UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

 

 

FORM 10-Q

 

 

 

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

For the Period Ended March 31,June 30, 2015

OR

 

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

Commission File Number 000-51274

 

 

EQUINOX FRONTIER FUNDS

EQUINOX FRONTIER DIVERSIFIED FUND;

EQUINOX FRONTIER LONG/SHORT COMMODITY FUND;

EQUINOX FRONTIER MASTERS FUND;

EQUINOX FRONTIER BALANCED FUND;

EQUINOX FRONTIER SELECT FUND;

EQUINOX FRONTIER WINTON FUND;

EQUINOX FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in its Charter)

 

 

 

Delaware 36-6815533

(State of

Organization)

 

(IRS Employer

Identification No.)

c/o Equinox Fund Management, LLC

1775 Sherman Street, Suite 2500

Denver, Colorado 80203

(Address of Principal Executive Offices)

(303) 837-0600

(Registrant’s Telephone Number)

 

 

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

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

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

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

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

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

Equinox Frontier Select Fund Class 1, Class 2 and Class 23 Units;

Equinox Frontier Winton Fund Class 1, Class 2 and Class 23 Units;

Equinox Frontier Heritage Fund Class 1, Class 2 and Class 23 Units

 

 

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

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  ¨

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

 

Large Accelerated Filer ¨  Accelerated Filer ¨
Non-Accelerated Filer x  (Do not check if a smaller reporting company)  Smaller reporting company ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-21 2b-2 of the Exchange Act).    Yes  ¨    No  x

 

 

 


TABLE OF CONTENTS

 

PART I – FINANCIAL INFORMATION

Item 1.

Financial Statements

Statements of Financial Condition as of March 31,June 30, 2015 (Unaudited) and December 31, 2014

 4  

Condensed Schedules of Investments as of March 31,June 30, 2015 (Unaudited) and December 31, 2014

 7  

Statements of Operations for the three and six months ended March 31,June 30, 2015 and 2014 (Unaudited)

 1413  

Statements of Changes in Owners’ Capital for the threesix months ended March 31,June 30, 2015 (Unaudited)

 1719  

Statements of Cash Flows for the threesix months ended March 31,June 30, 2015 and 2014 (Unaudited)

 2123  

Notes to Financial Statements (Unaudited)

 2426  

Trust Financial Statements (1)

Consolidated Statements of Financial Condition as of March 31,June 30, 2015 (Unaudited) and December 31, 2014

 5260  

Consolidated Condensed Schedules of Investments as of March 31,June 30, 2015 (Unaudited) and December 31, 2014

 5361  

Consolidated Statements of Operations for the three and six months ended March 31,June 30, 2015 and 2014 (Unaudited)

 5563  

Consolidated Statement of Changes in Owners’ Capital for the threesix months ended March 31,June 30, 2015 (Unaudited)

 5665  

Consolidated Statements of Cash Flows for the threesix months ended March 31,June 30, 2015 and 2014 (Unaudited)

 5766  

Notes to Consolidated Financial Statements (Unaudited)

 5867  

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 7283  

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

 98110  

Item 4.

Controls and Procedures

 104115  

PART II – OTHER INFORMATION

Item 1.

Legal Proceedings

 104115  

Item 1A.

Risk Factors

 104115  

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

 104115  

Item 3.

Defaults Upon Senior Securities

 104116  

Item 4.

Mine Safety Disclosures

 105116  

Item 5.

Other Information

 106116  

Item 6.

Exhibits

 106116  

SIGNATURES

  107117  

 

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

Special Note About Forward-Looking Statements

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

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF MARCH 31,JUNE 30, 2015, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

PART I. FINANCIAL INFORMATION

 

ITEM 1.Financial Statements

The Series of Equinox Frontier Funds

Statements of Financial Condition

March 31,June 30, 2015 (Unaudited) and December 31, 2014

 

  Equinox Frontier
Diversified Fund
   Equinox Frontier
Masters Fund
   Equinox Frontier
Long/Short Commodity Fund
 
  3/31/2015   12/31/2014   3/31/2015   12/31/2014   3/31/2015   12/31/2014  Equinox Frontier
Diversified Fund
 Equinox Frontier
Masters Fund
 Equinox Frontier
Long/Short Commodity Fund
 
 6/30/2015 12/31/2014 6/30/2015 12/31/2014 6/30/2015 12/31/2014 
ASSETS                  

Cash and cash equivalents

  $2,117,560    $4,210,638    $896,661    $2,199,066    $600,918    $1,110,779   $4,827,779   $4,210,638   $1,978,484   $2,199,066   $1,119,846   $1,110,779  

U.S. Treasury securities, at fair value

   36,701,926     31,051,659     15,541,089     16,217,173     10,415,223     8,191,519   29,071,240   31,051,659   11,913,754   16,217,173   6,743,330   8,191,519  

Open trade equity, at fair value

   2,569,506     3,215,206     —       —       —       —      —     3,215,206    —      —      —      —    

Options purchased, at fair value

   325,003     288,413     —       —       —       —     374,470   288,413    —      —      —      —    

Receivable from futures commission merchants

   19,513,460     22,731,129     —       —       —       —     14,670,707   22,731,129    —      —      —      —    

Swap contracts, at fair value

   9,559,124     6,570,408     —       —       5,301,972     3,633,060   7,615,169   6,570,408    —      —     4,304,209   3,633,060  

Investments in unconsolidated trading companies, at fair value

   6,464,972     6,594,379     10,915,655     7,901,978     3,000,921     3,814,854   6,198,464   6,594,379   8,767,520   7,901,978   3,896,994   3,814,854  

Prepaid service fees - Class 1

   14,584     9,534     7,735     6,003     183     505   23,618   9,534   5,889   6,003   410   505  

Interest receivable

   209,915     477,250     88,886     249,250     59,567     125,900   498,272   477,250   204,198   249,250   115,577   125,900  

Receivable from related parties

   —       —       2,452     3,050     2,274     2,612    —      —     2,976   3,050   2,082   2,612  

Other assets

   —       249,997     —       —       —       —      —     249,997    —      —      —      —    
  

 

   

 

   

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Assets

$77,476,050  $75,398,613  $27,452,478  $26,576,520  $19,381,058  $16,879,229   $63,279,719   $75,398,613   $22,872,821   $26,576,520   $16,182,448   $16,879,229  
  

 

   

 

   

 

   

 

   

 

   

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 
LIABILITIES & CAPITAL      

LIABILITIES

      

Open trade deficit, at fair value

$—    $—    $—    $—    $—    $—     $571,551   $—     $—     $—     $—     $—    

Options written, at fair value

 107,167   253,018   —     —     —     —     219,660   253,018    —      —      —      —    

Pending owner additions

 1,807   1,527   2,295   2,056   —     —     1,320   1,527   1,566   2,056    —      —    

Owner redemptions payable

 207,963   57,953   37,184   —     10,643   19,578    —     57,953    —      —     796   19,578  

Incentive fees payable to Managing Owner

 1,634,242   2,387,825   535,301   722,043   239,216   158,660   4,000   2,387,825   41,071   722,043   40,149   158,660  

Management fees payable to Managing Owner

 88,283   86,486   67,463   64,497   43,562   45,361   83,476   86,486   60,312   64,497   45,710   45,361  

Interest payable to Managing Owner

 17,078   16,168   6,125   6,898   4,460   3,713   15,798   16,168   5,738   6,898   3,616   3,713  

Service fees payable to Managing Owner

 33,996   34,905   21,211   17,260   11,078   10,562   36,650   34,905   15,452   17,260   9,149   10,562  

Trading fees payable to Managing Owner

 143,660   132,984   56,844   55,912   25,446   24,436   124,327   132,984   50,813   55,912   21,626   24,436  

Payables to related parties

 3,506   2,371   —     —     —     —     3,544   2,371    —      —      —      —    

Other liabilities

 —     —     —     —     —     —      —      —      —      —      —      —    
  

 

   

 

   

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities

 2,237,702   2,973,237   726,423   868,666   334,405   262,310   1,060,326   2,973,237   174,952   868,666   121,046   262,310  
  

 

   

 

   

 

   

 

   

 

   

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 

CAPITAL

      

Managing Owner Units - Class 1

 —     —     —     —     —     —      —      —      —      —      —      —    

Managing Owner Units - Class 2

 2,942,625   2,516,879   799,673   723,207   511,807   426,377   2,594,028   2,516,879   688,269   723,207   456,774   426,377  

Managing Owner Units - Class 2a

 —     —     —     —     296,641   247,434    —      —      —      —     264,519   247,434  

Managing Owner Units - Class 3

 37,006   31,632   36,225   32,741   —     —     32,642   31,632   31,198   32,741    —      —    

Managing Owner Units - Class 3a

 —     —     —     —     14,668   12,228    —      —      —      —     13,088   12,228  

Limited Owner Units - Class 1

 20,268,019   19,195,036   12,259,432   11,850,911   —     —     15,940,760   19,195,036   9,077,720   11,850,911    —      —    

Limited Owner Units - Class 1a

 —     —     —     —     6,448,293   5,776,906    —      —      —      —     5,306,714   5,776,906  

Limited Owner Units - Class 2

 33,113,368   32,707,413   8,748,881   8,145,536   935,888   820,104   29,124,659   32,707,413   7,316,511   8,145,536   705,224   820,104  

Limited Owner Units - Class 2a

 —     —     —     —     1,628,091   1,455,117    —      —      —      —     1,284,389   1,455,117  

Limited Owner Units - Class 3

 7,832,414   5,556,649   4,881,844   4,955,459   8,438,115   7,233,099   7,434,967   5,556,649   5,584,171   4,955,459   7,309,331   7,233,099  

Limited Owner Units - Class 3a

 —     —     —     —     773,150   645,654    —      —      —      —     721,363   645,654  
  

 

   

 

   

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Owners’ Capital

 64,193,432   60,007,609   26,726,055   25,707,854   19,046,653   16,616,919   55,127,056   60,007,609   22,697,869   25,707,854   16,061,402   16,616,919  
  

 

   

 

   

 

   

 

   

 

   

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 

Non-Controlling Interests

 11,044,916   12,417,767   —     —     —     —     7,092,337   12,417,767    —      —      —      —    
  

 

   

 

   

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Capital

 75,238,348   72,425,376   26,726,055   25,707,854   19,046,653   16,616,919   62,219,393   72,425,376   22,697,869   25,707,854   16,061,402   16,616,919  
  

 

   

 

   

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total Liabilities and Capital

$77,476,050  $75,398,613  $27,452,478  $26,576,520  $19,381,058  $16,879,229   $63,279,719   $75,398,613   $22,872,821   $26,576,520   $16,182,448   $16,879,229  
  

 

   

 

   

 

   

 

   

 

   

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 

Units Outstanding

      

Class 1

 153,947   169,725   95,494   101,632   N/A   N/A   137,951   169,725   82,514   101,632   N/A   N/A  

Class 1a

 N/A   N/A   N/A   N/A   53,422   57,130   N/A   N/A   N/A   N/A   49,518   57,130  

Class 2

 247,362   282,534   67,189   69,003   8,721   9,013   246,850   282,534   65,443   69,003   7,843   9,013  

Class 2a

 N/A   N/A   N/A   N/A   14,419   15,291   N/A   N/A   N/A   N/A   13,013   15,291  

Class 3

 58,480   48,583   37,335   41,897   50,814   52,285   62,912   48,583   49,497   41,897   49,320   52,285  

Class 3a

 N/A   N/A   N/A   N/A   5,876   5,886   N/A   N/A   N/A   N/A   6,139   5,886  

Net Asset Value per Unit

      

Class 1

$131.66  $113.09  $128.38  $116.61   N/A   N/A   $115.55   $113.09   $110.01   $116.61   N/A   N/A  

Class 1a

 N/A   N/A   N/A   N/A  $120.70  $101.12   N/A   N/A   N/A   N/A   $107.17   $101.12  

Class 2

$145.76  $124.67  $142.12  $128.53  $166.20  $138.30   $128.49   $124.67   $122.32   $128.53   $148.16   $138.30  

Class 2a

 N/A   N/A   N/A   N/A  $133.49  $111.35   N/A   N/A   N/A   N/A   $119.03   $111.35  

Class 3

$134.57  $115.03  $131.73  $119.06  $166.06  $138.34   $118.70   $115.03   $113.45   $119.06   $148.20   $138.34  

Class 3a

 N/A   N/A   N/A   N/A  $134.09  $111.77   N/A   N/A   N/A   N/A   $119.64   $111.77  

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

The Series of Equinox Frontier Funds

Statements of Financial Condition

March 31,June 30, 2015 (Unaudited) and December 31, 2014

 

  Equinox Frontier Balanced Fund   Equinox Frontier Select Fund   Equinox Frontier Balanced Fund   Equinox Frontier Select Fund 
  3/31/2015   12/31/2014   3/31/2015   12/31/2014   6/30/2015   12/31/2014   6/30/2015   12/31/2014 

ASSETS

                

Cash and cash equivalents

  $3,273,398    $5,644,510    $207,627    $878,280    $7,863,320    $5,644,510    $401,143    $878,280  

U.S. Treasury securities, at fair value

   56,735,098     41,625,860     3,598,631     6,476,939     47,350,232     41,625,860     2,415,549     6,476,939  

Receivable from futures commission merchants

   11,166,903     22,689,948     14,715,637     —       9,422,019     22,689,948     12,410,448     —    

Open trade equity, at fair value

   268,978     3,297,549     958,673     —       —       3,297,549     55,956     —    

Options purchased, at fair value

   —       —       —       —       —       —       —       —    

Swap contracts, at fair value

   23,473,632     18,246,954     —       —       18,491,634     18,246,954     —       —    

Investments in unconsolidated trading companies, at fair value

   17,442,848     18,343,927     4,733,469     8,102,141     14,333,796     18,343,927     4,013,269     8,102,141  

Interest receivable

   324,494     639,769     20,582     99,547     811,568     639,769     41,402     99,547  

Prepaid service fees

   —       —       —       —       —       —       —       —    

Other assets

   11     250,013     —       —       10     250,013     —       —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Assets

$112,685,362  $110,738,530  $24,234,619  $15,556,907    $98,272,579    $110,738,530    $19,337,767    $15,556,907  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

LIABILITIES & CAPITAL

        

LIABILITIES

        

Open trade deficit, at fair value

$—    $—    $—    $—      $778,963    $—      $—      $—    

Options written, at fair value

 —     —     —     —       —       —       —       —    

Pending owner additions

 20,874   18,002   1,872   1,485     17,442     18,002     1,411     1,485  

Owner redemptions payable

 21,251   22,793   15,308   15,432     9,088     22,793     —       15,432  

Incentive fees payable to Managing Owner

 1,486,957   1,793,318   158,971   185,791     9,517     1,793,318     —       185,791  

Management fees payable to Managing Owner

 93,825   101,208   28,962   27,835     91,646     101,208     26,065     27,835  

Interest payable to Managing Owner

 111,110   84,976   7,379   13,263     101,040     84,976     6,451     13,263  

Service fees payable to Managing Owner

 176,661   167,151   35,716   32,520     156,201     167,151     29,617     32,520  

Trading fees payable to Managing Owner

 71,244   66,037   10,852   10,119     65,193     66,037     9,285     10,119  

Payables to related parties

 17,396   14,934   1,081   984     19,434     14,934     1,195     984  

Other liabilities

 —     —     —     —       —       —       —       —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Liabilities

 1,999,318   2,268,419   260,141   287,429     1,248,524     2,268,419     74,024     287,429  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

CAPITAL

        

Managing Owner Units - Class 2

 1,624,326   1,425,355   10,125   9,052     1,449,802     1,425,355     8,389     9,052  

Managing Owner Units - Class 2a

 216,243   189,344   —     —       193,476     189,344     —       —    

Limited Owner Units - Class 1

 78,309,904   72,098,275   14,900,908   13,663,563     68,562,471     72,098,275     12,000,655     13,663,563  

Limited Owner Units - Class 1AP

 842,256   748,275   54,412   47,785     724,876     748,275     45,084     47,785  

Limited Owner Units - Class 2

 25,006,886   22,125,342   1,651,866   1,549,078     22,025,164     22,125,342     1,298,229     1,549,078  

Limited Owner Units - Class 2a

 402,173   410,943   —     —       359,830     410,943     —       —    

Limited Owner Units - Class 3a

 2,837,703   2,528,303   —     —       2,534,161     2,528,303     —       —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Owners’ Capital

 109,239,491   99,525,837   16,617,311   15,269,478     95,849,780     99,525,837     13,352,357     15,269,478  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

Non-Controlling Interests

 1,446,553   8,944,274   7,357,167   —       1,174,275     8,944,274     5,911,386     —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Capital

 110,686,044   108,470,111   23,974,478   15,269,478     97,024,055     108,470,111     19,263,743     15,269,478  
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Liabilities and Capital

$112,685,362  $110,738,530  $24,234,619  $15,556,907    $98,272,579    $110,738,530    $19,337,767    $15,556,907  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

Units Outstanding

        

Class 1

 526,293   548,117   140,357   142,913     520,129     548,117     137,450     142,913  

Class 1AP

 5,549   5,618   503   494     5,351     5,618     503     494  

Class 2

 130,433   131,447   11,564   12,128     128,815     131,447     10,973     12,128  

Class 2a

 3,539   3,923   N/A   N/A     3,539     3,923     N/A     N/A  

Class 3a

 16,291   16,577   N/A   N/A     16,261     16,577     N/A     N/A  

Net Asset Value per Unit

        

Class 1

$148.80  $131.54  $106.16  $95.61    $131.82    $131.54    $87.31    $95.61  

Class 1AP

$151.80  $133.20  $108.31  $96.82    $135.49    $133.20    $89.74    $96.82  

Class 2

$204.17  $179.16  $143.73  $128.48    $182.24    $179.16    $119.09    $128.48  

Class 2a

$174.76  $153.02   N/A   N/A    $156.36    $153.02     N/A     N/A  

Class 3a

$174.19  $152.52   N/A   N/A    $155.85    $152.52     N/A     N/A  

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

The Series of Equinox Frontier Funds

Statements of Financial Condition

March 31,June 30, 2015 (Unaudited) and December 31, 2014

 

  Equinox Frontier Winton Fund   Equinox Frontier Heritage Fund   Equinox Frontier Winton Fund   Equinox Frontier Heritage Fund 
  3/31/2015   12/31/2014   3/31/2015   12/31/2014   6/30/2015   12/31/2014   6/30/2015   12/31/2014 

ASSETS

                

Cash and cash equivalents

  $1,892,129    $4,012,974    $427,180    $921,598    $4,254,223    $4,012,974    $947,643    $921,598  

U.S. Treasury securities, at fair value

   32,794,705     29,593,974     7,403,953     6,796,392     25,617,478     29,593,974     5,706,384     6,796,392  

Investments in unconsolidated trading companies, at fair value

   8,972,672     7,479,658     1,723,907     1,543,386     6,749,039     7,479,658     1,398,043     1,543,386  

Swap contracts, at fair value

   —       —       9,600,330     7,540,465     —       —       7,809,251     7,540,465  

Interest receivable

   187,568     454,845     42,346     104,457     439,076     454,845     97,804     104,457  

Other assets

   —       —       —       —       —       —       —       —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Assets

$43,847,074  $41,541,451  $19,197,716  $16,906,298    $37,059,816    $41,541,451    $15,959,125    $16,906,298  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

LIABILITIES & CAPITAL

        

LIABILITIES

        

Pending owner additions

$16,314  $15,503  $3,941  $3,381    $14,095    $15,503    $3,334    $3,381  

Owner redemptions payable

 —     21,902   2,673   21,408     —       21,902     —       21,408  

Incentive fees payable to Managing Owner

 715,409   1,178,364   132,678   239,327     —       1,178,364     —       239,327  

Management fees payable to Managing Owner

 115,137   114,823   27,355   27,944     102,252     114,823     23,699     27,944  

Interest payable to Managing Owner

 66,427   63,722   14,885   14,543     61,319     63,722     13,738     14,543  

Service fees payable to Managing Owner

 53,254   52,753   23,142   20,964     46,288     52,753     19,744     20,964  

Trading fees payable to Managing Owner

 27,597   26,690   9,353   8,676     24,963     26,690     8,305     8,676  

Payables to related parties

 20,681   16,461   3,464   3,178     24,445     16,461     3,773     3,178  

Other liabilities

 —     —     —     —       —       —       —       —    
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Liabilities

 1,014,819   1,490,218   217,491   339,421     273,362     1,490,218     72,593     339,421  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

CAPITAL

        

Managing Owner Units - Class 2

 51,380   46,764   86,468   75,621     44,739     46,764     74,291     75,621  

Limited Owner Units - Class 1

 28,350,789   26,870,878   10,838,892   9,761,819     24,319,904     26,870,878     9,141,028     9,761,819  

Limited Owner Units - Class 1AP

 41,798   38,042   68,083   58,378     36,395     38,042     58,494     58,378  

Limited Owner Units - Class 2

 14,388,288   13,095,549   3,481,025   3,131,561     12,385,416     13,095,549     2,973,068     3,131,561  
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Owners’ Capital

 42,832,255   40,051,233   14,474,468   13,027,379     36,786,454     40,051,233     12,246,881     13,027,379  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

Non-Controlling Interests

 —     —     4,505,757   3,539,498     —       —       3,639,651     3,539,498  
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Capital

 42,832,255   40,051,233   18,980,225   16,566,877     36,786,454     40,051,233     15,886,532     16,566,877  
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total Liabilities and Capital

$43,847,074  $41,541,451  $19,197,716  $16,906,298    $37,059,816    $41,541,451    $15,959,125    $16,906,298  
  

 

   

 

   

 

   

 

 
  

 

   

 

   

 

   

 

 

Units Outstanding

        

Class 1

 147,741   152,717   73,298   74,927     146,641     152,717     72,489     74,927  

Class 1AP

 214   214   452   443     214     214     452     443  

Class 2

 58,093   58,093   17,670   18,164     57,432     58,093     17,568     18,164  

Net Asset Value per Unit

        

Class 1

$191.90  $175.95  $147.87  $130.28    $165.85    $175.95    $126.10    $130.28  

Class 1AP

$195.77  $178.18  $150.86  $131.93    $170.46    $178.18    $129.61    $131.93  

Class 2

$248.56  $226.23  $201.89  $176.56    $216.43    $226.23    $173.45    $176.56  

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

The Series of Equinox Frontier Funds

CondensedConsolidated Schedule of Investments (Unaudited)

March 31,June 30, 2015

 

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

Commodity Fund
 

Description

 Value  % of Total
Capital
(Net Asset
Value)
  Value  % of Total
Capital
(Net Asset
Value)
  Value  % of Total
Capital
(Net Asset
Value)
 

 

LONG FUTURES CONTRACTS*

      
 

Various base metals futures contracts (Europe)

 $(36,706  -0.05 $—      0.00 $—      0.00
 

Various base metals futures contracts (U.S.)

