, LLC an affiliatehad $54,970 receivable from the Onshore Feeder Fund, as reflected in the Statement of Financial Condition. Generally, receivables and payables from/to Feeder Fund are a result of timing differences of cash movements related to capital activity at the Sponsor, provides administrationFeeder Fund level.foron behalf of the Master Fund.Note 7.Financial Highlightsperiod April 15, 2016 (commencement of operations) throughyear ended December 31, 20162023 are presented in the table below. The information has been derived from information presented in the financial statements.Total Returnreturn (A) 21.48(41.01)% RatioRatios to average member’s equity (B): Net investment income (C) —3.29% Total expenses —0.89% (A) (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) (B)The total expense and net investment lossincome ratios are computed based upon weighted-average member’s equity as a whole for the periodyear ended December 31, 2016.2023.(C) (C)The net investment lossincome ratio excludes net realized and unrealized gains (losses)loss on investments.lossincome ratio would have been lower, and the total expense ratiosratio would have been higher if the management, and incentive fees, as well asand 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 8.Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 24, 2017,25, 2024, 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.F-198Galaxy Plus Fund – Emil van Essen STPVolt Diversified Alpha Master Fund (516)(550) 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, PresidentGemini Alternative Funds, LLC — SponsorF-199Galaxy Plus Fund – FORTContrarian Master Fund (510)LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-200Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-201OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-202Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-203Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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.F-204Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 commisionsSee notes to financial statements.F-205Galaxy Plus Fund - FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-206Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-207Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-208Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation 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.F-209Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsIncome 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 MeasurementsThe 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.F-210Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsLevel 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.F-211Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 ) $ — $ — F-212Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial InstrumentsDerivative 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:F-213Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription 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 OffsettingMaster 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 areF-214Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementssometimes 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 PartiesGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.F-215Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 7.Financial HighlightsFinancial 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 EventsIn 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.F-216Galaxy Plus Fund – FORT Contrarian Master Fund (510) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool Operator20162023, is accurate and complete./s/ David YoungDavid Young, President GeminiNew Hyde Park Alternative Funds, LLC — Sponsor F-217Galaxy Plus Fund – LRRMaster Fund (522) LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-218Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-219OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-220Galaxy Plus Fund - LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-221Galaxy Plus Fund - LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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 2017See notes to financial statements.F-222Galaxy Plus Fund - LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 commisionsSee notes to financial statements.F-223Galaxy Plus Fund - LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-224Galaxy Plus Fund – LRRVolt Diversified Alpha Master Fund (522)(550) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-225Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-226Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation and Revenue Recognition:SIGNATURES 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.F-227Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsUse 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 MeasurementsThe 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. TheseF-228Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsinputs 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.F-229Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 $ — $ — F-230Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial InstrumentsDerivative 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.F-231Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 F-232Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsBelow 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.F-233Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingThe 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 F-234Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.Note 7.Subscription in kindThe 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 HighlightsFinancial 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 EventsIn 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.F-235Galaxy Plus Fund – LRR Master Fund (522) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorTo 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, PresidentGemini Alternative Funds, LLC — SponsorF-236Galaxy Plus Fund – QIMMaster Fund (526) LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-237Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-238OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-239Galaxy Plus Fund - QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-240Galaxy Plus Fund - QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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.F-241Galaxy Plus Fund - QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 commisionsSee notes to financial statements.F-242Galaxy Plus Fund - QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-243Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-244Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-245Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation 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.F-246Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsUse 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 MeasurementsThe 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 valueF-247Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsof 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.F-248Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 $ — $ — F-249Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial InstrumentsDerivative 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:F-250Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription 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.F-251Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingThe 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 F-252Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.Note 7.Financial HighlightsFinancial 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 EventsIn 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.F-253Galaxy Plus Fund – QIM Master Fund (526) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorTo 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, PresidentGemini Alternative Funds, LLC — SponsorF-254Galaxy Plus Fund –QuantmetricsMaster Fund (527) LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-255Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-256OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-257Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-258Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 commissionsSee notes to financial statements.F-259Galaxy Plus Fund - Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-260Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-261Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-262Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation 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.F-263Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsUse 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 MeasurementsThe 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.F-264Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsA 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 InstrumentsDerivative 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 instrumentsF-265Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsare 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 OffsettingThe 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.F-266Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThese 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 PartyGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.Note 7.Financial HighlightsFinancial 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.F-267Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 8.Subsequent EventsIn 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.F-268Galaxy Plus Fund – Quantmetrics Master Fund (527) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorTo 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, PresidentGemini Alternative Funds, LLC — SponsorF-269Galaxy Plus Fund –Quest Master Fund (517) LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-270Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-271OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-272Galaxy Plus Fund - Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-273Galaxy Plus Fund - Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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.F-274Galaxy Plus Fund - Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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.F-275Galaxy Plus Fund - Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-276Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-277Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-278Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation 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.F-279Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsUse 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 MeasurementsThe 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 valueF-280Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsof 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.F-281Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 $ — $ — F-282Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial InstrumentsDerivative 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:F-283Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription 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.F-284Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingThe 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 F-285Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.Note 7.Financial HighlightsFinancial 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 EventsIn 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.F-286Galaxy Plus Fund – Quest Master Fund (517) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorTo 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, PresidentGemini Alternative Funds, LLC — SponsorF-287Galaxy Plus Fund – Quest FITMaster Fund (535) LLC(A Delaware Limited Liability Company)The attached annual report is filed under exemption pursuant toSection 4.7 of the regulations under the Commodity Exchange Act.Financial ReportDecember 31, 2016F-288Independent Auditor’s ReportBoard of DirectorsGalaxy Plus Fund LLCReport on the Financial StatementsWe 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 StatementsManagement 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 ResponsibilityOur 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.F-289OpinionIn 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 LLPDenver, ColoradoMarch 24, 2017F-290Galaxy Plus Fund - Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Statement of Financial ConditionDecember 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.F-291Galaxy Plus Fund - Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Condensed Schedule of InvestmentsDecember 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.F-292Galaxy Plus Fund - Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Statement of OperationsFor 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 commissionsSee notes to financial statements.F-293Galaxy Plus Fund - Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Statement of Changes in Member’s EquityFor 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.F-294Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 1.Organization and StructureGalaxy 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.F-295Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 PoliciesThe 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).F-296Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsValuation 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.F-297Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsUse 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 MeasurementsThe 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. TheseF-298Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial Statementsinputs 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.F-299Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsThe 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 $ — $ — F-300Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 4.Derivative Financial InstrumentsDerivative 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:F-301Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsDescription 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.F-302Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 5.Balance Sheet OffsettingThe 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 F-303Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Notes to the Financial StatementsNote 6.Related PartiesGemini Hedge Fund Services, LLC an affiliate of the Sponsor, provides administration services for the Master Fund.Note 7.Financial HighlightsFinancial 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 EventsIn 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.F-304Galaxy Plus Fund – Quest FIT Master Fund (535) LLC(A Delaware Limited Liability Company)Oath and Affirmation of the Commodity Pool OperatorTo 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, PresidentGemini Alternative Funds, LLC — SponsorF-305Equinox Frontier Funds(Registrant) Date: March 31, 2017April 1, 2024By: /s/ RobertPatrick J. EnckKaneRobertPatrick J. EnckKane Chairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier Fund Management LLC,the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCF-306SIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier Balanced Fund,a Series of Equinox Frontier Funds(Registrant) Date: March 31, 2017April 1, 2024By: /s/ RobertPatrick J. EnckKaneRobertPatrick J. EnckKane Chairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier Fund Management LLC,the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsChief Investment Officer of Equinox Fund Management, LLC the Managing Owner of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant 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, LLCEquinox Frontier Heritage Fund,a Series of Equinox Frontier Funds(Registrant)Date: March 31, 2017By:/s/ Robert J. EnckRobert J. EnckPresident and Chief ExecutiveOfficerof EquinoxFund Management, LLC,the Managing Owner of EquinoxFrontier FundsPursuant 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier WintonHeritage Fund,a Series of Equinox Frontier Funds(Registrant) Date: March 31, 2017April 1, 2024By: /s/ Robert Patrick J. EnckKaneRobertPatrick J. EnckKaneChairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier Fund Management LLC,the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier SelectGlobal Fund,a Series of Equinox Frontier Funds(Registrant) Date: March 31, 2017April 1, 2024By: /s/ RobertPatrick J. EnckKaneRobertPatrick J. EnckKane Chairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier Fund Management LLC,the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier Long/Short CommoditySelect Fund,Equinox Frontier Funds(Registrant)Date: April 1, 2024 By: /s/ Patrick J. Kane Date: March 31, 2017By:/s/RobertPatrick J. EnckKaneRobert J. EnckChairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier Fund Management LLC,the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier DiversifiedLong Short Commodity Fund,Equinox Frontier Funds(Registrant)Date: April 1, 2024 By: /s/ Patrick J. Kane Date: March 31, 2017By:/s/ RobertPatrick J. EnckKaneRobert J. EnckChairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier FundManagement LLC, the Managing Owner of Equinox Frontier Fundsthis 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, LLCBY:/s/Robert J. EnckMarch 31, 2017Robert J. Enck, Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds/s/David P. DeMuthMarch 31, 2017David P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsFrontier Fund Management LLCBY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive Committee of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCSIGNATURESPursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.Equinox Frontier MastersDiversified Fund,Equinox Frontier Funds(Registrant)Date: April 1, 2024 By: /s/ Patrick J. Kane Date: March 31, 2017By:/s/ RobertPatrick J. EnckKaneRobert J. EnckChairman and Chief Financial Officer of
Frontier Fund Management LLC, the Managing Owner of Frontier FundsDate: April 1, 2024 By: /s/ Patrick F. Hart Patrick F. Hart President and Chief Executive Officer of Equinox
Frontier FundManagement LLC, the Managing Owner of Equinox Frontier Fundshas beento be signed belowon its behalf by the following persons on behalf of the registrant and in the capacities and on the dates indicated.undersigned thereunto duly authorized.Equinox Fund Management, LLCBY:/s/Robert J. EnckMarch 31, 2017Frontier Masters Fund,Robert Date: April 1, 2024 By: /s/ Patrick J. Enck, KanePatrick J. Kane Chairman and Member of the Executive Committee of Equinox Frontier FundsPresident and Chief ExecutiveFinancial Officer of Equinox
Frontier Fund Management LLC, the Managing Owner of Equinox Frontier FundsDate: April 1, 2024 By: /s/ David P. DeMuthMarch 31, 2017Patrick F. HartDavid P. DeMuth, Member of the Executive Committee of Equinox Frontier FundsPatrick F. Hart President and Chief Executive Officer of
Frontier Fund Management LLC,BY:/s/Patrick KaneMarch 31, 2017Patrick Kane, Member of the Executive CommitteeManaging Owner of Frontier Fund Management LLC/s/Patrick HartMarch 31, 2017Patrick Hart, Member of the Executive Committee of Frontier Fund Management LLCFunds