  —      0.00  —      0.00  —      0.00
 

Various currency futures contracts (U.S.)

  215,709    0.29  —      0.00  —      0.00
 

Various energy futures contracts (Europe)

  —      0.00  —      0.00  —      0.00
 

Various energy futures contracts (Far East)

  —      0.00  —      0.00  —      0.00
 

Various energy futures contracts (U.S.)

  (5,591  -0.01  —      0.00  —      0.00
 

Various interest rates futures contracts (Canada)

  16,254    0.02  —      0.00  —      0.00
 

Various interest rates futures contracts (Europe)

  469,384    0.62  —      0.00  —      0.00
 

Various interest rates futures contracts (Far East)

  (67,926  -0.09  —      0.00  —      0.00
 

Various interest rates futures contracts (Oceanic)

  436,284    0.58  —      0.00  —      0.00
 

Various interest rates futures contracts (U.S.)

  429,516    0.57  —      0.00  —      0.00
 

Various soft futures contracts (Canada)

  —      0.00  —      0.00  —      0.00
 

Various soft futures contracts (Europe)

  (35,358  -0.05  —      0.00  —      0.00
 

Various soft futures contracts (Far East)

  (9,269  -0.01  —      0.00  —      0.00
 

Various soft futures contracts (U.S.)

  14,570    0.02  —      0.00  —      0.00
 

Various stock index futures contracts (Africa)

  —      0.00  —      0.00  —      0.00
 

Various stock index futures contracts (Canada)

  (5,631  -0.01  —      0.00  —      0.00
 

Various stock index futures contracts (Europe)

  (26,228  -0.03  —      0.00  —      0.00
 

Various stock index futures contracts (Far East)

  80,700    0.11  —      0.00  —      0.00
 

Various stock index futures contracts (Mexico)

  —      0.00  —      0.00  —      0.00
 

Various stock index futures contracts (Oceanic)

  7,777    0.01  —      0.00  —      0.00
 

Various stock index futures contracts (U.S.)

  570,892    0.76  —      0.00  —      0.00
 

Various precious metal futures contracts (U.S.)

  (3,670  0.00  —      0.00  —      0.00
 

Various precious metal futures contracts (Far East)

  —      0.00  —      0.00  —      0.00
 

Various soft futures contracts (Africa)

  —      0.00  —      0.00  —      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

$2,050,707   2.73$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

SHORT FUTURES CONTRACTS*

Various base metals futures contracts (Europe)

$29,419   0.04$—     0.00$—     0.00

Various base metals futures contracts (U.S.)

 (6,768 -0.01 —     0.00 —     0.00

Various currency futures contracts (Far East)

 —     0.00 —     0.00 —     0.00

Various currency futures contracts (U.S.)

 142,403   0.19 —     0.00 —     0.00

Various energy futures contracts (Europe)

 —     0.00 —     0.00 —     0.00

Various energy futures contracts (Far East)

 —     0.00 —     0.00 —     0.00

Various energy futures contracts (U.S.)

 61,926   0.08 —     0.00 —     0.00

Various interest rates futures contracts (Canada)

 —     0.00 —     0.00 —     0.00

Various interest rates futures contracts (Europe)

 (46,283 -0.06 —     0.00 —     0.00

Various interest rates futures contracts (Far East)

 —     0.00 —     0.00 —     0.00

Various interest rates futures contracts (U.S.)

 —     0.00 —     0.00 —     0.00

Various soft futures contracts (Europe)

 89,850   0.12 —     0.00 —     0.00

Various soft futures contracts (Oceanic)

 —     0.00 —     0.00 —     0.00

Various soft futures contracts (U.S.)

 319,904   0.43 —     0.00 —     0.00

Various stock index futures contracts (Europe)

 2,240   0.00 —     0.00 —     0.00

Various stock index futures contracts (Far East)

 21,302   0.03 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 (75,339 -0.10 —     0.00 —     0.00

Various precious metal futures contracts (U.S.)

 76,710   0.10 —     0.00 —     0.00

Various precious metal futures contracts (Far East)

 —     0.00 —     0.00 —     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

$615,364   0.82$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

CURRENCY FORWARDS*

Various currency forwards contracts (NA)

$(96,565 -0.13$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

$(96,565 -0.13$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

$2,569,506   3.42$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

OPTIONS PURCHASED

Various energy futures contracts (U.S.)

$—     0.00$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 325,003   0.43 —     0.00 —     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

$325,003   0.43$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

OPTIONS WRITTEN*

Various energy futures contracts (U.S.)

$—     0.00$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 (107,167 -0.14 —     0.00 —     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

$(107,167 -0.14$—     0.00$—     0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

SWAPS (1)

Frontier XXXV Diversified Select Swap (U.S.)

$9,559,124   12.71 —     0.00$—     0.00

Frontier XXXVII L/S Select Swap (U.S.)

 —     0.00 —     0.00 5,301,972   27.84
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

$9,559,124   12.71$—     0.00$5,301,972   27.84
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

U.S. TREASURY SECURITIES (2)

FACE VALUE

    Value     Value     Value    
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $26,640,892    35.41 $11,280,838    42.21 $7,560,116    39.69
$85,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $113,142,577)

  6,591,039    8.76  2,790,914    10.44  1,870,396    9.82
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

  3,469,995    4.61  1,469,337    5.50  984,711    5.17
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
$36,701,926   48.78$15,541,089   58.15$10,415,223   54.68
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

 Face Value     Face Value     Face Value    
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $19,116,686    $8,094,782    $5,424,907   
 

US Treasury Note 6.000% due 02/15/2026 (2)

  4,498,043     1,904,655     1,276,449   
 

US Treasury Note 6.875% due 08/15/2025 (2)

  3,373,533     1,428,491     957,337   
  

 

 

   

 

 

   

 

 

  
$26,988,262  $11,427,928  $7,658,693  
  

 

 

   

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

 Cost     Cost     Cost    
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $25,446,011    $10,774,877    $7,221,035   
 

US Treasury Note 6.000% due 02/15/2026 (2)

  6,300,072     2,667,707     1,787,826   
 

US Treasury Note 6.875% due 08/15/2025 (2)

  3,366,042     1,425,319     955,211   
  

 

 

   

 

 

   

 

 

  
$35,112,125  $14,867,903  $9,964,072  
  

 

 

   

 

 

   

 

 

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

Description

 Fair
Value
  % of Total
Capital (Net
Asset Value)
  Fair
Value
  % of Total
Capital (Net
Asset Value)
  Fair
Value
  % of Total
Capital (Net
Asset Value)
 

LONG FUTURES CONTRACTS

      
 

Various base metals futures contracts (Europe)

 $(291,308)  -0.47 $—      0.00% $—      0.00
 

Various currency futures contracts (U.S.)

  (50,148)  -0.08  —      0.00%  —      0.00
 

Various energy futures contracts (U.S.)

  15,485   0.02  —      0.00%  —      0.00
 

Various interest rates futures contracts (Canada)

  64,131   0.10  —      0.00%  —      0.00
 

Various interest rates futures contracts (Europe)

  4,429   0.01  —      0.00%  —      0.00
 

Various interest rates futures contracts (Far East)

  2,824   0.00  —      0.00%  —      0.00
 

Various interest rates futures contracts (Oceanic)

  4,440   0.01  —      0.00%  —      0.00
 

Various interest rates futures contracts (U.S.)

  (37,598)  -0.06  —      0.00%  —      0.00
 

Various soft futures contracts (Europe)

  69,416   0.11  —      0.00%  —      0.00
 

Various soft futures contracts (Far East)

  (37,878)  -0.06  —      0.00%  —      0.00
 

Various soft futures contracts (U.S.)

  171,928   0.28  —      0.00%  —      0.00
 

Various stock index futures contracts (Europe)

  (96,010)  -0.15  —      0.00%  —      0.00
 

Various stock index futures contracts (Far East)

  (43,706)  -0.07  —      0.00%  —      0.00
 

Various stock index futures contracts (U.S.)

  (369,243)  -0.59  —      0.00%  —      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Long Futures Contracts

 $(593,238)  -0.95 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS

      
 

Various base metals futures contracts (Europe)

 $210,919   0.34 $—      0.00% $—      0.00
 

Various base metals futures contracts (U.S.)

  (1,607)  0.00  —      0.00%  —      0.00
 

Various currency futures contracts (U.S.)

  49,895   0.08  —      0.00%  —      0.00
 

Various energy futures contracts (U.S.)

  (52,105)  -0.08  —      0.00%  —      0.00
 

Various interest rates futures contracts (Canada)

  (440)  0.00  —      0.00%  —      0.00
 

Various interest rates futures contracts (Europe)

  (72,587)  -0.12  —      0.00%  —      0.00
 

Various interest rates futures contracts (Oceanic)

  38   0.00  —      0.00%  —      0.00
 

Various interest rates futures contracts (U.S.)

  (19,502)  -0.03  —      0.00%  —      0.00
 

Various precious metal futures contracts (U.S.)

  147,760   0.24  —      0.00%  —      0.00
 

Various soft futures contracts (Europe)

  (37,500)  -0.06  —      0.00%  —      0.00
 

Various soft futures contracts (U.S.)

  (307,586)  -0.49  —      0.00%  —      0.00
 

Various stock index futures contracts (Europe)

  38,769   0.06  —      0.00%  —      0.00
 

Various stock index futures contracts (Far East)

  (64,926)  -0.10  —      0.00%  —      0.00
 

Various stock index futures contracts (U.S.)

  233,381   0.38  —      0.00%  —      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Short Futures Contracts

 $124,509   0.22 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS

      
 

Various currency forwards contracts (NA)

 $(102,822)  -0.17 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Currency Forwards

 $(102,822)  -0.17 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Open Trade Equity (Deficit)

 $(571,551)  -0.90 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED

      
 

Various stock index futures contracts (U.S.)

 $374,470   0.60 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Options Purchased

 $374,470   0.60 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN

      
 

Various stock index futures contracts (U.S.)

 $(219,660)  -0.35 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Options Written

 $(219,660)  -0.35 $—      0.00% $—      0.00
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1) 

      
 

Frontier XXXV Diversified select swap (U.S.)

 $7,615,169   12.24  —      0.00% $—      0.00
 

Frontier XXXVII L/S select swap (U.S.)

  —      0.00  —      0.00%  4,304,209    26.80
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
 

Total Swaps

 $7,615,169   12.24 $—      0.00% $4,304,209    26.80
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

U.S. TREASURY SECURITIES (2) 

      

FACE VALUE

 Fair Value     Fair Value     Fair Value    

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764)

 $22,693,752   36.47 $9,300,180   40.97% $5,264,015    32.77

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

  6,377,488   10.25  2,613,574   11.51%  1,479,315    9.21
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
  $29,071,240   46.72 $11,913,754   52.48% $6,743,330    41.98
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value   Face Value   Face Value 
 

US Treasury Note 6.000% due 02/15/2026 (2)

  $16,925,769   $6,936,389   $3,926,081  
 

US Treasury Note 6.875% due 08/15/2025 (2)

   4,513,538    1,849,704    1,046,955  
   

 

 

   

 

 

   

 

 

 
   $21,439,307   $8,786,093   $4,973,036  
   

 

 

   

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Cost   Cost   Cost 
 

US Treasury Note 6.000% due 02/15/2026 (2)

  $25,533,667   $10,464,012   $5,922,759  
 

US Treasury Note 6.875% due 08/15/2025 (2)

   6,321,774    2,590,741    1,466,391  
   

 

 

   

 

 

   

 

 

 
   $31,855,441   $13,054,753   $7,389,150  
   

 

 

   

 

 

   

 

 

 

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

CondensedConsolidated Schedule of Investments (Unaudited)

March 31,June 30, 2015

 

 Equinox Frontier
Balanced Fund
 Equinox Frontier
Select Fund
    Equinox Frontier
Balanced Fund
 Equinox Frontier
Select Fund
 

Description

Description

 Value % of Total
Capital (Net
Asset Value)
 Value % of Total
Capital (Net
Asset Value)
 

Description

  Fair
Value
 % of Total Capital
(Net Asset Value)
 Fair
Value
 % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS

LONG FUTURES CONTRACTS

     
 

Various base metals futures contracts (Europe)

  $(527,678) -0.54 $(945,175) -4.91
 

Various currency futures contracts (Singapore)

   —     0.00 (364) 0.00%
 

Various currency futures contracts (U.S.)

   (46,926) -0.05 (31,965) -0.17
 

Various energy futures contracts (Europe)

   —     0.00 7,576  0.04%
 

Various energy futures contracts (Far East)

   (2,367) 0.00  —     0.00%
 

Various energy futures contracts (U.S.)

   (153,601) -0.16 10,841  0.06%
 

Various interest rates futures contracts (Canada)

   44,461  0.05  —     0.00%
 

Various interest rates futures contracts (Europe)

   12,519  0.01 2,616  0.01%
 

Various interest rates futures contracts (Far East)

   21,602  0.02 4,188  0.02%
 

Various interest rates futures contracts (Oceanic)

   636  0.00 (3,153) -0.02
 

Various interest rates futures contracts (U.S.)

   121,458  0.13 45,209  0.23%
 

Various precious metal futures contracts (Far East)

   (3,224) 0.00 (906) 0.00%
 

Various precious metal futures contracts (U.S.)

   (35,955) -0.04  —     0.00%
 

Various soft futures contract (Europe)

   (970) 0.00  —     0.00%
 

Various soft futures contracts (Africa)

   —     0.00 (454) 0.00%
 

Various soft futures contracts (Canada)

   12,047  0.01 1,178  0.01%
 

Various soft futures contracts (Europe)

   28,604  0.03 29,280  0.15%
 

Various soft futures contracts (Oceanic)

   —     0.00 (431) 0.00%
 

Various soft futures contracts (U.S.)

   479,697  0.49 76,239  0.40%
 

Various stock index futures contracts (Africa)

   —     0.00 (1,893) -0.01
 

Various stock index futures contracts (Canada)

   (16,733) -0.02  —     0.00%
 

Various stock index futures contracts (Europe)

   (169,832) -0.18 (8,607) -0.04
 

Various stock index futures contracts (Far East)

   (162,496) -0.17 (25,716) -0.13
 

Various stock index futures contracts (Mexico)

   184  0.00 118  0.00%
 

Various stock index futures contracts (Oceanic)

   (6,474) -0.01  —     0.00%
 

Various stock index futures contracts (U.S.)

   (413,569) -0.43 (113,462) -0.59
   

 

  

 

  

 

  

 

 
 

Total Long Futures Contracts

  $(818,617) -0.86 $(954,881) -4.95
   

 

  

 

  

 

  

 

 

SHORT FUTURES CONTRACTS

SHORT FUTURES CONTRACTS

     

LONG FUTURES CONTRACTS*

     

Various base metals futures contracts (Europe)

  $472,034  0.49 $1,098,409  5.70%
 

Various base metals futures contracts (Europe)

 $(93,540 -0.08 $(1,152,110 -4.81 

Various base metals futures contracts (U.S.)

   7,838  0.01 20,730  0.11%
 

Various base metals futures contracts (U.S.)

 (6,350 -0.01  —     0.00 

Various currency futures contracts (U.S.)

   97,275  0.10 (92,798) -0.48
 

Various currency futures contracts (U.S.)

 (26,218 -0.02 (4,153 -0.02 

Various energy futures contracts (Europe)

   —     0.00 (149) 0.00%
 

Various energy futures contracts (Europe)

  —     0.00 4,391   0.02 

Various energy futures contracts (Far East)

   4,164  0.00 (1,740) -0.01
 

Various energy futures contracts (Far East)

 (405 0.00  —     0.00 

Various energy futures contracts (U.S.)

   38,884  0.04 (43,047) -0.22
 

Various energy futures contracts (U.S.)

 (171,535 -0.15 836   0.00 

Various interest rates futures contracts (Canada)

   (1,393) 0.00 (5,002) -0.03
 

Various interest rates futures contracts (Canada)

 (33,025 -0.03 7,197   0.03 

Various interest rates futures contracts (Europe)

   8,798  0.01 11,917  0.06%
 

Various interest rates futures contracts (Europe)

 389,098   0.35 76,221   0.32 

Various interest rates futures contracts (Far East)

   214  0.00  —     0.00%
 

Various interest rates futures contracts (Far East)

 (84,086 -0.08 (15,899 -0.07 

Various interest rates futures contracts (Oceanic)

   13,172  0.01 (1,504) -0.01
 

Various interest rates futures contracts (Oceanic)

 191,292   0.17 27,788   0.12 

Various interest rates futures contracts (U.S.)

   (44,189) -0.05 54,062  0.28%
 

Various interest rates futures contracts (U.S.)

 578,657   0.52 138,462   0.58 

Various precious metal futures contracts (Far East)

   4,829  0.00  —     0.00%
 

Various soft futures contracts (Canada)

 (758 0.00 (342 0.00 

Various precious metal futures contracts (U.S.)

   19,350  0.02 180,010  0.93%
 

Various soft futures contracts (Europe)

 (1,332 0.00 (3,730 -0.02 

Various soft futures contract (Europe)

   —     0.00 (800) 0.00%
 

Various soft futures contracts (Far East)

 (4,687 0.00  —     0.00 

Various soft futures contracts (Europe)

   (33,452) -0.03 (5,913) -0.03
 

Various soft futures contracts (U.S.)

 (361,104 -0.33 (33,468 -0.14 

Various soft futures contracts (Far East)

   2,939  0.00  —     0.00%
 

Various stock index futures contracts (Africa)

 (153 0.00 (940 0.00 

Various soft futures contracts (U.S.)

   (385,677) -0.40 (275,325) -1.43
 

Various stock index futures contracts (Canada)

 (1,118 0.00 3,120   0.01 

Various stock index futures contracts (Africa)

   389  0.00  —     0.00%
 

Various stock index futures contracts (Europe)

 32,706   0.03 62,255   0.26 

Various stock index futures contracts (Canada)

   5,688  0.01  —     0.00%
 

Various stock index futures contracts (Far East)

 81,531   0.07 59,875   0.25 

Various stock index futures contracts (Europe)

   871  0.00 88  0.00%
 

Various stock index futures contracts (Mexico)

 (272 0.00  —     0.00 

Various stock index futures contracts (Far East)

   3,125  0.00 8,561  0.04%
 

Various stock index futures contracts (Oceanic)

 (3,404 0.00 3,081   0.01 

Various stock index futures contracts (Oceanic)

   26,744  0.03 6,243  0.03%
 

Various stock index futures contracts (U.S.)

 (297,408 -0.27 (3,521 -0.01 

Various stock index futures contracts (U.S.)

   25,654  0.03 31,562  0.16%
 

Various precious metal futures contracts (U.S.)

 21,130   0.02  —     0.00   

 

  

 

  

 

  

 

 
 

Various precious metal futures contracts (Far East)

 (649 0.00  —     0.00 

Total Short Futures Contracts

  $267,257  0.27 $985,304  5.10%
 

Various soft futures contracts (Africa)

  —     0.00 (595 0.00   

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

  

CURRENCY FORWARDS

     

Total Long Futures Contracts

$208,370   0.19$(831,532 -3.47 

Various currency forwards contracts (NA)

  $(227,603) -0.23 $25,533  0.13%
  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

SHORT FUTURES CONTRACTS*

 

Total Currency Forwards

   $(227,603)  -0.23%   $25,533  0.13% 

Various base metals futures contracts (Europe)

$94,720   0.09$1,401,538   5.85   

 

  

 

  

 

  

 

 

Various base metals futures contracts (U.S.)

 (2,738 0.00 (5,813 -0.02 

Total Open Trade Equity (Deficit)

   $(778,963)  -0.82%   $55,956  0.28% 

Various currency futures contracts (Far East)

 —     0.00 7,405   0.03   

 

  

 

  

 

  

 

 

Various currency futures contracts (U.S.)

 (63,676 -0.06 (1,423 -0.01 

SWAPS (1) 

     

Various energy futures contracts (Europe)

 —     0.00 (717 0.00 

Frontier XXXIV Balanced select swap (U.S.)

   $18,491,634  19.06%    $—     0.00% 

Various energy futures contracts (Far East)

 (3,026 0.00 500   0.00   

 

  

 

  

 

  

 

 

Various energy futures contracts (U.S.)

 146,808   0.13 52,411   0.22 

Total Swaps

   $18,491,634  19.06%    $—     0.00% 

Various interest rates futures contracts (Canada)

 —     0.00 —     0.00   

 

  

 

  

 

  

 

 

Various interest rates futures contracts (Europe)

 (142,979 -0.13 (1,814 -0.01

U.S. TREASURY SECURITIES (2)

U.S. TREASURY SECURITIES (2)

          

FACE VALUE

FACE VALUE

  Fair Value   Fair Value   

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764)

  $36,962,801  38.10 $1,885,640  9.79%

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

   10,387,431  10.71 529,909  2.75%

Various interest rates futures contracts (Far East)

 645   0.00 —     0.00   

 

  

 

  

 

  

 

 

Various interest rates futures contracts (U.S.)

 (38,619 -0.03 16,340   0.07   $47,350,232  48.81 $2,415,549  12.54%

Various soft futures contracts (Europe)

 45,910   0.04 15,828   0.07   

 

  

 

  

 

  

 

 

Various soft futures contracts (Oceanic)

 —     0.00 (511 0.00

Various soft futures contracts (U.S.)

 206,527   0.19 363,049   1.51

Various stock index futures contracts (Europe)

 —     0.00 (1,016 0.00

Various stock index futures contracts (Far East)

 4,284   0.00 2,448   0.01

Various stock index futures contracts (U.S.)

 64,336   0.06 (26,293 -0.11

Various precious metal futures contracts (U.S.)

 (2,985 0.00 (28,740 -0.12

Various precious metal futures contracts (Far East)

 4,637   0.00 —     0.00
  

 

  

 

  

 

  

 

 

Total Short Futures Contracts

$313,844   0.29$1,793,192   7.49
  

 

  

 

  

 

  

 

 

CURRENCY FORWARDS*

Various currency forwards contracts (NA)

$(253,236 -0.23$(2,987 -0.01
  

 

  

 

  

 

  

 

 

Total Currency Forwards

$(253,236 -0.23$(2,987 -0.01
  

 

  

 

  

 

  

 

 

Total Open Trade Equity (Deficit)

$268,978   0.25$958,673   4.01
  

 

  

 

  

 

  

 

 

OPTIONS PURCHASED*

Various energy futures contracts (U.S.)

$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 —     0.00 —     0.00
  

 

  

 

  

 

  

 

 

Total Options Purchased

$—     0.00$—     0.00
  

 

  

 

  

 

  

 

 

OPTIONS WRITTEN*

Various energy futures contracts (U.S.)

$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 —     0.00 —     0.00
  

 

  

 

  

 

  

 

 

Total Options Written

$—     0.00$—     0.00
  

 

  

 

  

 

  

 

 

SWAPS (1)

Frontier XXXIV Balanced Select Swap (U.S.)

$23,473,632   21.21$—     0.00
  

 

  

 

  

 

  

 

 

Total Swaps

$23,473,632   21.21$—     0.00
  

 

  

 

  

 

  

 

 

U.S. TREASURY SECURITIES (2)

FACE VALUE

 Value   Value   
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $41,182,408   37.21 $2,612,146   10.90

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

  Face Value   Face Value   
$85,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $113,142,577)

 10,188,655   9.21 646,253   2.70 

US Treasury Note 6.000% due 02/15/2026 (2)

   $27,568,106   $1,406,374   
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

 5,364,035   4.85 340,232   1.42 

US Treasury Note 6.875% due 08/15/2025 (2)

   7,351,495   375,033   
  

 

  

 

  

 

  

 

    

 

   

 

  
$56,735,098   51.27$3,598,631   15.02   $34,919,601   $1,781,407   
  

 

  

 

  

 

  

 

    

 

   

 

  

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

 Face Value   Face Value   

Additional Disclosure on U.S. Treasury Securities

  Cost   Cost   
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $29,551,228    $1,874,395    

US Treasury Note 6.000% due 02/15/2026 (2)

   $41,588,353   $2,121,610   
 

US Treasury Note 6.000% due 02/15/2026 (2)

 6,953,230    441,034    

US Treasury Note 6.875% due 08/15/2025 (2)

   10,296,688   525,281   
 

US Treasury Note 6.875% due 08/15/2025 (2)

 5,214,923    330,776      

 

   

 

  
  

 

   

 

     $51,885,041   $2,646,891   
$41,719,381  $2,646,205     

 

   

 

  
  

 

   

 

  

Additional Disclosure on U.S. Treasury Securities

 Cost   Cost   
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $39,335,317    $2,494,986   
 

US Treasury Note 6.000% due 02/15/2026 (2)

 9,738,868    617,723   
 

US Treasury Note 6.875% due 08/15/2025 (2)

 5,203,344    330,041   
  

 

   

 

  
$54,277,529  $3,442,750  
  

 

   

 

  

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

CondensedConsolidated Schedule of Investments (Unaudited)

March 31,June 30, 2015

 

     Equinox Frontier
Balanced Fund
  Equinox Frontier
Select Fund
 

Description

  Value  % of Total
Capital (Net
Asset Value)
  Value  % of Total
Capital (Net
Asset Value)
 

LONG FUTURES CONTRACTS*

     
 

Various base metals futures contracts (Europe)

  $(93,540  -0.08 $(1,152,110  -4.81
 

Various base metals futures contracts (U.S.)

   (6,350  -0.01  —      0.00
 

Various currency futures contracts (U.S.)

   (26,218  -0.02  (4,153  -0.02
 

Various energy futures contracts (Europe)

   —      0.00  4,391    0.02
 

Various energy futures contracts (Far East)

   (405  0.00  —      0.00
 

Various energy futures contracts (U.S.)

   (171,535  -0.15  836    0.00
 

Various interest rates futures contracts (Canada)

   (33,025  -0.03  7,197    0.03
 

Various interest rates futures contracts (Europe)

   389,098    0.35  76,221    0.32
 

Various interest rates futures contracts (Far East)

   (84,086  -0.08  (15,899  -0.07
 

Various interest rates futures contracts (Oceanic)

   191,292    0.17  27,788    0.12
 

Various interest rates futures contracts (U.S.)

   578,657    0.52  138,462    0.58
 

Various soft futures contracts (Canada)

   (758  0.00  (342  0.00
 

Various soft futures contracts (Europe)

   (1,332  0.00  (3,730  -0.02
 

Various soft futures contracts (Far East)

   (4,687  0.00  —      0.00
 

Various soft futures contracts (U.S.)

   (361,104  -0.33  (33,468  -0.14
 

Various stock index futures contracts (Africa)

   (153  0.00  (940  0.00
 

Various stock index futures contracts (Canada)

   (1,118  0.00  3,120    0.01
 

Various stock index futures contracts (Europe)

   32,706    0.03  62,255    0.26
 

Various stock index futures contracts (Far East)

   81,531    0.07  59,875    0.25
 

Various stock index futures contracts (Mexico)

   (272  0.00  —      0.00
 

Various stock index futures contracts (Oceanic)

   (3,404  0.00  3,081    0.01
 

Various stock index futures contracts (U.S.)

   (297,408  -0.27  (3,521  -0.01
 

Various precious metal futures contracts (U.S.)

   21,130    0.02  —      0.00
 

Various precious metal futures contracts (Far East)

   (649  0.00  —      0.00
 

Various soft futures contracts (Africa)

   —      0.00  (595  0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

$208,370   0.19$(831,532 -3.47
   

 

 

  

 

 

  

 

 

  

 

 

 

SHORT FUTURES CONTRACTS*

Various base metals futures contracts (Europe)

$94,720   0.09$1,401,538   5.85

Various base metals futures contracts (U.S.)

 (2,738 0.00 (5,813 -0.02

Various currency futures contracts (Far East)

 —     0.00 7,405   0.03

Various currency futures contracts (U.S.)

 (63,676 -0.06 (1,423 -0.01

Various energy futures contracts (Europe)

 —     0.00 (717 0.00

Various energy futures contracts (Far East)

 (3,026 0.00 500   0.00

Various energy futures contracts (U.S.)

 146,808   0.13 52,411   0.22

Various interest rates futures contracts (Canada)

 —     0.00 —     0.00

Various interest rates futures contracts (Europe)

 (142,979 -0.13 (1,814 -0.01

Various interest rates futures contracts (Far East)

 645   0.00 —     0.00

Various interest rates futures contracts (U.S.)

 (38,619 -0.03 16,340   0.07

Various soft futures contracts (Europe)

 45,910   0.04 15,828   0.07

Various soft futures contracts (Oceanic)

 —     0.00 (511 0.00

Various soft futures contracts (U.S.)

 206,527   0.19 363,049   1.51

Various stock index futures contracts (Europe)

 —     0.00 (1,016 0.00

Various stock index futures contracts (Far East)

 4,284   0.00 2,448   0.01

Various stock index futures contracts (U.S.)

 64,336   0.06 (26,293 -0.11

Various precious metal futures contracts (U.S.)

 (2,985 0.00 (28,740 -0.12

Various precious metal futures contracts (Far East)

 4,637   0.00 —     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

$313,844   0.29$1,793,192   7.49
   

 

 

  

 

 

  

 

 

  

 

 

 

CURRENCY FORWARDS*

Various currency forwards contracts (NA)

$(253,236 -0.23$(2,987 -0.01
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

$(253,236 -0.23$(2,987 -0.01
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

$268,978   0.25$958,673   4.01
   

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS PURCHASED*

Various energy futures contracts (U.S.)

$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 —     0.00 —     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Purchased

$—     0.00$—     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

OPTIONS WRITTEN*

Various energy futures contracts (U.S.)

$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 —     0.00 —     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Options Written

$—     0.00$—     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

SWAPS (1)

Frontier XXXIV Balanced Select Swap (U.S.)

$23,473,632   21.21$—     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

$23,473,632   21.21$—     0.00
   

 

 

  

 

 

  

 

 

  

 

 

 

U.S. TREASURY SECURITIES (2)

FACE VALUE  Value     Value    

$15,000,000

 

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $41,182,408    37.21 $2,612,146    10.90

$85,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $113,142,577)

   10,188,655    9.21  646,253    2.70

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

   5,364,035    4.85  340,232    1.42
   

 

 

  

 

 

  

 

 

  

 

 

 
$56,735,098   51.27$3,598,631   15.02
   

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value     Face Value    
 

US Treasury Note 2.250% due 11/15/2024(2)

  $29,551,228    $1,874,395   
 

US Treasury Note 6.000% due 02/15/2026(2)

   6,953,230     441,034   
 

US Treasury Note 6.875% due 08/15/2025(2)

   5,214,923     330,776   
   

 

 

   

 

 

  
$41,719,381  $2,646,205  
   

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

  Cost     Cost    
 

US Treasury Note 2.250% due 11/15/2024(2)

  $39,335,317    $2,494,986   
 

US Treasury Note 6.000% due 02/15/2026(2)

   9,738,868     617,723   
 

US Treasury Note 6.875% due 08/15/2025(2)

   5,203,344     330,041   
   

 

 

   

 

 

  
$54,277,529  $3,442,750  
   

 

 

   

 

 

  

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedule of Investments (Unaudited)

March 31, 2015

   Equinox Frontier
Winton Fund
 Equinox Frontier
Heritage Fund
  Equinox Frontier
Winton Fund
 Equinox Frontier
Heritage Fund
 

Description

Description

  Value   % of Total Capital
(Net Asset Value)
 Value   % of Total Capital
(Net Asset Value)
 

Description

 Fair
Value
 % of Total Capital
(Net Asset Value)
 Fair
Value
 % of Total Capital
(Net Asset Value)
 

SWAPS (1)

SWAPS (1)

    

SWAPS (1)

        

Frontier Brevan Howard swap (U.S.)

  $—     0.00%  $7,809,251  49.16% 
 

Frontier Brevan Howard swap (U.S.)

   —       0.00 $9,600,330     50.58  

 

  

 

  

 

  

 

 
   

 

   

 

  

 

   

 

  

Total Swaps

  $—     0.00%  $7,809,251  49.16% 

Total Swaps

 —     0.00$9,600,330   50.58  

 

  

 

  

 

  

 

 
   

 

   

 

  

 

   

 

 

U.S. TREASURY SECURITIES (2)

U.S. TREASURY SECURITIES (2)

U.S. TREASURY SECURITIES (2)

    

FACE VALUE

FACE VALUE

   Value     Value     

FACE VALUE

 Fair Value   Fair Value   
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $23,804,751     55.58 $5,374,320     28.32
$85,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $113,142,577)

   5,889,369     13.75 1,329,623     7.01
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

   3,100,585     7.24 700,010     3.69

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764)

 $19,997,657  54.36% $4,454,549  28.04%

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

 5,619,821  15.28% 1,251,835  7.88%
   

 

   

 

  

 

   

 

   

 

  

 

  

 

  

 

 
$32,794,705   76.57$7,403,953   39.02  $25,617,478  69.64% $5,706,384  35.92%
   

 

   

 

  

 

   

 

   

 

  

 

  

 

  

 

 

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

  Face Value     Face Value     

Additional Disclosure on U.S. Treasury Securities

 Face Value   Face Value   
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $17,081,557     $3,856,447    
 

US Treasury Note 6.000% due 02/15/2026 (2)

   4,019,190     907,399     

US Treasury Note 6.000% due 02/15/2026 (2)

 $14,914,929   $3,322,354  
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,014,392     680,550     

US Treasury Note 6.875% due 08/15/2025 (2)

 3,977,314   885,961  
   

 

    

 

     

 

   

 

  
$24,115,139  $5,444,396    $18,892,243   $4,208,315  
   

 

    

 

     

 

   

 

  

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

  Cost     Cost     

Additional Disclosure on U.S. Treasury Securities

 Cost   Cost   
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $22,737,074     $5,133,276     

US Treasury Note 6.000% due 02/15/2026 (2)

 $22,500,180   $5,011,996  
 

US Treasury Note 6.000% due 02/15/2026 (2)

   5,629,378     1,270,926     

US Treasury Note 6.875% due 08/15/2025 (2)

 5,570,726   1,240,899  
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,007,700     679,037      

 

   

 

  
   

 

    

 

     $28,070,906   $6,252,895  
$31,374,152  $7,083,239    

 

   

 

  
   

 

    

 

   

 

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedule of Investments

December 31, 2014

 

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

Description

Description

 Value % of Total
Capital (Net
Asset Value)
 Value % of Total
Capital (Net
Asset Value)
 Value % of Total
Capital (Net
Asset Value)
 

Description

 Value % of Total
Capital (Net
Asset Value)
 Value % of Total
Capital (Net
Asset Value)
 Value % of Total
Capital (Net
Asset Value)
 

LONG FUTURES CONTRACTS *

LONG FUTURES CONTRACTS *

      
 

Various base metals futures contracts (Europe)

 $(312,320 -0.43 $—     0.00% $—     0.00
 

Various base metals futures contracts (U.S.)

 (48,075 -0.07  —     0.00%  —     0.00
 

Various currency futures contracts (U.S.)

 560,666   0.77%  —     0.00%  —     0.00
 

Various energy futures contracts (Europe)

  —     0.00%  —     0.00%  —     0.00
 

Various energy futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various energy futures contracts (U.S.)

 10,206   0.01%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Canada)

 79,701   0.11%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Europe)

 676,493   0.93%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Far East)

 208,691   0.29%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Oceanic)

 299,804   0.41%  —     0.00%  —     0.00
 

Various interest rates futures contracts (U.S.)

 289,361   0.40%  —     0.00%  —     0.00
 

Various precious metal futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various precious metal futures contracts (U.S.)

 (60,655 -0.08  —     0.00%  —     0.00
 

Various soft futures contracts (Canada)

  —     0.00%  —     0.00%  —     0.00
 

Various soft futures contracts (Europe)

 2,809   0.00%  —     0.00%  —     0.00
 

Various soft futures contracts (Oceanic)

  —     0.00%  —     0.00%  —     0.00
 

Various soft futures contracts (U.S.)

 (89,038 -0.12  —     0.00%  —     0.00
 

Various stock index futures contracts (Canada)

 33,439   0.08%  —     0.00%  —     0.00
 

Various stock index futures contracts (Europe)

 (44,720 -0.06  —     0.00%  —     0.00
 

Various stock index futures contracts (Far East)

 14,786   0.02%  —     0.00%  —     0.00
 

Various stock index futures contracts (Oceanic)

 35,072   0.08%  —     0.00%  —     0.00
 

Various stock index futures contracts (U.S.)

 370,308   0.51%  —     0.00%  —     0.00
  

 

  

 

  

 

  

 

  

 

  

 

 
 

Total Long Futures Contracts

 $2,026,528   2.85% $—     0.00% $—     0.00
  

 

  

 

  

 

  

 

  

 

  

 

 

SHORT FUTURES CONTRACTS *

SHORT FUTURES CONTRACTS *

      

LONG FUTURES CONTRACTS *

       

Various base metals futures contracts (Europe)

 $251,789   0.35% $—     0.00% $—     0.00
 

Various base metals futures contracts (Europe)

 $(312,320 -0.43 $—     0.00 $—     0.00 

Various base metals futures contracts (U.S.)

 50,963   0.07%  —     0.00%  —     0.00
 

Various base metals futures contracts (U.S.)

 (48,075 -0.07  —     0.00  —     0.00 

Various currency futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various currency futures contracts (U.S.)

 560,666   0.77  —     0.00  —     0.00 

Various currency futures contracts (U.S.)

 360,124   0.50%  —     0.00%  —     0.00
 

Various energy futures contracts (Europe)

  —     0.00  —     0.00  —     0.00 

Various energy futures contracts (Europe)

  —     0.00%  —     0.00%  —     0.00
 

Various energy futures contracts (Far East)

  —     0.00  —     0.00  —     0.00 

Various energy futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various energy futures contracts (U.S.)

 10,206   0.01  —     0.00  —     0.00 

Various energy futures contracts (U.S.)

 356,351   0.49%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Canada)

 79,701   0.11  —     0.00  —     0.00 

Various interest rates futures contracts (Canada)

 12,112   0.02%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Europe)

 676,493   0.93  —     0.00  —     0.00 

Various interest rates futures contracts (Europe)

 (14,958 -0.02  —     0.00%  —     0.00
 

Various interest rates futures contracts (Far East)

 208,691   0.29  —     0.00  —     0.00 

Various interest rates futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various interest rates futures contracts (Oceanic)

 299,804   0.41  —     0.00  —     0.00 

Various interest rates futures contracts (Oceanic)

  —     0.00%  —     0.00%  —     0.00
 

Various interest rates futures contracts (U.S.)

 289,361   0.40  —     0.00  —     0.00 

Various interest rates futures contracts (U.S.)

 (128 0.00%  —     0.00%  —     0.00
 

Various precious metal futures contracts (Far East)

  —     0.00  —     0.00  —     0.00 

Various precious metal futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various precious metal futures contracts (U.S.)

 (60,655 -0.08  —     0.00  —     0.00 

Various precious metal futures contracts (U.S.)

 7,685   0.01%  —     0.00%  —     0.00
 

Various soft futures contracts (Canada)

  —     0.00  —     0.00  —     0.00 

Various soft futures contracts (Canada)

  —     0.00%  —     0.00%  —     0.00
 

Various soft futures contracts (Europe)

 2,809   0.00  —     0.00  —     0.00 

Various soft futures contracts (Europe)

 92,535   0.13%  —     0.00%  —     0.00
 

Various soft futures contracts (Oceanic)

  —     0.00  —     0.00  —     0.00 

Various soft futures contracts (Far East)

  —     0.00%  —     0.00%  —     0.00
 

Various soft futures contracts (U.S.)

 (89,038 -0.12  —     0.00  —     0.00 

Various soft futures contracts (U.S.)

 78,930   0.11%  —     0.00%  —     0.00
 

Various stock index futures contracts (Canada)

 33,439   0.08  —     0.00  —     0.00 

Various stock index futures contracts (Africa)

  —     0.00%  —     0.00%  —     0.00
 

Various stock index futures contracts (Europe)

 (44,720 -0.06  —     0.00  —     0.00 

Various stock index futures contracts (Europe)

 (24,501 -0.03  —     0.00%  —     0.00
 

Various stock index futures contracts (Far East)

 14,786   0.02  —     0.00  —     0.00 

Various stock index futures contracts (Far East)

 (28,299 -0.04  —     0.00%  —     0.00
 

Various stock index futures contracts (Oceanic)

 35,072   0.08  —     0.00  —     0.00 

Various stock index futures contracts (Mexico)

  —     0.00%  —     0.00%  —     0.00
 

Various stock index futures contracts (U.S.)

 370,308   0.51  —     0.00  —     0.00 

Various stock index futures contracts (Oceanic)

  —     0.00%  —     0.00%  —     0.00
 

 

  

 

  

 

  

 

  

 

  

 

  

Various stock index futures contracts (U.S.)

 2,837   0.00%  —     0.00%  —     0.00

Total Long Futures Contracts

$2,026,528   2.85$—     0.00$—     0.00  

 

  

 

  

 

  

 

  

 

  

 

 
 

 

  

 

  

 

  

 

  

 

  

 

  

Total Short Futures Contracts

 $1,145,440   1.59% $—     0.00% $—     0.00

SHORT FUTURES CONTRACTS *

  

 

  

 

  

 

  

 

  

 

  

 

 

CURRENCY FORWARDS *

CURRENCY FORWARDS *

      

Various base metals futures contracts (Europe)

$251,789   0.35$—     0.00$—     0.00 

Various currency forwards contracts (NA)

 $43,238   0.06% $—     0.00% $—     0.00

Various base metals futures contracts (U.S.)

 50,963   0.07 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various currency futures contracts (Far East)

 —     0.00 —     0.00 —     0.00 

Total Currency Forwards

 $43,238   0.06% $—     0.00% $—     0.00

Various currency futures contracts (U.S.)

 360,124   0.50 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various energy futures contracts (Europe)

 —     0.00 —     0.00 —     0.00 

Total Open Trade Equity (Deficit)

 $3,215,206   4.50% $—     0.00% $—     0.00

Various energy futures contracts (Far East)

 —     0.00 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS PURCHASED *

OPTIONS PURCHASED *

      

Various energy futures contracts (U.S.)

 356,351   0.49 —     0.00 —     0.00 

Various energy futures contracts (U.S.)

 $—     0.00% $—     0.00% $—     0.00

Various interest rates futures contracts (Canada)

 12,112   0.02 —     0.00 —     0.00 

Various soft futures contracts (U.S.)

  —     0.00%  —     0.00%  —     0.00

Various interest rates futures contracts (Europe)

 (14,958 -0.02 —     0.00 —     0.00 

Various stock index futures contracts (U.S.)

 288,413   0.40%  —     0.00%  —     0.00

Various interest rates futures contracts (Far East)

 —     0.00 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various interest rates futures contracts (Oceanic)

 —     0.00 —     0.00 —     0.00 

Total Options Purchased

 $288,413   0.40% $—     0.00% $—     0.00

Various interest rates futures contracts (U.S.)

 (128 0.00 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS WRITTEN *

OPTIONS WRITTEN *

      

Various precious metal futures contracts (Far East)

 —     0.00 —     0.00 —     0.00 

Various energy futures contracts (U.S.)

 $—     0.00% $—     0.00% $—     0.00

Various precious metal futures contracts (U.S.)

 7,685   0.01 —     0.00 —     0.00 

Various soft futures contracts (U.S.)

  —     0.00%  —     0.00%  —     0.00

Various soft futures contracts (Canada)

 —     0.00 —     0.00 —     0.00 

Various stock index futures contracts (U.S.)

 (253,018 -0.35  —     0.00%  —     0.00

Various soft futures contracts (Europe)

 92,535   0.13 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various soft futures contracts (Far East)

 —     0.00 —     0.00 —     0.00 

Total Options Written

 $(253,018 -0.35 $—     0.00% $—     0.00

Various soft futures contracts (U.S.)

 78,930   0.11 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

SWAPS (1)

SWAPS (1)

      

Various stock index futures contracts (Africa)

 —     0.00 —     0.00 —     0.00 

Frontier XXXV Diversified select swap (U.S.)

 $6,570,408   9.07%  —     0.00% $—     0.00

Various stock index futures contracts (Europe)

 (24,501 -0.03 —     0.00 —     0.00 

Frontier XXXVII L/S select swap (U.S.)

  —     0.00%  —     0.00% 3,633,060   21.86

Various stock index futures contracts (Far East)

 (28,299 -0.04 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various stock index futures contracts (Mexico)

 —     0.00 —     0.00 —     0.00 

Total Swaps

 $6,570,408   9.07% $—     0.00% $3,633,060   21.86

Various stock index futures contracts (Oceanic)

 —     0.00 —     0.00 —     0.00  

 

  

 

  

 

  

 

  

 

  

 

 

Various stock index futures contracts (U.S.)

 2,837   0.00 —     0.00 —     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Short Futures Contracts

$1,145,440   1.59$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

CURRENCY FORWARDS *

Various currency forwards contracts (NA)

$43,238   0.06$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Currency Forwards

$43,238   0.06$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Open Trade Equity (Deficit)

$3,215,206   4.50$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS PURCHASED *

Various energy futures contracts (U.S.)

$—     0.00$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 288,413   0.40 —     0.00 —     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Options Purchased

$288,413   0.40$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

OPTIONS WRITTEN *

Various energy futures contracts (U.S.)

$—     0.00$—     0.00$—     0.00

Various soft futures contracts (U.S.)

 —     0.00 —     0.00 —     0.00

Various stock index futures contracts (U.S.)

 (253,018 -0.35 —     0.00 —     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Options Written

$(253,018 -0.35$—     0.00$—     0.00
 

 

  

 

  

 

  

 

  

 

  

 

 

SWAPS (1)

Frontier XXXV Diversified select swap (U.S.)

$6,570,408   9.07 —     0.00$—     0.00

Frontier XXXVII L/S select swap (U.S.)

 —     0.00 —     0.00 3,633,060   21.86
 

 

  

 

  

 

  

 

  

 

  

 

 

Total Swaps

$6,570,408   9.07$—     0.00$3,633,060   21.86
 

 

  

 

  

 

  

 

  

 

  

 

 

U.S. TREASURY SECURITIES (2)

U.S. TREASURY SECURITIES (2)

U.S. TREASURY SECURITIES (2)

      

FACE VALUE

FACE VALUE

 Fair Value   Fair Value   Fair Value   

FACE VALUE

 Fair Value   Fair Value   Fair Value   
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $21,289,585   29.40 $11,118,790   43.25 $5,616,255   33.80
$75,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

 6,411,385   8.85 3,348,438   13.02 1,691,342   10.18
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

 3,350,689   4.63 1,749,945   6.81 883,922   5.32

$15,000,000

 

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $21,289,585   29.40% $11,118,790   43.25% $5,616,255   33.80

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

 6,411,385   8.85% 3,348,438   13.02% 1,691,342   10.18

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

 3,350,689   4.63% 1,749,945   6.81% 883,922   5.32
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 
$31,051,659   42.88$16,217,173   63.08$8,191,519   49.30  $31,051,659   42.88% $16,217,173   63.08% $8,191,519   49.30
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

 Face Value   Face Value   Face Value   

Additional Disclosure on U.S. Treasury Securities

 Face Value   Face Value   Face Value   
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $16,640,343    $8,690,657    $4,389,772    

US Treasury Note 2.250% due 11/15/2024 (2)

 $16,640,343    $8,690,657    $4,389,772   
 

US Treasury Note 6.000% due 02/15/2026 (2)

 4,437,425    2,317,508    1,170,606    

US Treasury Note 6.000% due 02/15/2026 (2)

 4,437,425    2,317,508    1,170,606   
 

US Treasury Note 6.875% due 08/15/2025 (2)

 3,328,068    1,738,131    877,954    

US Treasury Note 6.875% due 08/15/2025 (2)

 3,328,068    1,738,131    877,954   
 

 

   

 

   

 

    

 

   

 

   

 

  
$24,405,836  $12,746,296  $6,438,332    $24,405,836    $12,746,296    $6,438,332   
 

 

   

 

   

 

    

 

   

 

   

 

  

Additional Disclosure on U.S. Treasury Securities

Additional Disclosure on U.S. Treasury Securities

 Cost   Cost   Cost   

Additional Disclosure on U.S. Treasury Securities

 Cost   Cost   Cost   
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $22,093,766    $11,538,785    $5,828,400    

US Treasury Note 2.250% due 11/15/2024 (2)

 $22,093,766    $11,538,785    $5,828,400   
 

US Treasury Note 6.000% due 02/15/2026 (2)

 6,283,975    3,281,896    1,657,731    

US Treasury Note 6.000% due 02/15/2026 (2)

 6,283,975    3,281,896    1,657,731   
 

US Treasury Note 6.875% due 08/15/2025 (2)

 3,320,679    1,734,272    876,005    

US Treasury Note 6.875% due 08/15/2025 (2)

 3,320,679    1,734,272    876,005   
 

 

   

 

   

 

    

 

   

 

   

 

  
$31,698,420  $16,554,953  $8,362,136    $31,698,420    $16,554,953    $8,362,136   
 

 

   

 

   

 

    

 

   

 

   

 

  

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedule of Investments

December 31, 2014

 

     Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 

Description

 Value  % of Total Capital
(Net Asset Value)
  Value  % of Total Capital
(Net Asset Value)
 

 

LONG FUTURES CONTRACTS *

    
 

Various base metals futures contracts (Europe)

 $(3,493,625  -3.22 $—      0.00
 

Various base metals futures contracts (U.S.)

  (13,775  -0.01  —      0.00
 

Various currency futures contracts (U.S.)

  (254,409  -0.23  —      0.00
 

Various energy futures contracts (Europe)

  (12,920  -0.01  —      0.00
 

Various energy futures contracts (Far East)

  (2,738  0.00  —      0.00
 

Various energy futures contracts (U.S.)

  (1,406,837  -1.30  —      0.00
 

Various interest rates futures contracts (Canada)

  84,291    0.08  —      0.00
 

Various interest rates futures contracts (Europe)

  1,312,057    1.21  —      0.00
 

Various interest rates futures contracts (Far East)

  217,701    0.20  —      0.00
 

Various interest rates futures contracts (Oceanic)

  164,422    0.15  —      0.00
 

Various interest rates futures contracts (U.S.)

  298,985    0.28  —      0.00
 

Various precious metal futures contracts (Far East)

  6,195    0.01  —      0.00
 

Various precious metal futures contracts (U.S.)

  (57,380  -0.05  —      0.00
 

Various soft futures contracts (Canada)

  (1,360  0.00  —      0.00
 

Various soft futures contracts (Europe)

  8,013    0.01  —      0.00
 

Various soft futures contracts (Oceanic)

  (864  0.00  —      0.00
 

Various soft futures contracts (U.S.)

  (208,634  -0.19  —      0.00
 

Various stock index futures contracts (Canada)

  17,918    0.02  —      0.00
 

Various stock index futures contracts (Europe)

  231,293    0.21  —      0.00
 

Various stock index futures contracts (Far East)

  (6,494  -0.01  —      0.00
 

Various stock index futures contracts (Oceanic)

  (1,389  0.00  —      0.00
 

Various stock index futures contracts (U.S.)

  337,695    0.31  —      0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Long Futures Contracts

$(2,781,855 -2.54$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

 

SHORT FUTURES CONTRACTS *

Various base metals futures contracts (Europe)

$3,165,035   2.92$—     0.00

Various base metals futures contracts (U.S.)

 19,963   0.02 —     0.00

Various currency futures contracts (Far East)

 (3,383 0.00 —     0.00

Various currency futures contracts (U.S.)

 462,616   0.43 —     0.00

Various energy futures contracts (Europe)

 49,517   0.05 —     0.00

Various energy futures contracts (Far East)

 5,389   0.00 —     0.00

Various energy futures contracts (U.S.)

 2,602,685   2.40 —     0.00

Various interest rates futures contracts (Canada)

 11   0.00 —     0.00

Various interest rates futures contracts (Europe)

 (261,457 -0.24 —     0.00

Various interest rates futures contracts (Far East)

 —     0.00 —     0.00

Various interest rates futures contracts (Oceanic)

 (1,673 0.00 —     0.00

Various interest rates futures contracts (U.S.)

 (20,699 -0.02 —     0.00

Various precious metal futures contracts (Far East)

 (1,052 0.00 —     0.00

Various precious metal futures contracts (U.S.)

 112,155   0.10 —     0.00

Various soft futures contracts (Canada)

 —     0.00 —     0.00

Various soft futures contracts (Europe)

 19,813   0.02 —     0.00

Various soft futures contracts (Far East)

 (4,709 0.00 —     0.00

Various soft futures contracts (U.S.)

 438,427   0.40 —     0.00

Various stock index futures contracts (Africa)

 (4,181 0.00 —     0.00

Various stock index futures contracts (Europe)

 (13,338 -0.01 —     0.00

Various stock index futures contracts (Far East)

 129   0.00 —     0.00

Various stock index futures contracts (Mexico)

 (4,380 0.00 —     0.00

Various stock index futures contracts (Oceanic)

 (9,866 -0.01 —     0.00

Various stock index futures contracts (U.S.)

 (51,856 -0.05 —     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Short Futures Contracts

$6,499,146   6.01$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

 

CURRENCY FORWARDS *

Various currency forwards contracts (NA)

$(419,742 -0.39$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Currency Forwards

$(419,742 -0.39$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

$3,297,549   3.08$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

 

OPTIONS PURCHASED *

Frontier XXXIV Balanced Select Swap (U.S.)

$18,246,954   16.82$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

Total Swaps

$18,246,954   16.82$—     0.00
 

 

 

  

 

 

  

 

 

  

 

 

 

 

U.S. TREASURY SECURITIES (2)

FACE VALUE

    Value     Value    
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

 $28,539,451    26.31 $4,440,708    29.08
$75,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

  8,594,691    7.92  1,337,325    8.76
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

  4,491,718    4.14  698,906    4.58
 

 

 

  

 

 

  

 

 

  

 

 

 
$41,625,860   38.37$6,476,939   42.42
 

 

 

  

 

 

  

 

 

  

 

 

 

Additional Disclosure on U.S. Treasury Securities

 Face Value     Face Value    
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $22,306,974    $3,470,942   
 

US Treasury Note 6.000% due 02/15/2026 (2)

  5,948,526     925,584   
 

US Treasury Note 6.875% due 08/15/2025 (2)

  4,461,395     694,188   
 

 

 

   

 

 

  
$32,716,895  $5,090,714  
 

 

 

   

 

 

  

Additional Disclosure on U.S. Treasury Securities

 Cost     Cost    
 

US Treasury Note 2.250% due 11/15/2024 (2)

 $29,617,482    $4,608,448   
 

US Treasury Note 6.000% due 02/15/2026 (2)

  8,423,893     1,310,749   
 

US Treasury Note 6.875% due 08/15/2025 (2)

  4,451,489     692,647   
 

 

 

   

 

 

  
$42,492,864  $6,611,844  
 

 

 

   

 

 

  

     Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
        % of Total Capital      % of Total Capital 

Description

  Value  (Net Asset Value)  Value   (Net Asset Value) 

LONG FUTURES CONTRACTS *

      
 

Various base metals futures contracts (Europe)

  $(3,493,625)  -3.22 $—       0.00%
 

Various base metals futures contracts (U.S.)

   (13,775)  -0.01  —       0.00%
 

Various currency futures contracts (U.S.)

   (254,409)  -0.23  —       0.00%
 

Various energy futures contracts (Europe)

   (12,920)  -0.01  —       0.00%
 

Various energy futures contracts (Far East)

   (2,738)  0.00  —       0.00%
 

Various energy futures contracts (U.S.)

   (1,406,837)  -1.30  —       0.00%
 

Various interest rates futures contracts (Canada)

   84,291   0.08  —       0.00%
 

Various interest rates futures contracts (Europe)

   1,312,057   1.21  —       0.00%
 

Various interest rates futures contracts (Far East)

   217,701   0.20  —       0.00%
 

Various interest rates futures contracts (Oceanic)

   164,422   0.15  —       0.00%
 

Various interest rates futures contracts (U.S.)

   298,985   0.28  —       0.00%
 

Various precious metal futures contracts (Far East)

   6,195   0.01  —       0.00%
 

Various precious metal futures contracts (U.S.)

   (57,380)  -0.05  —       0.00%
 

Various soft futures contracts (Canada)

   (1,360)  0.00  —       0.00%
 

Various soft futures contracts (Europe)

   8,013   0.01  —       0.00%
 

Various soft futures contracts (Oceanic)

   (864)  0.00  —       0.00%
 

Various soft futures contracts (U.S.)

   (208,634)  -0.19  —       0.00%
 

Various stock index futures contracts (Canada)

   17,918   0.02  —       0.00%
 

Various stock index futures contracts (Europe)

   231,293   0.21  —       0.00%
 

Various stock index futures contracts (Far East)

   (6,494)  -0.01  —       0.00%
 

Various stock index futures contracts (Oceanic)

   (1,389)  0.00  —       0.00%
 

Various stock index futures contracts (U.S.)

   337,695   0.31  —       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 
 

Total Long Futures Contracts

  $(2,781,855)  -2.54 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 

SHORT FUTURES CONTRACTS *

      
 

Various base metals futures contracts (Europe)

  $3,165,035   2.92 $—       0.00%
 

Various base metals futures contracts (U.S.)

   19,963   0.02  —       0.00%
 

Various currency futures contracts (Far East)

   (3,383)  0.00  —       0.00%
 

Various currency futures contracts (U.S.)

   462,616   0.43  —       0.00%
 

Various energy futures contracts (Europe)

   49,517   0.05  —       0.00%
 

Various energy futures contracts (Far East)

   5,389   0.00  —       0.00%
 

Various energy futures contracts (U.S.)

   2,602,685   2.40  —       0.00%
 

Various interest rates futures contracts (Canada)

   11   0.00  —       0.00%
 

Various interest rates futures contracts (Europe)

   (261,457)  -0.24  —       0.00%
 

Various interest rates futures contracts (Far East)

   —      0.00  —       0.00%
 

Various interest rates futures contracts (Oceanic)

   (1,673)  0.00  —       0.00%
 

Various interest rates futures contracts (U.S.)

   (20,699)  -0.02  —       0.00%
 

Various precious metal futures contracts (Far East)

   (1,052)  0.00  —       0.00%
 

Various precious metal futures contracts (U.S.)

   112,155   0.10  —       0.00%
 

Various soft futures contracts (Canada)

   —      0.00  —       0.00%
 

Various soft futures contracts (Europe)

   19,813   0.02  —       0.00%
 

Various soft futures contracts (Far East)

   (4,709)  0.00  —       0.00%
 

Various soft futures contracts (U.S.)

   438,427   0.40  —       0.00%
 

Various stock index futures contracts (Africa)

   (4,181)  0.00  —       0.00%
 

Various stock index futures contracts (Europe)

   (13,338)  -0.01  —       0.00%
 

Various stock index futures contracts (Far East)

   129   0.00  —       0.00%
 

Various stock index futures contracts (Mexico)

   (4,380)  0.00  —       0.00%
 

Various stock index futures contracts (Oceanic)

   (9,866)  -0.01  —       0.00%
 

Various stock index futures contracts (U.S.)

   (51,856)  -0.05  —       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 
 

Total Short Futures Contracts

  $6,499,146   6.01 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 

CURRENCY FORWARDS *

      
 

Various currency forwards contracts (NA)

  $(419,742)  -0.39 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 
 

Total Currency Forwards

  $(419,742)  -0.39 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 
 

Total Open Trade Equity (Deficit)

  $3,297,549   3.08 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 

OPTIONS PURCHASED *

      
 

Frontier XXXIV Balanced Select Swap (U.S.)

  $18,246,954   16.82 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 
 

Total Swaps

  $18,246,954   16.82 $—       0.00%
   

 

 

  

 

 

  

 

 

   

 

 

 

U.S. TREASURY SECURITIES (2)

      

FACE VALUE

  Value     Value     

$15,000,000

 

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $28,539,451   26.31 $4,440,708    29.08%

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   8,594,691   7.92  1,337,325    8.76%

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   4,491,718   4.14  698,906    4.58%
   

 

 

  

 

 

  

 

 

   

 

 

 
   $41,625,860   38.37 $6,476,939    42.42%
   

 

 

  

 

 

  

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value     Face Value     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $22,306,974   $3,470,942   
 

US Treasury Note 6.000% due 02/15/2026 (2)

   5,948,526    925,584   
 

US Treasury Note 6.875% due 08/15/2025 (2)

   4,461,395    694,188   
   

 

 

   

 

 

   
   $32,716,895   $5,090,714   
   

 

 

   

 

 

   

Additional Disclosure on U.S. Treasury Securities

  Cost     Cost     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $29,617,482   $4,608,448   
 

US Treasury Note 6.000% due 02/15/2026 (2)

   8,423,893    1,310,749   
 

US Treasury Note 6.875% due 08/15/2025 (2)

   4,451,489    692,647   
   

 

 

   

 

 

   
   $42,492,864   $6,611,844   
   

 

 

   

 

 

   

 

*Except for those items disclosed, no individual futures, forwards and option on futures contract position constituted greater than 1 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.
(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Condensed Schedule of Investments

December 31, 2014

 

      Equinox Frontier
Winton Fund
  Equinox Frontier
Heritage Fund
 

Description

  Value   % of Total
Capital (Net
Asset Value)
  Value   % of Total
Capital (Net
Asset Value)
 
 

Swaps (1)

       
 

Brevan Howard Total Return Swap

  $—       0.00 $7,540,465     45.52
  

 

 

   

 

 

  

 

 

   

 

 

 

Total Swaps

$—     0.00$7,540,465   45.52
  

 

 

   

 

 

  

 

 

   

 

 

 

 

U.S. TREASURY SECURITIES (2)

FACE VALUE

     Fair Value      Fair Value     
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $20,290,169     50.66 $4,659,730     28.13
$75,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   6,110,410     15.26  1,403,284     8.47
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   3,193,395     7.97  733,378     4.43
  

 

 

   

 

 

  

 

 

   

 

 

 
$29,593,974   73.89$6,796,392   41.03
  

 

 

   

 

 

  

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value      Face Value     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $15,859,181     $3,642,134    
 

US Treasury Note 6.000% due 02/15/2026 (2)

   4,229,115      971,236    
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,171,836      728,427    
  

 

 

    

 

 

   
$23,260,132  $5,341,797  
  

 

 

    

 

 

   

Additional Disclosure on U.S. Treasury Securities

  Cost      Cost     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $21,056,599     $4,835,746    
 

US Treasury Note 6.000% due 02/15/2026 (2)

   5,988,981      1,375,397    
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,164,794      726,809    
  

 

 

    

 

 

   
$30,210,374  $6,937,952  
  

 

 

    

 

 

   

     Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
         % of Total Capital      % of Total Capital 

Description

  Value   (Net Asset Value)  Value   (Net Asset Value) 
 

Swaps (1)

       
 

Brevan Howard Total Return Swap

  $—       0.00% $7,540,465     45.52%
   

 

 

   

 

 

  

 

 

   

 

 

 
 

Total Swaps

  $—       0.00% $7,540,465     45.52%
   

 

 

   

 

 

  

 

 

   

 

 

 

U.S. TREASURY SECURITIES (2)

               

FACE VALUE

  Fair Value      Fair Value     

$15,000,000

 

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $20,290,169     50.66% $4,659,730     28.13%

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

   6,110,410     15.26%  1,403,284     8.47%

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

   3,193,395     7.97%  733,378     4.43%
   

 

 

   

 

 

  

 

 

   

 

 

 
   $29,593,974     73.89% $6,796,392     41.03%
   

 

 

   

 

 

  

 

 

   

 

 

 

Additional Disclosure on U.S. Treasury Securities

  Face Value      Face Value     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $15,859,181     $3,642,134    
 

US Treasury Note 6.000% due 02/15/2026 (2)

   4,229,115      971,236    
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,171,836      728,427    
   

 

 

    

 

 

   
   $23,260,132     $5,341,797    
   

 

 

    

 

 

   

Additional Disclosure on U.S. Treasury Securities

  Cost      Cost     
 

US Treasury Note 2.250% due 11/15/2024 (2)

  $21,056,599     $4,835,746    
 

US Treasury Note 6.000% due 02/15/2026 (2)

   5,988,981      1,375,397    
 

US Treasury Note 6.875% due 08/15/2025 (2)

   3,164,794      726,809    
   

 

 

    

 

 

   
   $30,210,374     $6,937,952    
   

 

 

    

 

 

   

 

(1)See Note 4 to the Financial Statements.
(2)Assets have been allocated to each Series based upon ownership in the cash management pool. See Note 2.

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

The Series of Equinox Frontier Funds

Statements of Operations

For the Three Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

 Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short
Commodity Fund
 
 3/31/2015 3/31/2014 3/31/2015 3/31/2014 3/31/2015 3/31/2014   Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short
Commodity Fund
 
  6/30/2015 6/30/2014 6/30/2015 6/30/2014 6/30/2015 6/30/2014 

Investment income:

             

Interest - net

 $169,258   $164,878   $71,164   $95,272   $47,058   $69,247    $155,143   $135,499   $68,655   $71,429   $43,133   $47,605  
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Total Income

 169,258   164,878   71,164   95,272   47,058   69,247     155,143   135,499   68,655   71,429   43,133   47,605  
 

 

  

 

  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

  

 

  

 

 

Expenses:

       

Incentive Fees

 1,634,242   432,084   535,302   13,712   239,217   —       4,000   954,829   41,072   168,094   40,149    —    

Management Fees

 246,304   276,556   178,660   277,080   123,036   286,630     243,004   271,073   182,496   230,233   131,237   223,050  

Service Fees - Class 1

 121,918   148,411   65,178   104,283   31,900   38,564     108,250   125,184   60,813   76,310   29,629   30,304  

Trading Fees

 370,802   342,565   153,633   175,915   68,928   81,977     351,096   307,242   147,701   147,195   65,150   64,027  
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Total Expenses

 2,373,266   1,199,616   932,773   570,990   463,081   407,171     706,350   1,658,328   432,082   621,832   266,165   317,381  
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Investment (loss) - net

 (2,204,008 (1,034,738 (861,609 (475,718 (416,023 (337,924   (551,207 (1,522,829 (363,427 (550,403 (223,032 (269,776
 

 

  

 

  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

  

 

  

 

 

Realized and unrealized gain/(loss) on investments:

       

Net realized gain/(loss) on futures, forwards and options

 8,401,169   325,864   —     —     —     (2,436,495   480,498    —      —      —      —     (144,365

Net change in open trade equity/(deficit)

 (127,891 (83,337 —     —     —     (805,786   (3,084,315  —      —      —      —     1,767,132  

Net realized gain/(loss) on swap contracts

 —     —     —     —     —     —       —      —      —      —      —      —    

Net unrealized gain/(loss) on swap contracts

 2,988,716   (579,402 —     —     668,912   (424,783   (1,943,955 188,167    —      —     (997,763 186,322  

Net realized gain/(loss) on U.S. Treasury securities

 —     (110,584 —     (62,525 —     (48,820   133,349   (17,129 56,105   (9,105 33,884   (6,059

Net unrealized gain/(loss) on U.S. Treasury securities

 684,086   1,348,616   344,244   776,321   128,767   581,928     (1,267,982 535,347   (572,666 284,576   (345,884 192,801  

Trading commissions

 (184,318 (6,385 —     —     —     (407,275   (182,250  —      —      —      —     (8,038

Change in fair value of investments in unconsolidated trading companies

 3,472,709   (2,479,300 3,095,759   (1,853,437 1,934,525   (545,646   (1,411,843 3,363,720   (2,913,886 1,844,351   (512,304 (466,714
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Net gain/(loss) on investments

 15,234,471   (1,584,528 3,440,003   (1,139,641 2,732,204   (4,086,877   (7,276,498 4,070,105   (3,430,447 2,119,822   (1,822,067 1,521,079  
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

 13,030,463   (2,619,266 2,578,394   (1,615,359 2,316,181   (4,424,801
 

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL

       

RESULTING FROM OPERATIONS

   (7,827,705 2,547,276   (3,793,874 1,569,419   (2,045,099 1,251,303  
  

 

  

 

  

 

  

 

  

 

  

 

 

Less: Operations attributable to non-controlling interests

 3,313,397   325,371   —     —     —     (1,906,446   (322,342  —      —      —      —     1,139,624  
 

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM

       

OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

  $(7,505,363 $2,547,276   $(3,793,874 $1,569,419   $(2,045,099 $111,679  
  

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

$9,717,066  $(2,944,637$2,578,394  $(1,615,359$2,316,181  $(2,518,355
 

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

       

ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

       

Class 1

$18.57  $(4.33$11.77  $(4.53 N/A   N/A    $(16.11 $4.00   $(18.37 $5.67   N/A   N/A  

Class 1a

 N/A   N/A   N/A   N/A  $19.58  $(10.31   N/A   N/A   N/A   N/A   $(13.53 $0.34  

Class 2

$21.09  $(4.30$13.59  $(4.50$27.90  $(13.78  $(17.27 $4.76   $(19.80 $6.61   $(18.04 $0.69  

Class 2a

 N/A   N/A   N/A   N/A  $22.14  $(10.78   N/A   N/A   N/A   N/A   $(14.46 $0.76  

Class 3

$19.54  $(1.29$12.67  $(4.11$27.72  $(13.79  $(15.87 $4.45   $(18.28 $6.17   $(17.86 $0.69  

Class 3a

 N/A   N/A   N/A   N/A  $22.32  $(10.73   N/A   N/A   N/A   N/A   $(14.45 $0.82  

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

The Series of the Equinox Frontier Funds

Statements of Operations

For the Three Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

   Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
   3/31/2015  3/31/2014  3/31/2015  3/31/2014 

Investment income:

     

Interest - net

  $7,190   $8,530   $—     $—    
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income/(loss)

 7,190   8,530   —     —    
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

Incentive Fees

 1,486,957   551,286   158,971   —    

Management Fees

 259,595   290,385   80,072   138,438  

Service Fees - Class 1

 562,801   549,448   106,901   105,588  

Trading Fees

 195,344   187,399   29,893   29,402  
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

 2,504,697   1,578,518   375,837   273,428  
  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss) - net

 (2,497,507 (1,569,988 (375,837 (273,428
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

Net realized gain/(loss) on futures, forwards and options

 6,275,679   3,619,162   2,285,627   —    

Net change in open trade equity/(deficit)

 (1,365,815 (2,159,164 (704,083 —    

Net realized gain/(loss) on swap contracts

 —     —     —     —    

Net unrealized gain/(loss) on swap contracts

 5,226,678   (1,485,685 —     —    

Net realized gain/(loss) on U.S. Treasury securities

 —     (194,409 —     (30,381

Net unrealized gain/(loss) on U.S. Treasury securities

 737,851   2,447,648   159,412   357,469  

Trading commissions

 (141,905 (287,160 (32,172 —    

Change in fair value of investments in unconsolidated trading companies

 5,522,449   (4,082,223 1,032,449   (1,097,426
  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

 16,254,937   (2,141,831 2,741,233   (770,338
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

 13,757,430   (3,711,819 2,365,396   (1,043,766
  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

 830,142   453,538   682,333   —    
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

$12,927,288  $(4,165,357$1,683,063  $(1,043,766
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

Class 1

$17.26  $(4.30$10.55  $(4.85

Class 1AP

$18.60   N/A  $11.49   N/A  

Class 2

$25.01  $(4.68$15.25  $(5.59

Class 2a

$21.74  $(3.63 N/A   N/A  

Class 3a

$21.67  $(3.61 N/A   N/A  

   Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
   6/30/2015  6/30/2014  6/30/2015  6/30/2014 

Investment income:

     

Interest - net

  $8,003   $6,543   $—     $—    
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income/(loss)

   8,003    6,543    —      —    
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

     

Incentive Fees

   9,517    902,054    —      26,677  

Management Fees

   267,377    264,152    78,206    140,286  

Service Fees - Class 1

   556,081    492,255    101,967    97,799  

Trading Fees

   194,144    167,758    28,454    27,150  
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

   1,027,119    1,826,219    208,627    291,912  
  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss) - net

   (1,019,116  (1,819,676  (208,627  (291,912
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

     

Net realized gain/(loss) on futures, forwards and options

   (2,682,859  4,111,434    (2,163,972  —    

Net change in open trade equity/(deficit)

   (1,047,941  623,763    (902,659  —    

Net realized gain/(loss) on swap contracts

   —      —      —      —    

Net unrealized gain/(loss) on swap contracts

   (4,981,998  856,058    —      —    

Net realized gain/(loss) on U.S. Treasury securities

   215,325    (31,461  12,618    (4,607

Net unrealized gain/(loss) on U.S. Treasury securities

   (2,126,900  967,127    (126,672  138,584  

Trading commissions

   (124,528  (345,203  (33,722  —    

Change in fair value of investments in unconsolidated trading companies

   (854,236  197,789    (856,713  768,926  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

   (11,603,137  6,379,507    (4,071,120  902,903  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

   (12,622,253  4,559,831    (4,279,747  610,991  
  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

   (473,996  2,854,321    (1,366,570  —    
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

  $(12,148,257 $1,705,510   $(2,913,177 $610,991  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

     

Class 1

  $(16.98 $1.87   $(18.85 $3.22  

Class 1AP

  $(16.31  N/A   $(18.57  N/A  

Class 2

  $(21.93 $3.54   $(24.64 $5.01  

Class 2a

  $(18.40 $3.30    N/A    N/A  

Class 3a

  $(18.34 $3.29    N/A    N/A  

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

The Series of Equinox Frontier Funds

Statements of Operations

For the Three Months Ended June 30, 2015 and 2014

(Unaudited)

   Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
   6/30/2015  6/30/2014  6/30/2015  6/30/2014 

Investment income:

     

Interest - net

  $27   $—     $—     $—    
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

   27    —      —      —    
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

     

Incentive Fees

   —      415,629    —      86,999  

Management Fees

   307,212    287,648    70,986    81,966  

Service Fees - Class 1

   198,125    177,981    74,974    65,875  

Trading Fees

   74,984    64,049    25,063    21,279  
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

   580,321    945,307    171,023    256,119  
  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss) - net

   (580,294  (945,307  (171,023  (256,119
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

     

Net realized gain/(loss) on futures, forwards and options

   —      —      —      —    

Net change in open trade equity/(deficit)

   —      —      —      —    

Net realized gain/(loss) on swap contracts

   —      —      —      —    

Net unrealized gain/(loss) on swap contracts

   —      —      (1,791,079  745,910  

Net realized gain/(loss) on U.S. Treasury securities

   111,546    (14,220  25,632    (4,016

Net unrealized gain/(loss) on U.S. Treasury securities

   (1,170,077  457,602    (265,944  122,590  

Trading commissions

   —      —      —      (3,500

Change in fair value of investments in unconsolidated trading companies

   (4,061,244  2,553,073    (739,054  557,360  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

   (5,119,775  2,996,455    (2,770,445  1,418,344  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

   (5,700,069  2,051,148    (2,941,468  1,162,225  
  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

   —      —      (839,599  329,960  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

  $(5,700,069 $2,051,148   $(2,101,869 $832,265  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

     

Class 1

  $(26.05 $8.14   $(21.77 $7.02  

Class 1AP

  $(25.31  N/A   $(21.25  N/A  

Class 2

  $(32.13 $11.59   $(28.44 $10.31  

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

The Series of Equinox Frontier Funds

Statements of Operations

For the Six Months Ended June 30, 2015 and 2014

(Unaudited)

   Equinox Frontier Diversified Fund  Equinox Frontier Masters Fund  Equinox Frontier Long/Short
Commodity Fund
 
   6/30/2015  6/30/2014  6/30/2015  6/30/2014  6/30/2015  6/30/2014 

Investment income:

       

Interest - net

  $324,401   $300,377   $139,819   $166,701   $90,191   $116,852  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

   324,401    300,377    139,819    166,701    90,191    116,852  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

       

Incentive Fees

   1,638,242    1,386,913    576,374    181,806    279,366    —    

Management Fees

   489,308    547,629    361,156    507,313    254,273    509,680  

Service Fees - Class 1

   230,168    273,595    125,991    180,593    61,529    68,868  

Trading Fees

   721,898    649,807    301,334    323,110    134,078    146,001  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

   3,079,616    2,857,944    1,364,855    1,192,822    729,246    724,549  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss) - net

   (2,755,215  (2,557,567  (1,225,036  (1,026,121  (639,055  (607,697
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

       

Net realized gain/(loss) on futures, forwards and options

   8,881,667    325,885    —      —      —      (2,580,860

Net change in open trade equity/(deficit)

   (3,212,206  (83,337  —      —      —      961,346  

Net realized gain/(loss) on swap contracts

   —      —      —      —      —      —    

Net unrealized gain/(loss) on swap contracts

   1,044,760    (391,235  —      —      (328,851  (238,462

Net realized gain/(loss) on U.S. Treasury securities

   133,349    (127,713  56,105    (71,630  33,884    (54,879

Net unrealized gain/(loss) on U.S. Treasury securities

   (583,896  1,883,962    (228,422  1,060,897    (217,116  774,729  

Trading commissions

   (366,567  (6,386  —      —      —      (415,314

Change in fair value of investments in unconsolidated trading companies

   2,060,866    884,399    181,873    (9,085  1,422,221    (1,012,360
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

   7,957,973    2,485,576    9,556    980,182    910,138    (2,565,800
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

   5,202,758    (71,992  (1,215,480  (45,939  271,083    (3,173,497
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

   2,991,055    325,371    —      —      —      (766,822
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

  $2,211,703   $(397,362 $(1,215,480 $(45,939 $271,083   $(2,406,675
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

       

Class 1

  $2.46   $(0.33 $(6.60 $1.14    N/A    N/A  

Class 1a

   N/A    N/A    N/A    N/A   $6.05   $(9.97

Class 2

  $3.82   $0.46   $(6.21 $2.11   $9.86   $(13.09

Class 2a

   N/A    N/A    N/A    N/A   $7.68   $(10.02

Class 3

  $3.67   $3.16   $(5.61) (1)  $2.06   $9.86   $(13.10

Class 3a

   N/A    N/A    N/A    N/A   $7.87   $(9.91

(1)Class 3 operations began February 25, 2014.

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

The Series of the Equinox Frontier Funds

Statements of Operations

For the ThreeSix Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

  Equinox Frontier Winton Fund Equinox Frontier Heritage Fund 
  3/31/2015 3/31/2014 3/31/2015 3/31/2014   Equinox Frontier Balanced Fund Equinox Frontier Select Fund 
  6/30/2015 6/30/2014 6/30/2015 6/30/2014 

Investment income:

          

Interest - net

  $—     $41   $—     $—      $15,193   $15,073   $—     $—    
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total Income

 —     41   —     —    
  

 

  

 

  

 

  

 

 

Total Income/(loss)

   15,193   15,073    —      —    
  

 

  

 

  

 

  

 

 

Expenses:

     

Incentive Fees

 715,409   —     132,676   —       1,496,474   1,453,340   158,971   26,677  

Management Fees

 323,105   280,373   77,898   80,009     526,972   554,537   158,278   278,724  

Service Fees - Class 1

 205,337   182,964   77,017   72,725     1,118,882   1,041,703   208,868   203,387  

Trading Fees

 76,976   64,595   25,691   23,099     389,488   355,157   58,347   56,552  
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total Expenses

 1,320,827   527,932   313,282   175,833     3,531,816   3,404,737   584,464   565,340  
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Investment (loss) - net

 (1,320,827 (527,891 (313,282 (175,833   (3,516,623 (3,389,664 (584,464 (565,340
  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

 

Realized and unrealized gain/(loss) on investments:

     

Net realized gain/(loss) on futures, forwards and options

 —     —     —     —       3,592,820   7,730,596   121,655    —    

Net change in open trade equity/(deficit)

 —     —     —     —       (2,413,756 (1,535,401 (1,606,742  —    

Net realized gain/(loss) on swap contracts

 —     —     —     —       —      —      —      —    

Net unrealized gain/(loss) on swap contracts

 —     —     2,059,865   (1,208,563   244,680   (630,474  —      —    

Net realized gain/(loss) on U.S. Treasury securities

 —     (83,129 —     (24,819   215,325   (225,870 12,618   (34,988

Net unrealized gain/(loss) on U.S. Treasury securities

 553,885   972,190   126,818   300,004     (1,389,049 3,414,775   32,740   496,053  

Trading commissions

 —     —     —     —       (266,438 (631,520 (65,896  —    

Change in fair value of investments in unconsolidated trading companies

 4,443,233   (992,259 861,401   (303,201   4,668,213   (3,884,435 175,736   (328,501
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net gain/(loss) on investments

 4,997,118   (103,198 3,048,084   (1,236,579   4,651,795   4,237,671   (1,329,889 132,564  
  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

 3,676,291   (631,089 2,734,802   (1,412,412   1,135,172   848,007   (1,914,353 (432,776
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Less: Operations attributable to non-controlling interests

 —     —     967,115   (537,994   356,146   3,307,859   (684,237  —    
  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

$3,676,291  $(631,089$1,767,687  $(874,418  $779,026   $(2,459,852 $(1,230,116 $(432,776
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

     

Class 1

$15.95  $(2.66$17.59  $(6.64  $0.28   $(2.43 $(8.30 $(1.63

Class 1AP

$17.59   N/A  $18.93   N/A  

Class 1AP (1)

  $2.29   N/A   $(7.08 N/A  

Class 2

$22.33  $(2.05$25.33  $(7.80  $3.08   $(1.14 $(9.39 $(0.58

Class 2a

  $3.34   $(0.32 N/A   N/A  

Class 3a

  $3.33   $(0.32 N/A   N/A  

(1)Class 1AP began trading July 31, 2014

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

The Series of the Equinox Frontier Funds

Statements of Operations

For the Six Months Ended June 30, 2015 and 2014

(Unaudited)

   Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
   6/30/2015  6/30/2014  6/30/2015  6/30/2014 

Investment income:

     

Interest - net

  $27   $41   $—     $—    
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Income

   27    41    —      —    
  

 

 

  

 

 

  

 

 

  

 

 

 

Expenses:

     

Incentive Fees

   715,409    415,629    132,676    86,999  

Management Fees

   630,317    568,021    148,884    161,975  

Service Fees - Class 1

   403,462    360,945    151,991    138,600  

Trading Fees

   151,960    128,644    50,754    44,378  
  

 

 

  

 

 

  

 

 

  

 

 

 

Total Expenses

   1,901,148    1,473,239    484,305    431,952  
  

 

 

  

 

 

  

 

 

  

 

 

 

Investment (loss) - net

   (1,901,121  (1,473,198  (484,305  (431,952
  

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

     

Net realized gain/(loss) on futures, forwards and options

   —      —      —      —    

Net change in open trade equity/(deficit)

   —      —      —      —    

Net realized gain/(loss) on swap contracts

   —      —      —      —    

Net unrealized gain/(loss) on swap contracts

   —      —      268,786    (462,653

Net realized gain/(loss) on U.S. Treasury securities

   111,546    (97,349  25,632    (28,835

Net unrealized gain/(loss) on U.S. Treasury securities

   (616,192  1,429,792    (139,125  422,594  

Trading commissions

   —      —      —      (3,500

Change in fair value of investments in unconsolidated trading companies

   381,989    1,560,816    122,347    254,158  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net gain/(loss) on investments

   (122,657  2,893,259    277,640    181,764  
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

   (2,023,778  1,420,061    (206,665  (250,188
  

 

 

  

 

 

  

 

 

  

 

 

 

Less: Operations attributable to non-controlling interests

   —      —      127,516    (208,034
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS

  $(2,023,778 $1,420,061   $(334,181 $(42,154
  

 

 

  

 

 

  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT

     

Class 1

  $(10.10 $5.48   $(4.18 $0.53  

Class 1AP (1)

  $(7.72  N/A   $(2.32  N/A  

Class 2

  $(9.80 $9.55   $(3.11 $2.72  

(1)Class 1AP began trading July 31, 2014

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

The Series of Equinox Frontier Funds

Statements of Changes in Owners’ Capital

For the ThreeSix Months Ended March 31,June 30, 2015

(Unaudited)

 

Equinox Frontier Diversified Fund Equinox Frontier Masters Fund 
Class 1 Class 2 Class 2 Class 3 Class 3     Class 1 Class 2 Class 2 Class 3 Class 3      Equinox Frontier Diversified Fund Equinox Frontier Masters Fund 
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  Class 1 Class 2 Class 2 Class 3 Class 3     Class 1 Class 2 Class 2 Class 3 Class 3     
 

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, 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   $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

 487,852   —     759,658   —     1,813,483   —     3,060,993   197,260   —     5,000   —     663,443   —     865,703   1,270,579    —     1,189,861    —     3,413,792    —     5,874,232   989,895    —     10,000    —     2,498,048    —     3,497,943  

Redemption of Units

 (2,417,127 —     (5,722,101 —     (597,357 —     (8,736,585 (950,034 —     (247,295 —     (1,228,567 —     (2,425,896 (5,313,927  —     (6,218,435  —     (1,578,475  —     (13,110,837 (3,183,426  —     (483,171  —     (1,625,851  —     (5,292,448

Change in control of ownership - Trading Companies

 —     —     —     —     —     (4,686,248 (4,686,248 —     —     —     —     —     —     —      —      —      —      —      —     (8,316,485 (8,316,485  —      —      —      —      —      —      —    

Operations attributable to non-controlling interests

 —     —     —     —     —     3,313,397   3,313,397   —     —     —     —     —     —     —      —      —      —      —      —     2,991,055   2,991,055    —      —      —      —      —      —      —    

Payment made by the Managing Owner

 47,134   82,416   14,799   144,349   —     —     —     —     —     —     —     47,134    —     82,416    —     14,799    —     144,349    —      —      —      —      —      —      —    

Net increase/(decrease) in Owners’ Capital resulting from operations

 2,955,124   425,746   5,285,982   5,374   1,044,840   —     9,717,066   1,161,295   76,466   845,640   3,484   491,509   —     2,578,394  

Net increase/(decrease) in Owners’

              

Capital resulting from operations

 741,938   77,149   1,363,404   1,010   28,202    —     2,211,703   (579,660 (34,938 (355,854 (1,543 (243,485  —     (1,215,480
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, March 31, 2015

$20,268,019  $2,942,625  $33,113,368  $37,006  $7,832,414  $11,044,916  $75,238,348  $12,259,432  $799,673  $8,748,881  $36,225  $4,881,844  $—    $26,726,055  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, June 30, 2015

 $15,940,760   $2,594,028   $29,124,659   $32,642   $7,434,967   $7,092,337   $62,219,393   $9,077,720   $688,269   $7,316,511   $31,198   $5,584,171   $—     $22,697,869  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital - Units, December 31, 2014

 169,725   14,576   267,958   275   48,308   101,632   5,627   63,376   275   41,622   169,725   14,576   267,958   275   48,308     101,632   5,627   63,376   275   41,622    

Sale of Units

 3,917   —     5,418   —     14,621   1,567   —     38   —     5,243   10,551    —     8,618    —     26,878     7,886    —     77    —     20,733    

Redemption of Units

 (19,695 —     (40,590 —     (4,724 (7,705 —     (1,852 —     (9,805 (42,325  —     (44,302  —     (12,549   (27,004  —     (3,637  —     (13,133  
 

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

  

 

   

Owners’ Capital - Units, March 31, 2015

 153,947   14,576   232,786   275   58,205   95,494   5,627   61,562   275   37,060  
 

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

  

 

   

Owners’ Capital - Units, June 30, 2015

 137,951   14,576   232,274   275   62,637     82,514   5,627   59,816   275   49,222    
 

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

  

 

   
     (1)      (1)      (1)      (1)      (1)     (1)        (1)     (1)   

Net asset value per unit at December 31, 2014

$113.09  $124.67  $115.03  $116.61  $128.53  $119.06   $113.09    $124.67    $115.03     $116.61    $128.53    $119.06    

Change in net asset value per unit for the three months ended March 31, 2015

 18.57   21.09   19.54   11.77   13.59   12.67  

Change in net asset value per unit for the six months ended June 30, 2015

 2.46    3.82    3.67     (6.60  (6.21  (5.61  
 

 

   

 

   

 

    

 

   

 

   

 

    

 

   

 

   

 

    

 

   

 

   

 

   

Net asset value per unit at June 30, 2015

 $115.55    $128.49    $118.70     $110.01    $122.32    $113.45    
 

 

   

 

   

 

    

 

   

 

   

 

   

Net asset value per unit at March 31, 2015

$131.66  $145.76  $134.57  $128.38  $142.12  $131.73  
 

 

   

 

   

 

    

 

   

 

   

 

   

 

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

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

The Series of Equinox Frontier Funds

Statements of Changes in Owners’ Capital

For the ThreeSix Months Ended March 31,June 30, 2015

(Unaudited)

 

 Equinox Frontier Long/Short Commodity Fund 
 Class 2 Class 3 Class 1a Class 2a Class 3a    Equinox Frontier Long/Short Commodity Fund 
 Managing
Owner
 Limited
Owners
 Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Total  Class 2 Class 3 Class 1a Class 2a Class 3a   
 Managing
Owner
 Limited Owners Limited Owners Limited Owners Managing Owner Limited Owners Managing Owner Limited Owners Total 

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   $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

  —      —      —      —      —     5,000    —     41,303   46,303    —      —      —     23,000    —     5,000    —     120,785   148,785  

Redemption of Units

  —     (46,260 (226,216 (414,752  —     (109,918  —     (42,766 (839,912  —     (181,144 (454,734 (874,536  —     (281,680  —     (90,453 (1,882,547

Payment made by the Managing Owner

  69,364   397,940   312,393    90,860    36,605   907,162    —     69,364   397,940   312,393    —     90,860    —     36,605   907,162  

Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests

 85,430   92,680   1,033,292   773,746   49,207   187,032   2,440   92,354   2,316,181  

Net increase/(decrease) in Owners’

          —    

Capital resulting from operations attributable to controlling interests

 30,397   (3,100 133,026   68,951   17,085   15,092   860   8,772   271,083  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, March 31, 2015

$511,807  $935,888  $8,438,115  $6,448,293  $296,641  $1,628,091  $14,668  $773,150  $19,046,653  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, June 30, 2015

 $456,774   $705,224   $7,309,331   $5,306,714   $264,519   $1,284,389   $13,088   $721,363   $16,061,402  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital - Units, December 31, 2014

 3,083   5,930   52,285   57,130   2,222   13,069   109   5,777   3,083   5,930   52,285   57,130   2,222   13,069   109   5,777   

Sale of Units

 —     —     —     —     —     40   —     316    —      —      —     211    —     40    —     969   

Redemption of Units

 —     (292 (1,471 (3,708 —     (912 —     (326  —     (1,170 (2,965 (7,823  —     (2,318  —     (716 
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Owners’ Capital - Units, March 31, 2015

 3,083   5,638   50,814   53,422   2,222   12,197   109   5,767  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

Owners’ Capital - Units, June 30, 2015

 3,083   4,760   49,320   49,518   2,222   10,791   109   6,030   
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  
  (1)   (1)   (1)     (1)       (1)     (1)  

Net asset value per unit at December 31, 2014

$138.30  $138.34  $101.12  $111.35  $111.77    $138.30   $138.34   $101.12    $111.35    $111.77   

Change in net asset value per unit for the three months ended March 31, 2015

 27.90   27.72   19.58   22.14   22.32  

Change in net asset value per unit for the six months ended June 30, 2015

  9.86   9.86   6.05    7.68    7.87   
  

 

  

 

  

 

   

 

   

 

    

 

  

 

  

 

   

 

   

 

  

Net asset value per unit at June 30, 2015

  $148.16   $148.20   $107.17    $119.03    $119.64   
  

 

  

 

  

 

   

 

   

 

  

Net asset value per unit at March 31, 2015

$166.20  $166.06  $120.70  $133.49  $134.09  
  

 

  

 

  

 

   

 

   

 

  

 

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

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

The Series of Equinox Frontier Funds

Statements of Changes in Owners’ Capital

For the ThreeSix Months Ended March 31,June 30, 2015

(Unaudited)

 

 Equinox Frontier Balanced Fund 
 Class 1 Class 1AP Class 2 Class 2a Class 3a       Equinox Frontier Balanced Fund 
 Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Limited
Owners
 Non-Controlling
Interests
 Total   Class 1 Class 1AP Class 2 Class 2a Class 3a     
  Limited Owners Limited Owners Managing
Owner
 Limited Owners Managing
Owner
 Limited
Owners
 Limited Owners Non-Controlling
Interests
 Total 

Owners’ Capital, December 31, 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    $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

 56,154   1,457    —     4,315    —      —      —      —     61,926     117,365   1,457    —     9,409    —      —      —      —     128,231  

Redemption of Units

 (3,119,131 (11,615  —     (196,584  —     (60,850 (47,479  —     (3,435,659   (4,065,683 (39,001  —     (524,931  —     (60,850 (52,948  —     (4,743,413

Change in control of ownership - Trading Companies

  —      —      —      —      —      —      —     (8,327,863 (8,327,863   —      —      —      —      —      —      —     (8,126,145 (8,126,145

Contributions

  —      —      —      —      —      —      —      —      —       —      —      —      —      —      —      —      —      —    

Distributions

  —      —      —      —      —      —      —      —      —       —      —      —      —      —      —      —      —      —    

Payment made by the Managing Owner

 115,486   1,222    38,375    885   4,131    160,099     115,486   1,222    —     38,375    —     885   4,131    —     160,099  

Operations attributable to non-controlling interests

  —      —      —      —      —      —      —     830,142   830,142     —      —      —      —      —      —      —     356,146   356,146  

Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests

 9,159,120   102,917   198,971   3,035,438   26,899   51,195   352,748    —     12,927,288  

Net increase/(decrease) in Owners’

          

Capital resulting from operations attributable to controlling interests

   297,028   12,923   24,447   376,969   4,132   8,852   54,675    —     779,026  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, March 31, 2015

$78,309,904  $842,256  $1,624,326  $25,006,886  $216,243  $402,173  $2,837,703  $1,446,553  $110,686,044  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital, June 30, 2015

  $68,562,471   $724,876   $1,449,802   $22,025,164   $193,476   $359,830   $2,534,161   $1,174,275   $97,024,055  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Owners’ Capital - Units, December 31, 2014

 548,117   5,618   7,956   123,491   1,237   2,686   16,577     548,117   5,618   7,956   123,491   1,237   2,686   16,577    

Sale of Units

 398   10   —     23   —     —     —       830   10    —     48    —      —      —      

Redemption of Units

 (22,222 (79 —     (1,037 —     (384 (286   (28,818 (277  —     (2,680  —     (384 (316  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

     

 

  

 

  

 

  

 

  

 

  

 

  

 

   

Owners’ Capital - Units, March 31, 2015

 526,293   5,549   7,956   122,477   1,237   2,302   16,291  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

   

Owners’ Capital - Units, June 30, 2015

   520,129   5,351   7,956   120,859   1,237   2,302   16,261    
  

 

  

 

  

 

  

 

  

 

  

 

  

 

   
   (1)    (1)       (1   (1   

Net asset value per unit at December 31, 2014

$131.54  $133.20  $179.16  $153.02  $152.52    $131.54   $133.20    $179.16    $153.02   $152.52    

Change in net asset value per unit for the three months ending March 31, 2015

 17.26   18.60   25.01   21.74   21.67  

Change in net asset value per unit for the six months ending June 30, 2015

   0.28   2.29    3.08    3.34   3.33    
 

 

  

 

   

 

   

 

  

 

     

 

  

 

   

 

   

 

  

 

   

Net asset value per unit at June 30, 2015

  $131.82   $135.49    $182.24    $156.36   $155.85    
  

 

  

 

   

 

   

 

  

 

   

Net asset value per unit at March 31, 2015

$148.80  $151.80  $204.17  $174.76  $174.19  
 

 

  

 

   

 

   

 

  

 

   

 

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

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

The Series of Equinox Frontier Funds

Statements of Changes in Owners’ Capital

For the ThreeSix Months Ending March 31,June 30, 2015

(Unaudited)

 

 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     
 Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Non-Controlling
Interests
 Total Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Total Limited
Owners
 Limited
Owners
 Managing
Owner
 Limited
Owners
 Non-Controlling
Interests
 Total 

Owners’ Capital, December 31, 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

 4,734   930   —     —     —     5,664   45,490   —     —     —     45,490   10,456   1,288   —     —     —     11,744  

Redemption of Units

 (261,695 —     —     (79,199 —     (340,894 (940,759 —     —     —     (940,759 (238,356 —     —     (93,986 —     (332,342

Change in control of ownership - Trading Companies

 —     —     —     —     6,674,834   6,674,834   —     —     —     —     —     —     —     —     —     (856 (856

Operations attributable to non-controlling interests

 —     —     —     —     682,333   682,333   —     —     —     —     —     —     —     —     —     967,115   967,115  

Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests

 1,494,306   5,697   1,073   181,987   —     1,683,063   2,375,180   3,756   4,616   1,292,739   3,676,291   1,304,973   8,417   10,847   443,450   —     1,767,687  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, March 31, 2015

$14,900,908  $54,412  $10,125  $1,651,866  $7,357,167  $23,974,478  $28,350,789  $41,798  $51,380  $14,388,288  $42,832,255  $10,838,892  $68,083  $86,468  $3,481,025  $4,505,757  $18,980,225  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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

 47   9   —     —     249   —     —     —     75   9   —     —    

Redemption of Units

 (2,603 —     —     (564 (5,225 —     —     —     (1,704 —     —     (494
 

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital - Units, March 31, 2015

 140,357   503   70   11,494   147,741   214   207   57,886   73,298   452   428   17,242  
 

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   
     (1)      (1)      (1) 

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 three months ended March 31, 2015

 10.55   11.49   15.25   15.95   17.59   22.33   17.59   18.93   25.33  
 

 

 

  

 

 

   

 

 

    

 

 

  

 

 

   

 

 

   

 

 

  

 

 

   

 

 

   

Net asset value per unit at March 31, 2015

$106.16  $108.31  $143.73  $191.90  $195.77  $248.56  $147.87  $150.86  $201.89  
 

 

 

  

 

 

   

 

 

    

 

 

  

 

 

   

 

 

   

 

 

  

 

 

   

 

 

   

  Equinox Frontier Select Fund  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
  Class 1  Class
1AP
  Class 2  

Non-

Controlling
Interests

     Class 1  Class
1AP
  Class 2     Class 1  Class
1AP
  Class 2  

Non-

Controlling
Interests

    
  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
   Total  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
  Total  Limited
Owners
  Limited
Owners
  Managing
Owner
  Limited
Owners
   Total 

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

  10,068    930    —      —      —      10,998    93,346    —      —      —      93,346    21,905    1,288    —      —      —      23,193  

Redemption of Units

  (545,555  —      —      (152,448  —      (698,003  (1,185,987  —      —      (148,360  (1,334,347  (356,862  —      —      (112,648  —      (469,510

Change in control of ownership - Trading Companies

  —      —      —      —      6,595,623    6,595,623    —      —      —      —      —      —      —      —      —      (27,363  (27,363

Operations attributable to non-controlling interests

  —      —      —      —      (684,237  (684,237  —      —      —      —      —      —      —      —      —      127,516    127,516  

Net increase/(decrease) in Owners’

                 

Capital resulting from operations attributable to controlling interests

  (1,127,421  (3,631  (663  (98,401  —      (1,230,116  (1,458,333  (1,647  (2,025  (561,773  (2,023,778  (285,834  (1,172  (1,330  (45,845  —      (334,181
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Owners’ Capital, June 30, 2015

 $12,000,655   $45,084   $8,389   $1,298,229   $5,911,386   $19,263,743   $24,319,904   $36,395   $44,739   $12,385,416   $36,786,454   $9,141,028   $58,494   $74,291   $2,973,068   $3,639,651   $15,886,532  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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

  101    9    —      —        515    —      —      —       158    9    —      —      

Redemption of Units

  (5,564  —      —      (1,155    (6,591  —      —      (661   (2,596  —      —      (596  
 

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   

Owners’ Capital - Units, June 30, 2015

  137,450    503    70    10,903      146,641    214    207    57,225     72,489    452    428    17,140    
 

 

 

  

 

 

  

 

 

  

 

 

    

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

   
      (1)         (1)        (1)   

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 six months ended June 30, 2015

  (8.30  (7.08   (9.39    (10.10  (7.72   (9.80   (4.18  (2.32   (3.11  
 

 

 

  

 

 

   

 

 

    

 

 

  

 

 

   

 

 

   

 

 

  

 

 

   

 

 

   

Net asset value per unit at June 30, 2015

 $87.31   $89.74    $119.09     $165.85   $170.46    $216.43    $126.10   $129.61    $173.45    
 

 

 

  

 

 

   

 

 

    

 

 

  

 

 

   

 

 

   

 

 

  

 

 

   

 

 

   

 

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

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

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the ThreeSix Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

  Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short
Commodity Fund
 
  3/31/2015 3/31/2014 3/31/2015 3/31/2014 3/31/2015 3/31/2014  Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short
Commodity Fund
 
 6/30/2015 6/30/2014 6/30/2015 6/30/2014 6/30/2015 6/30/2014 

Cash Flows from Operating Activities:

             

Net increase/(decrease) in capital resulting from operations

  $13,030,463   $(2,619,266 $2,578,394   $(1,615,359 $2,316,181   $(4,424,801 $2,211,703   $(71,992 $(1,215,480 $(45,939 $271,083   $(3,173,497

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

   645,700    —      —      —      —     (217,385 3,786,757    —      —      —      —     (191,069

Net change in options purchased, at fair value

   (36,590  —      —      —      —     (1,769,922 (86,056  —      —      —      —     98,740  

Net change in options written, at fair value

   (145,851  —      —      —      —     1,130,558   (33,358  —      —      —      —     (172,650

Net change in ownership allocation of U.S. Treasury securities

   (178,938 544,792   3,311,932   1,906,051   (699,172 1,780,329   102,792   (3,148,617 3,692,889   3,061,783   947,060   2,706,178  

Net realized (gain) on swap contracts

   —      —      —      —      —      —      —      —      —      —      —      —    

Net unrealized (gain)/loss on swap contracts

   (2,988,716 579,402    —      —     (668,912 424,783   (1,044,760 391,235    —      —     328,851   238,462  

Net unrealized (gain)/loss on U.S. Treasury securities

   (684,086 (1,348,616 (344,244 (776,321 (128,767 (581,928 583,896   (1,883,962 228,422   (1,060,897 217,117   (774,729

Net realized (gain)/loss on U.S. Treasury securities

   —     110,584    —     62,525    —     48,820   (133,349 127,713   (56,105 71,630   (33,884 54,879  

(Purchases) sales of:

             

Sales of U.S. Treasury securities

   —     9,588,033    —     5,408,075    —     4,227,410   6,214,322   14,517,974   2,729,817   8,028,811   1,713,661   5,971,219  

Purchase of U.S. Treasury securities

   (4,787,243  —     (2,291,604  —     (1,395,765  —     (4,787,243  —     (2,291,604  —     (1,395,765  —    

Purchase of Swap contracts

   —      —      —      —     (1,000,000  —      —      —      —      —     (1,000,000  —    

Increase and/or decrease in:

             

Receivable from futures commission merchants

   3,217,669    —      —      —      —     1,545,086   8,060,422    —      —      —      —     7,836,808  

Change in control of ownership - trading companies

   (4,686,248 (325,371  —      —      —     2,079,617   (5,325,430 (325,371  —      —      —     (2,462,220

Investments in unconsolidated trading companies, at fair value

   129,407   (906,402 (3,013,677 (491,687 813,933   165,450   395,915   3,087,509   (865,542 (172,000 (82,140 (2,457,886

Prepaid service fees - Class 1

   (5,050 1,167   (1,732 6,840   322   1,854   (14,084 (1,665 114   9,544   95   2,002  

Interest receivable

   267,335   365,202   160,364   230,960   66,333   170,111   (21,022 32,060   45,052   91,642   10,323   77,778  

Receivable from related parties

   —     1,035   598   (14,714 338   (22  —     1,035   74   (1,206 530   (128

Other assets

   249,997    —      —      —      —      —     249,997    —      —      —      —      —    

Incentive fees payable to Managing Owner

   (753,583 (143,466 (186,742 13,712   80,556    —     (2,383,825 379,279   (680,972 168,094   (118,511  —    

Management fees payable to Managing Owner

   1,797   (10,941 2,966   (21,104 (1,799 (8,283 (3,010 (15,618 (4,185 (28,933 349   (44,175

Interest payable to Managing Owner

   910   (2,745 (773 (1,982 747   (2,848 (370 (4,543 (1,160 (3,798 (97 (3,948

Trading fees payable to Managing Owner

   10,676   (16,034 932   (14,501 1,010   (10,056 (8,657 (25,282 (5,099 (21,589 (2,810 (14,458

Service fees payable to Managing Owner

   (909 (7,205 3,951   (8,034 516   (3,747 1,745   (11,281 (1,808 (16,297 (1,413 (5,090

Payables to related parties

   1,135    —      —      —      —      —     1,172    —      —      —      —      —    

Other liabilities

   —     1,440    —      —     (1  —      —     1,813    —      —      —      —    
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net cash provided by (used in) operating activities

 3,287,875   5,811,609   220,365   4,684,461   (614,480 4,555,026   7,767,557   13,050,287   1,574,413   10,080,825   854,449   7,686,216  
  

 

  

 

  

 

  

 

  

 

  

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 

Cash Flows from Financing Activities:

      

Proceeds from sale of units

 3,060,993   1,303,503   865,703   752,596   46,303   303,597   5,874,232   2,717,767   3,497,943   2,939,625   148,785   401,977  

Payment for redemption of units

 (8,736,585 (7,763,286 (2,425,896 (5,960,619 (839,912 (5,208,551 (13,110,837 (13,973,647 (5,292,448 (12,287,701 (1,882,547 (7,567,551

Payment made by the Managing Owner

 144,349   —     —     —     907,163   —     144,349    —      —      —     907,162    —    

Pending owner additions

 280   12,002   239   (42 —     —     (207 (1,463 (490 (18  —      —    

Owner redemptions payable

 150,010   (70,610 37,184   45,129   (8,935 (22,293 (57,953 335,367    —     (3,102 (18,782 (91,056
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net cash provided by (used in) financing activities

 (5,380,953 (6,518,391 (1,522,770 (5,162,936 104,619   (4,927,247 (7,150,416 (10,921,976 (1,794,995 (9,351,196 (845,382 (7,256,630
  

 

  

 

  

 

  

 

  

 

  

 

 
 

 

  

 

  

 

  

 

  

 

  

 

 

Net increase (decrease) in cash and cash equivalents

 (2,093,078 (706,782 (1,302,405 (478,475 (509,861 (372,221 617,141   2,128,311   (220,582 729,629   9,067   429,586  

Cash and cash equivalents, beginning of period

 4,210,638   1,827,897   2,199,066   1,125,954   1,110,779   810,418   4,210,638   1,827,897   2,199,066   1,125,954   1,110,779   810,418  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Cash and cash equivalents, end of period

$2,117,560  $1,121,115  $896,661  $647,479  $600,918  $438,197   $4,827,779   $3,956,208   $1,978,484   $1,855,563   $1,119,846   $1,240,004  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

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

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the ThreeSix Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

  Equinox Frontier Balanced Fund Equinox Frontier Select Fund  Equinox Frontier Balanced Fund Equinox Frontier Select Fund 
  3/31/2015 3/31/2014 3/31/2015 3/31/2014  6/30/2015 6/30/2014 6/30/2015 6/30/2014 

Cash Flows from Operating Activities:

         

Net increase/(decrease) in capital resulting from operations

  $13,757,430   $(3,711,819 $2,365,396   $(1,043,766 $779,026   $848,007   $(1,230,116 $(432,776

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

   3,028,571   1,550,802   (958,673  —     4,076,512   1,631,455   (55,956  —    

Net change in options purchased, at fair value

   —     (37,228  —      —      —     165,915    —      —    

Net change in options written, at fair value

   —     (114,446  —      —      —     (183,856  —      —    

Net change in ownership allocation of U.S. Treasury securities

   (8,010,664 125,990   3,949,649   326,279   (10,786,387 1,384,849   4,418,169   551,952  

Net unrealized (gain)/loss on swap contracts

   (5,226,678 1,485,685    —      —     (244,680  —      —      —    

Net realized (gain)/loss on swap contracts

   —      —      —      —      —     630,474    —      —    

Net unrealized (gain)/loss on U.S. Treasury securities

   (737,851 (2,447,648 (159,412 (357,469 1,389,049   (3,414,775 (32,740 (496,053

Net realized (gain)/loss on U.S. Treasury securities

   —     194,409    —     30,381   (215,325 225,870   (12,618 34,988  

(Purchases) sales of:

         

Sales of U.S. Treasury securities

   —     17,026,142    —     2,630,713   10,249,014   26,111,089   600,508   3,956,690  

Purchases of U.S. Treasury securities

   (6,360,723  —     (911,929  (6,360,723  —     (911,929  —    

Increase and/or decrease in:

         

Receivable from futures commission merchants

   11,523,045   (1,894,177 (14,715,637  —     13,267,929   10,787,977   (12,410,448  —    

Change in control of ownership - trading companies

   (8,327,863 4,077,939   6,674,834    —     (7,769,999 (8,927,933 5,911,386    —    

Investments in unconsolidated trading companies, at fair value

   901,079   1,011,247   3,368,672   (300,837 4,010,131   (5,848,870 4,088,872   (455,524

Prepaid service fees - Class 1

   —     185    —      —      —     234    —      —    

Interest receivable

   315,275   652,079   78,965   100,069   (171,799 178,389   58,145   33,530  

Receivable from other series

   —      —      —      —      —      —      —      —    

Receivable from related parties

   —      —      —      —      —      —      —      —    

Other assets

   250,000   465    —      —     250,003   45    —      —    

Incentive fees payable to Managing Owner

   (306,361 (140,639 (26,820  —     (1,783,801 210,121   (185,791 26,677  

Management fees payable to Managing Owner

   (7,383 (13,847 1,127   (2,052 (9,562 (24,391 (1,770 (1,557

Interest payable to Managing Owner

   26,134   (29,295 (5,884 (5,039 16,064   (51,818 (6,812 (8,194

Trading fees payable to Managing Owner

   5,207   (11,114 733   (1,804 (844 (17,116 (834 (2,307

Service fees payable to Managing Owner

   9,510   (22,168 3,196   (4,889 (10,950 (43,842 (2,903 (7,625

Payables to related parties

   2,462   2,934   97   161   4,500   5,004   211   269  

Other liabilities

   —      —      —      —      —      —      —      —    
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net cash provided by (used in) operating activities

 841,190   17,705,496   (335,686 1,371,747   6,688,158   23,666,828   225,374   3,200,070  
  

 

  

 

  

 

  

 

 
 

 

  

 

  

 

  

 

 

Cash Flows from Financing Activities:

    

Proceeds from sale of units

 61,926   43,169   5,664   2,594   128,231   83,053   10,998   4,943  

Payment for redemption of units

 (3,435,656 (10,919,584 (340,894 (1,542,977 (4,743,413 (20,064,605 (698,003 (2,846,634

Payment made by the Managing Owner

 160,098   —     —     —     160,099    —      —      —    

Pending owner additions

 2,872   (1,774 387   (164 (560 (2,731 (74 (153

Owner redemptions payable

 (1,542 (557,253 (124 (31,088 (13,705 (821,324 (15,432 17,098  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net cash provided by (used in) financing activities

 (3,212,302 (11,435,442 (334,967 (1,571,635 (4,469,348 (20,805,607 (702,511 (2,824,746
  

 

  

 

  

 

  

 

 
 

 

  

 

  

 

  

 

 

Net increase (decrease) in cash and cash equivalents

 (2,371,112 6,270,054   (670,653 (199,888 2,218,810   2,861,221   (477,137 375,324  

Cash and cash equivalents, beginning of period

 5,644,510   3,292,570   878,280   494,931   5,644,510   3,292,570   878,280   494,931  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Cash and cash equivalents, end of period

$3,273,398  $9,562,624  $207,627  $295,043   $7,863,320   $6,153,791   $401,143   $870,255  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

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

The Series of Equinox Frontier Funds

Statements of Cash Flows

For the ThreeSix Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

  Equinox Frontier Winton Fund Equinox Frontier Heritage Fund 
  3/31/2015 3/31/2014 3/31/2015 3/31/2014   Equinox Frontier Winton Fund Equinox Frontier Heritage Fund 
  6/30/2015 6/30/2014 6/30/2015 6/30/2014 

Cash Flows from Operating Activities:

          

Net increase/(decrease) in capital resulting from operations

  $3,676,291   $(631,089 $2,734,802   $(1,412,412  $(2,023,778 $1,420,061   $(334,181 $(250,188

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

   —      —      —      —       —      —      —      —    

Net change in ownership allocation of U.S. Treasury securities

   1,797,790   (4,057,168 524,232   (273,040   2,175,647   (3,994,960 687,650   302,509  

Net unrealized (gain)/loss on swap contracts

   —      —     (2,059,865 1,208,563     —      —     (268,786 462,653  

Net realized (gain)/loss on swap contracts

   —      —      —      —       —      —      —      —    

Net unrealized (gain) loss on U.S. Treasury securities, at fair value

   (553,885 (972,190 (126,818 (300,004   616,192   (1,429,792 139,126   (422,594

Net realized (gain) loss on U.S. Treasury securities, at fair value

   —     83,129    —     24,819     (111,546 97,349   (25,632 28,835  

(Purchases) sale of:

          

Sales of U.S. Treasury Securities

   —     7,256,341    —     2,160,943     5,740,839   11,348,872   1,293,839   3,316,905  

Purchases of U.S. Treasury Securities

   (4,444,636  (1,004,975    (4,444,636  —     (1,004,975  —    

Increase and/or decrease in:

          

Change in control of ownership of trading companies

   —      —     (856 855     —      —     100,153   855  

Investments in unconsolidated trading companies, at fair value

   (1,493,014 (577,839 (180,521 (95,628   730,619   (2,247,207 145,343   (480,022

Interest receivable

   267,277   242,710   62,111   82,302     15,769   6,900   6,653   24,563  

Receivable from related parties

   —      —      —      —       —      —      —      —    

Other assets

   —      —      —      —       —      —      —      —    

Incentive fees payable to Managing Owner

   (462,955 (100,260 (106,649 (3,220   (1,178,364 315,369   (239,327 71,588  

Management fees payable to Managing Owner

   314   (31,751 (589 (1,135   (12,571 (28,976 (4,245 (384

Interest payable to Managing Owner

   2,705   (6,143 342   (4,261   (2,403 (10,769 (805 (6,906

Trading fees payable to Managing Owner

   907   (1,930 677   (1,609   (1,727 (2,019 (371 (1,961

Service fees payable to Managing Owner

   501   (3,867 2,178   (3,721   (6,465 (4,913 (1,220 (6,039

Payables to related parties

   4,220   3,282   286   1,170     7,984   5,133   595   1,386  

Other liabilities

   —      —      —      —       —      —      —     3,500  
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net cash provided by (used in) operating activities

 (1,204,485 1,203,225   (155,645 1,383,622     1,505,560   5,475,048   493,817   3,044,700  
  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

 

Cash Flows from Financing Activities:

     

Proceeds from sale of units

 45,490   33,929   11,744   6,040     93,346   67,734   23,193   11,982  

Payment for redemption of units

 (940,759 (1,550,061 (332,342 (1,535,404   (1,334,347 (3,788,762 (469,510 (2,700,710

Pending owner additions

 811   (330 560   (883   (1,408 (1,268 (47 (796

Owner redemptions payable

 (21,902 (40,167 (18,735 —       (21,902 (76,900 (21,408  —    
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net cash provided by (used in) financing activities

 (916,360 (1,556,629 (338,773 (1,530,247   (1,264,311 (3,799,196 (467,772 (2,689,524
  

 

  

 

  

 

  

 

 
  

 

  

 

  

 

  

 

 

Net increase (decrease) in cash and cash equivalents

 (2,120,845 (353,404 (494,418 (146,625   241,249   1,675,852   26,045   355,176  

Cash and cash equivalents, beginning of period

 4,012,974   1,325,731   921,598   424,001     4,012,974   1,325,731   921,598   424,001  
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Cash and cash equivalents, end of period

$1,892,129  $972,327  $427,180  $277,376    $4,254,223   $3,001,583   $947,643   $779,177  
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

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

The Series of Equinoxthe Frontier FundsFund

Notes to Financial Statements (Unaudited)

1. Organization and Purpose

Equinox Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this periodic report. The Trust is amulti-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, Equinox Fund Management, LLC (the “Managing Owner”).

Purchasers of Units are limited owners of the Trust (“Limited Owners”) with respect to beneficial interests of the Series’ Units purchased. The Trust Act provides that, except as otherwise provided in the second amended and restated declaration of trust and trust agreement dated December 9, 2013, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as may be 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 the Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust.

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

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

The Trust, with respect to each Series:

 

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

 

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

 

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

 

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

 

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

 

maintains each Series of Units in three to six sub-classes—classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units.

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

 

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

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

As of March 31,June 30, 2015, the Trust, with respect to the Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Equinox Frontier Balanced Fund and the Equinox Frontier Long/Short Commodity Fund separates Units into a maximum of six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are 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.

As of March 31,June 30, 2015, 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 and one or more Trading Advisors may manage the assets invested in such Trading Companies.

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

On November 26, 2014, the Trust’s portfolio management team approved an allocation change in an Emil Van Essen trading program that was not fully implemented as intended. As a result, certain series who invested in Emil Van Essen were not allocated sufficient gains and certain other series who invested in Emil Van Essen suffered greater losses. In January 2015, the Managing Owner determined to make a payment to the affected investors within the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund and Equinox Frontier Long/Short Commodity Fund, in the aggregate amount of $1,247,752$1,211,610 to reimburse the effect of the missed gain or higher loss on such investors in the series, and such amount was recorded in the Statements of Changes in Owners’ Capital as Payment Made by the Managing Owner.

2. Significant Accounting Policies

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

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

Consolidation—The Series, through investing in the Trading Companies, 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, all of which is allocated to the Series. Trading Companies in which a Series has a controlling and majority equity interest are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest are accounted for under the equity method, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company. The equity interest held by Series of the Trust is shown as investments in unconsolidated trading companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated trading companies.

As of March 31,June 30, 2015, the consolidated balance sheet of Equinox Frontier Balanced Fund included the assets and liabilities of its majority owned Trading Companies. These Trading Companies include Frontier Trading Company XIV, LLC, Frontier Trading Company XXIII, LLC, Frontier Trading Company XXIX, LLC and Frontier Trading Company XXXIV, LLC.

For the threesix months ended March 31,June 30, 2015, the consolidated income statement of Equinox Frontier Balanced Fund included the earnings of its majority owned Trading Companies listed above.

As of March 31,June 30, 2015, the consolidated balance sheet of Equinox Frontier Long/Short Commodity Fund included the assets and liabilities of its majority owned Trading Company, Frontier Trading Company XXXVII, LLC.

For the threesix months ended March 31,June 30, 2015, the consolidated income statement of Equinox Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading Companies listed aboveabove.

As of March 31,June 30, 2015, the consolidated balance sheet of Equinox Frontier Diversified Fund included the assets and liabilities of its majority owned Frontier Trading Company I, LLC and, Frontier Trading Company XXXV, LLC.

For the threesix months ended March 31,June 30, 2015, the consolidated income statement of Equinox Frontier Diversified Fund included the earnings of its majority owned Trading Companies listed above.

As of and for the threesix months ended March 31,June 30, 2015, the consolidated balance sheet and income statement of Equinox Frontier Heritage Fund included the assets, liabilities and earnings of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC.

As of and for the threesix months ended March 31,June 30, 2015, the consolidated balance sheet and income statement of Equinox Frontier Select Fund included the assets, liabilities and earnings of its majority owned Trading Company, Frontier Trading Company XV, LLC except for the earnings from January 1, 2015 to January 2, 2015.

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 assets, liabilities and earnings are allocated to all the Series of the Trust based on their proportionate share of the cash pool.

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

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

Interest Income—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), Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1a, Class 2a and Class 3a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations.

U.S. Treasury Securities are pooled for 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.

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

Receivable From Futures Commission Merchants—The Series of the Trust deposit assets with 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.

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

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

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

Allocation of Earnings—Each Series of the Trust may maintain between three or six classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a). 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 and Class 3a Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series.

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust. 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). The value of all open contracts and cash held at clearing brokers is similarly allocated to the Series in proportion to each Series’ funds allocated to the Trading Company, or Companies.

Investments and Swaps—The Trust, with respect to the Series, records investment transactions on a trade date basis and at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. 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 Ownercounterparty values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. This fair value is corroborated by valuations provided by a third party pricing service on

a daily basis. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable; and quality control testing procedures in place.

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust, with respect to the Series’, financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series. The 2011 through 2014 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series.

Service Fees—The Trust may maintain each Series of Units in three to six sub-classes—classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents.

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

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

Recently Adopted Accounting Pronouncements—In September of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in other investment companies; and (iii) require additional disclosures for investment companies under GAAP. This guidance is effective for annual and interim periods beginning on or after December 15, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance did not have a material impact on the financial positions or results of operations.

Recently Issued Accounting Pronouncements—Recently Issued Accounting PronouncementsIn May of 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2015-07,Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (a consensus of the FASB Emerging Issues Task Force). This ASU removes the requirement to categorize within the fair value hierarchy investments for which fair values are measured at NAV using the practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using that practical expedient. The ASU is effective for public business entities for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. For all other entities, the ASU is effective for fiscal years beginning after December 15, 2016 and interim periods within those fiscal years. A reporting entity should apply the amendments retrospectively to all periods presented. Earlier application is permitted.

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 is not expected to have a material effect on the Trust’s financial statements. Early adoption is

permitted. In May 2014 the FASB issued a final standard on revenue from contracts with customers. The standard, issued as FASB ASU 2014-09, “Revenue from Contracts with Customers” (“ASU 2014-09”), outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. The ASU is effective for interim and annual reporting periods beginning after December 15, 2016. Early adoption is not permitted. A full retrospective or modified retrospective approach may be taken to adopt the guidance in the ASU. The Trust is currently evaluating the impact of the provisions of ASU 2014-09 on its consolidated financial position, results of operations and related disclosures.

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

3. Fair Value Measurements

In connection with the valuation of investments the Series apply 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 assetsasset 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 assetsasset 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 the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value basedbasis upon daily reports from the counterparty. The Managing Ownercounterparty values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the

counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. The fair value is corroborated through the use of a third party pricing service (“pricing service”). The valuation requires significant estimates utilizing Level 3 inputs, corroborated by management through the use of a third party pricing service.service (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable,unobservable; and quality control testing procedures in place. The pricing service’s methodology includes performance of tolerance testing on its valuation

models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, e.g.i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each Swap and its subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by senior a senior financial engineer to ensure the design and function of the model is stable and performs as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Management CommitteeCommitee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee’s designeecommittee monitors daily pricing provided by the swap counterparty and daily valuation provided by the third party pricing service. The valuation committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provided by the pricing service.

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. AThe Series may redeem itstheir investment in any of the Trading Companiestrading companies on a daily basis at the Trading Company’s stated net asset value. Each ofvalue and therefore the inputs qualify for Level 2. However, as the Series, all of which are under the same management as the Trading Companies, hashave access to the underlying positions of the Trading Companies, and as such, the level determination isare reflected on that look-through basis. Any redemption of an investmentAs such, the Series report investments in aunconsolidated Trading Company classified as Level 3 will reflect that classificationCompanies at fair value using the corresponding inputs of the underlying investment owned bysecurities of the Trading Companies which results in the Series reporting the corresponding Level determination from the inputs of the Trading Company.

The following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by Series, measured at fair value on a recurring basis as of March 31,June 30, 2015 and December 31, 2014 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

 

March 31, 2015

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

June 30, 2015

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Equinox Frontier Diversified Fund

                

Investment in Unconsolidated Trading Companies

  $6,410,903    $54,069    $—      $6,464,972    $5,899,789    $298,675    $—      $6,198,464  

Open Trade Equity (Deficit)

   2,569,506     —       —       2,569,506     (571,551   —       —       (571,551

Options Purchased

   —       325,003     —       325,003     —       374,470     —       374,470  

Options Written

   —       (107,167   —       (107,167   —       (219,660   —       (219,660

Swap Contracts

   —       —       9,559,124     9,559,124     —       —       7,615,169     7,615,169  

U.S. Treasury Securities

   36,701,926     —       —       36,701,926     29,071,240     —       —       29,071,240  

Equinox Frontier Masters Fund

                

Investment in Unconsolidated Trading Companies

   10,877,100     38,555     —       10,915,655     8,598,866     168,654     —       8,767,520  

U.S. Treasury Securities

   15,541,089     —       —       15,541,089     11,913,754     —       —       11,913,754  

Equinox Frontier Long/Short Commodity Fund

                

Swap Contracts

   —       —       5,301,972     5,301,972     —       —       4,304,209     4,304,209  

Investment in Unconsolidated Trading Companies

   2,974,731     26,190     —       3,000,921     3,516,988     380,006     —       3,896,994  

U.S. Treasury Securities

   10,415,223     —       —       10,415,223     6,743,330     —       —       6,743,330  

Equinox Frontier Balanced Fund

                

Open Trade Equity (Deficit)

   268,978     —       —       268,978     (778,963   —       —       (778,963

Swap Contracts

   —       —       23,473,632     23,473,632     —       —       18,491,634     18,491,634  

Investment in Unconsolidated Trading Companies

   17,317,496     125,352     —       17,442,848     13,892,904     440,892     —       14,333,796  

U.S. Treasury Securities

   56,735,098     —       —       56,735,098     47,350,232     —       —       47,350,232  

Equinox Frontier Select Fund

         —             —    

Open Trade Equity (Deficit)

   958,673     —       —       958,673     55,956     —       —       55,956  

Investment in Unconsolidated Trading Companies

   227,712     —       4,505,757     4,733,469     373,618     —       3,639,651     4,013,269  

U.S. Treasury Securities

   3,598,631     —       —       3,598,631     2,415,549     —       —       2,415,549  

Equinox Frontier Winton Fund

                

Investment in Unconsolidated Trading Companies

   8,846,299     126,373     —       8,972,672     6,544,957     204,082     —       6,749,039  

U.S. Treasury Securities

   32,794,705     —       —       32,794,705     25,617,478     —         25,617,478  

Equinox Frontier Heritage Fund

                

Swap Contracts

   —       —       9,600,330     9,600,330     —       —       7,809,251     7,809,251  

Investment in Unconsolidated Trading Companies

   1,701,180     22,727     —       1,723,907     1,361,243     36,800     —       1,398,043  

U.S. Treasury Securities

   7,403,953     —       —       7,403,953     5,706,384     —       —       5,706,384  

December 31, 2014

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Equinox Frontier Diversified Fund

        

Investments in Unconsolidated Trading Companies

  $6,631,887    $(37,508  $—      $6,594,379  

Open Trade Equity (Deficit)

   3,171,968     43,238     —       3,215,206  

Options Purchased

   —       288,413     —       288,413  

Options Written

   —       (253,018   —       (253,018

Swap Contracts

   —       —       6,570,408     6,570,408  

U.S. Treasury Securities

   31,051,659     —       —       31,051,659  

Equinox Frontier Masters Fund

        

Investments in Unconsolidated Trading Companies

   7,942,166     (40,188   —       7,901,978  

U.S. Treasury Securities

   16,217,173     —       —       16,217,173  

Equinox Frontier Long/Short Commodity Fund

        

Investments in Unconsolidated Trading Companies

   3,789,466     25,388     —       3,814,854  

Swap Contracts

   —       —       3,633,060     3,633,060  

U.S. Treasury Securities

   8,191,519     —       —       8,191,519  

Equinox Frontier Balanced Fund

        

Open Trade Equity (Deficit)

   3,717,291     (419,742   —       3,297,549  

Investments in Unconsolidated Trading Companies

   18,354,685     (10,758   —       18,343,927  

Swap Contracts

   —       —       18,246,954     18,246,954  

U.S. Treasury Securities

   41,625,860     —       —       41,625,860  

Equinox Frontier Select Fund

        

Investments in Unconsolidated Trading Companies

   4,591,569     (28,926   3,539,498     8,102,141  

U.S. Treasury Securities

   6,476,939     —       —       6,476,939  

Equinox Frontier Winton Fund

        

Investments in Unconsolidated Trading Companies

   7,656,170     (176,512   —       7,479,658  

U.S. Treasury Securities

   29,593,974       —       29,593,974  

Equinox Frontier Heritage Fund

        

Investments in Unconsolidated Trading Companies

   1,576,952     (33,566   —       1,543,386  

Swap Contracts

   —       —       7,540,465     7,540,465  

U.S. Treasury Securities

   6,796,392     —         6,796,392  

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the threesix months ended March 31,June 30, 2015 and year ended December 31, 2014, all identified Level 3 assets are 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.

For the ThreeSix Months Ended March 31,June 30, 2015

Swaps:

 

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

Balance of recurring Level 3 assets as of January 1, 2015

  $6,570,408    $3,633,060    $18,246,954    $6,570,408    $3,633,060    $18,246,954  

Total gains or losses (realized/unrealized):

            

Included in earnings-realized

   —       —         —       —      

Included in earnings-unrealized

   2,988,716     668,912     5,226,678     1,044,761     (328,851   244,680  

Purchases of investments

   —       1,000,000     —       —       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 March 31, 2015

$9,559,124  $5,301,972  $23,473,632  

Balance of recurring Level 3 assets as of June 30, 2015

  $7,615,169    $4,304,209    $18,491,634  
  

 

   

 

   

 

   

 

   

 

   

 

 

 

  Equinox Frontier
Heritage Fund
   Equinox Frontier
Heritage Fund
 

Balance of recurring Level 3 assets as of January 1, 2015

  $7,540,465    $7,540,465  

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   2,059,865     268,786  

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 March 31, 2015

$9,600,330  

Balance of recurring Level 3 assets as of June 30, 2015

  $7,809,251  
  

 

   

 

 

Investments in Unconsolidated Trading Companies:

 

  Equinox Frontier
Select Fund
 
  Equinox Frontier
Select Fund
 

Balance of recurring Level 3 assets as of January 1, 2015

  $3,539,498    $3,539,498  

Change in fair value of investments in unconsolidated trading companies

   966,259     100,153  

Proceeds from sales of investments of unconsolidated trading companies

   —       —    

Purchases of investments of unconsolidated trading companies

   —       —    

Change in ownership allocation

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

   

 

 

Balance of recurring Level 3 assets as of March 31, 2015

$4,505,757  

Balance of recurring Level 3 assets as of June 30, 2015

  $3,639,651  
  

 

   

 

 

For the Year Ended December 31, 2014

Swaps:

 

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

Balance of recurring Level 3 assets as of January 1, 2014

  $3,437,632    $2,456,546    $10,122,003    $3,437,632    $2,456,546    $10,122,003  

Total gains or losses (realized/unrealized):

            

Included in earnings-realized

   —       —         —       —      

Included in earnings-unrealized

   3,132,776     1,176,514     8,124,951     3,132,776     1,176,514     8,124,951  

Purchases of investments

   —       —       —       —       —       —    

Sales of investments

   —       —         —       —      

Change in ownership allocation of total return swaps

   —       —       —       —       —       —    

Transfers in and/or out of Level 3

   —       —       —       —       —       —    
  

 

   

 

   

 

   

 

   

 

   

 

 

Balance of recurring Level 3 assets as of December 31, 2014

$6,570,408  $3,633,060  $18,246,954    $6,570,408    $3,633,060    $18,246,954  
  

 

   

 

   

 

   

 

   

 

   

 

 

 

  Equinox Frontier
Heritage Fund
 
  Equinox Frontier
Heritage Fund
   

 

 

Balance of recurring Level 3 assets as of January 1, 2014

  $5,435,184    $5,435,184  

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   2,105,281     2,105,281  

Purchases of investments

   —       —    

Sales of investments

   —       —    

Change in ownership allocation of total return swaps

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

   

 

 

Balance of recurring Level 3 assets as of December 31, 2014

$7,540,465    $7,540,465  
  

 

   

 

 

Investments in Unconsolidated Trading Companies:

 

  Equinox Frontier
Select Fund
 
  Equinox Frontier
Select Fund
 

Balance of recurring Level 3 assets as of January 1, 2014

  $2,415,637    $2,415,637  

Change in fair value of investments in unconsolidated trading companies

   1,123,861     1,123,861  

Proceeds from sales of investments of unconsolidated trading companies

   —       —    

Purchases of investments of unconsolidated trading companies

   —       —    

Change in ownership allocation

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

   

 

 

Balance of recurring Level 3 assets as of December 31, 2014

$3,539,498    $3,539,498  
  

 

   

 

 

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 threesix months ended March 31,June 30, 2015 and year ended December 31, 2014, 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 total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at March 31,June 30, 2015.

 

   Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
   Equinox Frontier
Balanced Fund (3)
   Equinox Frontier
Heritage Fund
 

Swaps

  $2,988,715    $668,912    $5,226,678    $2,059,865  
   Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short Commodity
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
 

Swaps

  $1,044,760    $(328,851  $244,680    $268,786  

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
Diversified Fund
   Equinox Frontier
Long/Short
Commodity Fund
   Equinox Frontier
Balanced Fund (3)
   Equinox Frontier
Heritage Fund
 

Swaps

  $3,132,776    $1,176,514    $8,120,996    $2,105,281  
   Equinox Frontier
Diversified Fund
   Equinox Frontier
Long/Short Commodity
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Heritage Fund
 

Swaps

  $3,132,776    $1,176,514    $8,120,996    $2,105,281  

4. Swaps

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As

of March 31,June 30, 2015 and December 31, 2014, approximately 7.9% or $25,062,0618.3% and 4.9% or $14,117,887,7.0%, respectively, of the Trust’s assets were investeddeposited with over-the-counter counterparties in order to initiate and maintain Swaps and is recorded as Swap Contracts, at fair valuecash and cash equivalents on the Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted.

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

The Series had invested in the following Swaps as of and for the threesix months ended March 31,June 30, 2015:

 

  Equinox Frontier
Balanced Fund
  Equinox Frontier
Diversified Fund
  Equinox Frontier
Long/Short
Commodity Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier
Balanced Fund
 Equinox Frontier
Diversified Fund
 Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Heritage Fund
 
  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap Total Return Swap Total Return Swap Total Return Swap 

Counterparty

  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG  

Notional Amount

  $70,910,098  $38,500,000  $12,090,513  $17,663,283  $62,910,098   $30,500,000   $10,090,513   $15,663,283  

Termination Date

  8/2/2018  8/2/2018  8/7/2018  3/26/2018   8/2/2018   8/2/2018   8/7/2018   3/26/2018  

Cash Collateral

  $9,600,000  $3,400,000  $3,880,000  $5,993,000  $9,600,000   $3,400,000   $3,880,000   $5,993,000  

Swap Value

  $13,873,632  $6,159,124  $1,421,972  $3,607,330  $8,891,634   $4,215,169   $424,209   $1,816,251  

Investee Returns

  Total Returns  Total Returns  Total Returns  Total Returns   Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

  $0  $0  $0  $0  $0   $0   $0   $0  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

$5,226,678$2,988,715$668,912$2,059,865  $244,680   $1,044,760   ($328,851 $268,786  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Fair Value as of 12/31/2014

$23,473,632$9,559,124$5,301,972$9,600,330

Fair Value as of 6/30/2015

  $18,491,634   $7,615,169   $4,304,209   $7,809,251  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

The Series havehad invested in the following Swaps as of and for the year ended December 31, 2014:

 

  Equinox Frontier
Balanced Fund
  Equinox Frontier
Diversified Fund
  Equinox Frontier
Long/Short
Commodity Fund
  Equinox Frontier
Heritage Fund
  Equinox Frontier
Balanced Fund
 Equinox Frontier
Diversified Fund
 Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Heritage Fund
 
  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap  Total Return Swap Total Return Swap Total Return Swap Total Return Swap 

Counterparty

  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG  DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG  

Notional Amount

  $67,610,098  $35,500,000  $13,590,513  $17,663,283  $67,610,098   $35,500,000   $13,590,513   $17,663,283  

Termination Date

  8/2/2018  8/2/2018  8/7/2018  3/26/2018   8/2/2018   8/2/2018   8/7/2018   3/26/2018  

Cash Collateral

  $9,600,000  $3,400,000  $2,880,000  $5,993,000  $9,600,000   $3,400,000   $2,880,000   $5,993,000  

Swap Value

  $8,646,954  $3,170,408  $753,060  $1,547,465  $8,646,954   $3,170,408   $753,060   $1,547,465  

Investee Returns

  Total Returns  Total Returns  Total Returns  Total Returns   Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

  $0  $0  $0  $0  $0   $0   $0   $0  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

$8,120,996$3,132,777$1,176,514$2,105,281  $8,120,996   $3,132,777   $1,176,514   $2,105,281  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Fair Value as of 3/31/2015

$18,246,954$6,570,408$3,633,060$7,540,465

Fair Value as of 12/31/2014

  $18,246,955   $6,570,409   $3,633,060   $7,540,466  
  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

5. Investments in Unconsolidated Trading Companies

Investments in unconsolidated trading companies represent cash and open trade equity invested in the Trading Companies by each Series and cumulative trading profits or losses allocated to each Series by the Trading Companies. Trading 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. The Trading Companies are valued using the equity method of accounting, which approximates fair value.

The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of March 31,June 30, 2015 and December 31, 2014:

 

   As of March 31, 2015   As of December 31, 2014 
   Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
  Fair Value   Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
  Fair Value 

Series

              

Equinox Frontier Diversified Fund —
Frontier Trading Companies II, VII, XXIII and XXXVIII

   8.59 $6,464,972     9.11 $6,594,379  

Equinox Frontier Masters Fund —
Frontier Trading Companies I, II, VII, XV and XXXVIII

   40.84 $10,915,655     30.74 $7,901,978  

Equinox Frontier Long/Short Commodity Fund —
Frontier Trading Company VII and XXXVIII

   15.76 $3,000,921     22.96 $3,814,854  

Equinox Frontier Balanced Fund —
Frontier Trading Companies I, II, VII, XV and XXXVIII

   15.76 $17,442,848     16.92 $18,343,927  

Equinox Frontier Select Fund —
Frontier Trading Companies XXXVIII and XXXIX

   19.74 $4,733,469     53.06 $8,102,141  

Equinox Frontier Winton Fund —
Frontier Trading Company II and XXXVIII

   20.95 $8,972,672     18.68 $7,479,658  

Equinox Frontier Heritage Fund —
Frontier Trading Companies II and XXXVIII

   9.08 $1,723,907     9.32 $1,543,386  

   As of June 30, 2015   As of December 31, 2014 
   Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
  Fair Value   Percentage of
Series Net
Assets Invested
in Unconsolidated
Trading Companies
  Fair Value 

Series

              

Equinox Frontier Diversified Fund —
Frontier Trading Companies I, II, VII, IX, XIV, XV, XXXIII and XXXVIII

   9.96 $6,198,464     9.11 $6,594,379  

Equinox Frontier Masters Fund —
Frontier Trading Companies II, XIV, XV and XXXVIII

   38.63 $8,767,520     30.74 $7,901,978  

Equinox Frontier Long/Short Commodity Fund —
Frontier Trading Companies I and XXXVIII

   24.26 $3,896,994     22.96 $3,814,854  

Equinox Frontier Balanced Fund —
Frontier Trading Companies II, VII, XV and XXXVIII

   14.77 $14,333,796     16.92 $18,343,927  

Equinox Frontier Select Fund —
Frontier Trading Companies XV, XXXVIII and XXXIX

   20.83 $4,013,269     53.06 $8,102,141  

Equinox Frontier Winton Fund —
Frontier Trading Company II and XXXVIII

   18.35 $6,749,039     18.68 $7,479,658  

Equinox Frontier Heritage Fund —
Frontier Trading Companies II and XXXVIII

   8.80 $1,398,043     9.32 $1,543,386  

The following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies for the three and six months ended March 31,June 30, 2015 and 2014.

  Three Months Ended June 30, 2015  Three Months Ended June 30, 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)
 

Equinox Frontier Diversified Fund

        

Frontier Trading Company I LLC

 $—     $—     $—     $—     $(77,867 $950,477   $1,028,045   $1,900,655  

Frontier Trading Company II LLC

  (4,246  (685,823  (420,717  (1,110,786  (4,241  865,388    (8,894  852,253  

Frontier Trading Company V LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company VII, LLC

  (85,942  (1,382,324  1,810,489    342,223    (96,234  (663,204  608,781    (150,657

Frontier Trading Company IX, LLC

  —      —      —      —      —      —      —     

Frontier Trading Company XIV, LLC

  —      —      —      —      (41,516  249,214    263,796    471,494  

Frontier Trading Company XV, LLC

  —      —      —      —      (12,052  (487,276  155,923    (343,405

Frontier Trading Company XVIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXI, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXIII, LLC

  (17,919  (151,523  (304,555  (473,997  (11,949  789,665    92,152    869,868  

Frontier Trading Company XXXVIII, LLC

  (10,482  77,904    (236,705  (169,283  —      —       —    

Frontier Trading Company XXXIX, LLC

  —      —      —      —      (11,766  (127,320  (97,402  (236,488
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(118,589 $(2,141,766 $848,512   $(1,411,843 $(255,625 $1,576,944   $2,042,401   $3,363,720  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Masters Fund

        

Frontier Trading Company I LLC

 $(6,561 $(78,343 $(920,425 $(1,005,329 $(8,994 $441,002   $166,625   $598,633  

Frontier Trading Company II LLC

  (2,613  (420,988  (264,127 $(687,728  (3,095  627,805    (8,751  615,959  

Frontier Trading Company XIV, LLC

  —      —      —      —      (36,029  189,278    214,868    368,117  

Frontier Trading Company XV, LLC

  (14,857  (979,930  (372,004  (1,366,791  (24,092  125,464    287,803    389,175  

Frontier Trading Company VII, LLC

  (50,573  (775,283  1,063,371    237,515      

Frontier Trading Company XXXVIII, LLC

  (4,586  35,342    (122,309  (91,553  (6,083  (78,704  (42,756  (127,533
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(79,190 $(2,219,202 $(615,494 $(2,913,886 $(78,293 $1,304,845   $617,789   $1,844,351  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Long/Short Commodity Fund

        

Frontier Trading Company I LLC

 $—     $—     $—     $—     $—     $—     $—     $—    

Frontier Trading Companies VII, LLC

  (63,635  (1,450,691  1,054,760    (459,566  (79,249  (199,250  450,592    172,093  

Frontier Trading Companies XVIII, LLC

  —      —      —      —      (9,017  (338,735  (291,055  (638,807

Frontier Trading Companies XXIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

  (2,865  19,681    (69,554  (52,738  —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(66,500 $(1,431,010 $985,206   $(512,304 $(88,266 $(537,985 $159,537   $(466,714
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Balanced Fund

        

Frontier Trading Company I LLC

 $(83,797 $975,639   $(208,851  682,991   $(263,573 $1,115,464   $(362,505  489,386  

Frontier Trading Company II LLC

  (5,791  (937,794  (560,595  (1,504,180  (12,088  (686,492  1,317,845    619,265  

Frontier Trading Company V LLC

  —      —      —      —         —    

Frontier Trading Company VII, LLC

  (97,027  (1,669,662  2,061,923    295,234    36,410    685,775    (1,108,643  (386,458

Frontier Trading Company XIV, LLC

  —      —      —      —      (23,141  99,184    (416,179  (340,136

Frontier Trading Company XV, LLC

  (231  (492,925  493,274    118    22,806    (867,989  1,231,415    386,232  

Frontier Trading Company XVI, LLC

  —      —      —      —         —    

Frontier Trading Company XVIII, LLC

  —      —      —      —         —    

Frontier Trading Company XXIII, LLC

  —      —      —      —         —    

Frontier Trading Company XXXVIII, LLC

  (17,308  134,812    (445,903  (328,399  (768,673  1,833,086    (991,089  73,324  

Frontier Trading Company XXXIX, LLC

  —      —      —      —      (75,543  (1,180,680  612,399    (643,824
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(204,154 $(1,989,930 $1,339,848   $(854,236 $(1,083,802 $998,348   $283,243   $197,789  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Select Fund

        

Frontier Trading Company V LLC

 $—     $—     $—     $—     $—     $—     $—     $—    

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XV, LLC

   —      (2  (2  (31,676  106,074    415,981    490,379  

Frontier Trading Company XXI, LLC

    (967,125  (967,125   —      —      —    

Frontier Trading Company XXXVIII, LLC

  (2,577  7,618    (23,723  (17,104  (2,970  (33,431  (15,011  (51,412

Frontier Trading Company XXXIX, LLC

    127,518    127,518    (1,556  —      331,515    329,959  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(2,577 $7,618   $(863,332 $(856,713 $(36,202 $72,643   $732,485   $768,926  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Winton Fund

        

Frontier Trading Company II LLC

 $(14,911 $(2,419,574 $(1,407,788 $(3,842,273 $(13,657 $2,787,074   $(31,073 $2,742,344  

Frontier Trading Company XXXVIII ,LLC

  (9,599  73,551    (282,923 $(218,971  (9,787  (105,773  (73,711  (189,271
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(24,510 $(2,346,023 $(1,690,711 $(4,061,244 $(23,444 $2,681,301   $(104,784 $2,553,073  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Equinox Frontier Heritage Fund

        

Frontier Trading Company II LLC

 $(2,685 $(435,646 $(252,853 $(691,184 $(3,057 $623,800   $(6,880 $613,593  

Frontier Trading Company V LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

  (2,163  16,512    (62,218  (47,870  (2,639  (32,058  (21,536  (56,233

Frontier Trading Company XXXIX, LLC

  —      —      —      —      —      —      —      —    
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $(4,848 $(419,134 $(315,071 $(739,054 $(5,696 $591,742   $(28,416 $557,360  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 Three Months Ended March 31, 2015 Three Months Ended March 31, 2014  Six Months Ended June 30, 2015 Six Months Ended June 30, 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)
 Trading
Commissions
 Realized
Gain/(Loss)
 Change in
Unrealized
Gain/(Loss)
 Net Income
(Loss)
 

Trading Company

        

Equinox Frontier Diversified Fund —

        

Equinox Frontier Diversified Fund

        

Frontier Trading Company I LLC

 $—     $—     $—     $—     $(70,393) $1,144,628  $(601,231) $473,004  $—     $—     $—     $—     $(148,260 $2,095,105   $421,786   $2,368,631  

Frontier Trading Company II LLC

 (4,083) 1,333,292  (127,311) 1,201,898  (4,751) 266,640  (284,827) (22,938) (8,329 647,469   (548,028 91,112   (8,992 1,132,028   (293,721 829,315  

Frontier Trading Company XIV LLC

  —      —      —      —         —    

Frontier Trading Company V LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company VII, LLC

 (82,381) 2,108,509  (1,223,126) 803,002  (152,103) (617,460) (238,109) (1,007,672) (168,323 726,185   587,363   1,145,225   (248,337 (1,280,664 370,672   (1,158,329

Frontier Trading Company IX, LLC

  —      —      —      —      —      —      —     

Frontier Trading Company XIV, LLC

  —      —      —      —     (59,609) (628,000) 64,707  (622,902)  —      —      —      —     (101,125 (378,786 323,498   (156,413

Frontier Trading Company XV, LLC

  —      —      —      —     (15,711) 659,867  (952,930) (308,774)  —      —      —      —     (27,763 172,591   (786,997 (642,169

Frontier Trading Company XVIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXI, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXIII, LLC

 (19,782) 872,609  (26,219) 826,608  (12,201) 283,424  95,506  366,729  (37,701 721,086   (330,774 352,611   (24,150 1,073,089   187,658   1,236,597  

Frontier Trading Company XXXVIII, LLC

 (7,008) 875,067  (226,858) 641,201  (12,407) (766,684) (577,656) (1,356,747)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(113,254)$5,189,477 $(1,603,514)$3,472,709 $(327,175)$342,415 $(2,494,540)$(2,479,300)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equinox Frontier Masters Fund —

Frontier Trading Company I LLC

$(3,974)$1,259,037 $(138,423)$1,116,640 $(5,656)$(356,517)$490,064 $127,891 

Frontier Trading Company II LLC

 (2,329) 752,839  (71,107) 679,403  (3,710) 214,076  (241,479) (31,113)

Frontier Trading Company XIV, LLC

 —     —     —     —     (59,109) (623,196) (1,706) (684,011)

Frontier Trading Company XV, LLC

 (14,122) 1,127,983  (429,920) 683,941  (29,455) 680,449  (1,157,896) (506,902)

Frontier Trading Company VII, LLC

 (35,943) 3,411,269  (3,011,878) 363,448  —     —     —     —    

Frontier Trading Company XXXVIII, LLC

 (2,805) 298,322  (43,190) 252,327  (7,070) (418,640) (333,592) (759,302)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(59,173)$6,849,450 $(3,694,518)$3,095,759 $(105,000)$(503,828)$(1,244,609)$(1,853,437)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equinox Frontier Long/Short Commodity Fund

Frontier Trading Companies VII, LLC

 (84,768) 2,757,328  (928,844) 1,743,716  —     —     —     —    

Frontier Trading Company XXXVIII, LLC

 (1,968) 256,376  (63,599) 190,809  (4,943) (293,160) (247,543) (545,646)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(86,736)$3,013,704 $(992,443)$1,934,525 $(4,943)$(293,160)$(247,543)$(545,646)
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equniox Frontier Balanced Fund —

Frontier Trading Company I, LLC

$(89,859)$2,048,945 $237,670 $2,196,756 $(2,356)$224,161 $103,565 $325,370 

Frontier Trading Company II LLC

 (5,197) 1,686,860  (159,819) 1,521,844  (6,746) 422,192  (533,681) (118,235)

Frontier Trading Company XIV LLC

 —     —     —     —     (75,543) (1,180,680) 610,861  (645,362)

Frontier Trading Company VII, LLC

 (92,052) 2,316,304  (1,347,583) 876,669  (135,914) (619,532) (143,328) (898,774)

Frontier Trading Company XV, LLC

 107  275,900  (275,956) 51  (22,806) 867,989  (1,231,415) (386,232)

Frontier Trading Company XXXVIII, LLC

 (9,702) 1,220,917  (284,086) 927,129  (21,974) (1,329,333) (1,006,147) (2,357,454) (17,490 952,971   (463,563 471,918   (24,173 (894,004 (675,056 (1,593,233

Frontier Trading Company XXXIX, LLC

 —     —     —     —     —     —     (1,536) (1,536)  —      —      —      —      —      —      —      —    
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(196,703)$7,548,926 $(1,829,774)$5,522,449 $(265,339)$(1,615,203)$(2,201,681)$(4,082,223) $(231,843 $3,047,711   $(755,002 $2,060,866   $(582,800 $1,919,359   $(452,160 $884,399  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equniox Frontier Frontier Select Fund —

Equinox Frontier Masters Fund

        

Frontier Trading Company I LLC

 $(10,535 $1,180,694   $(1,058,847 $111,312   $(14,650 $84,485   $656,689   $726,524  

Frontier Trading Company II LLC

 (4,942 331,851   (335,234 $(8,325 (6,805 841,881   (248,924 586,152  

Frontier Trading Company XIV, LLC

 (28,979 148,053   (801,924 (682,850 (95,138 (433,918 213,162   (315,894

Frontier Trading Company XV, LLC

 —     (195) 2,175  1,980  (29,250) 712,977  (899,389) (215,662) (86,516 2,635,986   (1,948,507 600,963   (53,547 805,913   (875,590 (123,224

Frontier Trading Company XXXIX, LLC

 —     —     967,125  967,125  —     —     (536,455) (536,455)

Frontier Trading Company XXXVIII, LLC

 780  56,689  7,435  63,344  (3,264) (193,892) (148,153) (345,309) (7,391 333,664   (165,500 160,773   (13,153 (497,344 (372,146 (882,643
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$780 $56,494 $976,735 $1,032,449 $(32,514)$519,085 $(1,583,997)$(1,097,426) $(138,363 $4,630,248   $(4,310,012 $181,873   $(183,293 $801,017   $(626,809 $(9,085
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equniox Frontier Winton Fund —

Frontier Trading Company II LLC

$(13,273)$4,309,466 $(409,695)$3,886,498 $(13,950)$877,058 $(885,581)$(22,473)

Equinox Frontier Long/Short Commodity Fund

        

Frontier Trading Company I LLC

 $—     $—     $—     $—     $—     $—     $—     $—    

Frontier Trading Companies VII, LLC

 (148,403 1,306,637   125,916   1,284,150   (84,192 (492,410 202,711   (373,891

Frontier Trading Companies XVIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Companies XXIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

 (5,886) 674,550  (111,929) 556,735  (9,539) (564,895) (395,351) (969,785) (4,833 276,057   (133,153 138,071   (9,017 (338,735 (290,717 (638,469
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(19,159)$4,984,016 $(521,624)$4,443,233 $(23,489)$312,163 $(1,280,932)$(992,258) $(153,236 $1,582,694   $(7,237 $1,422,221   $(93,209 $(831,145 $(88,006 $(1,012,360
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equniox Frontier Heritage Fund —

Equinox Frontier Balanced Fund

        

Frontier Trading Company I LLC

 $(173,656 $3,024,584   $28,819   2,879,747   $(21,190 $(40,139 $887,729   826,400  

Frontier Trading Company II LLC

$(2,502)$816,543 $(78,076)$735,965 $(3,125)$196,488 $(198,569)$(5,206) (10,988 749,066   (720,413 17,665   (12,125 1,514,527   (547,779 954,623  

Frontier Trading Company V LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company VII, LLC

 (189,079 646,642   714,340   1,171,903   (237,492 (1,772,506 684,757   (1,325,241

Frontier Trading Company XIV, LLC

  —      —      —      —     (75,543 (1,180,680 610,861   (645,362

Frontier Trading Company XV, LLC

 (124 (217,025 217,318   169   (44,315 (299,183 (581,076 (924,574

Frontier Trading Company XVI, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XVIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXIII, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

 (1,325) 150,850  (24,089) 125,436  (2,805) (167,218) (127,972) (297,995) (27,010 1,355,729   (729,990 598,729   (42,486 (1,584,456 (1,141,801 (2,768,743

Frontier Trading Company XXXIX, LLC

  —      —      —      —      —      —     (1,538 (1,538
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

$(3,827)$967,393 $(102,165)$861,401 $(5,930)$29,270 $(326,541)$(303,201) $(400,857 $5,558,996   $(489,926 $4,668,213   $(433,151 $(3,362,437 $(88,847 $(3,884,435
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equinox Frontier Select Fund

        

Frontier Trading Company V LLC

 $—     $—     $—     $—     $—     $—     $—     $—    

Frontier Trading Company VI LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XV, LLC

  —     (195 2,173   1,978   (60,926 819,051   (483,409 274,716  

Frontier Trading Company XXI, LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

 (1,797 64,307   (16,288 46,222   (6,234 (227,323 (163,164 (396,721

Frontier Trading Company XXXIX, LLC

   127,536   127,536   (1,556  —     (204,940 (206,496
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

 $(1,797 $64,112   $113,421   $175,736   $(68,716 $591,728   $(851,513 $(328,501
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equinox Frontier Winton Fund

        

Frontier Trading Company II LLC

 $(28,184 $1,889,892   $(1,817,483 $44,225   $(27,607 $3,664,132   $(917,278 $2,719,247  

Frontier Trading Company XXXVIII ,LLC

 (15,485 748,101   (394,852 $337,764   (19,326 (670,668 (468,437 (1,158,431
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

 $(43,669 $2,637,993   $(2,212,335 $381,989   $(46,933 $2,993,464   $(1,385,715 $1,560,816  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Equinox Frontier Heritage Fund

        

Frontier Trading Company II LLC

 $(5,187 $380,897   $(330,929 $44,781   $(6,182 $820,288   $(205,585 $608,521  

Frontier Trading Company V LLC

  —      —      —      —      —      —      —      —    

Frontier Trading Company XXXVIII, LLC

 (3,489 167,362   (86,307 77,566   (5,444 (199,276 (149,643 (354,363

Frontier Trading Company XXXIX, LLC

  —      —      —      —      —      —      —      —    
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Total

 $(8,676 $548,259   $(417,236 $122,347   $(11,626 $621,012   $(355,228 $254,158  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

The statements of financial condition as of March 31,June 30, 2015 and December 31, 2014 and the Condensed Statement of Income for the three and six months ended March 31,June 30, 2015 and 2014 for the unconsolidated Trading Companies are as follows:

 

Statements of Financial Condition - March 31, 2015

  Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Statements of Financial Condition - June 30, 2015

  Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Receivable from commission merchants

  $14,613,881   $11,114,148   $3,492,655   $12,124,771    $6,069,994    $6,984,925  

Open trade equity/(deficit)

   2,627,378     (3,570,879   622,727    (278,805   3,259,443     (620,620

Interest receivable/(payable)

   407     (128   (138   78     (40   277  
  

 

   

 

   

 

   

 

   

 

   

 

 

Total net asset value

$17,241,666 $7,543,141 $4,115,244  
  

 

   

 

   

 

 

Total assets

  $11,846,044    $9,329,397    $6,364,582  
  

 

   

 

   

 

 

Members’ equity

$17,241,666 $7,543,141 $4,115,244   $11,846,044    $9,329,397    $6,364,582  
  

 

   

 

   

 

   

 

   

 

   

 

 

Condensed Statement of Income - For the Three Months
Ended June 30, 2015

  Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Interest income

  $(1,243  $479    $707  

Net realized gain/(loss) on investments, less

   (3,431,043   (8,596,912   (2,837,649

Change in open trade equity/(deficit)

   (955,908   3,773,587     1,391,567  
  

 

   

 

   

 

 

Net income/(loss)

  $(4,388,194  $(4,822,846  $(1,445,375
  

 

   

 

   

 

 

Condensed Statement of Income - For the Six Months
Ended June 30, 2015

  Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Interest income

  $(1,630  $589    $707  

Net realized gain/(loss) on investments, less

   (3,941,511   (5,937,702   (3,827,270

Change in open trade equity/(deficit)

   3,752,063     523,855     1,996,206  
  

 

   

 

   

 

 

Net income/(loss)

  $(191,078  $(5,413,258  $(1,830,357
  

 

   

 

   

 

 

Statements of Financial Condition -
December 31, 2014

  Frontier Trading
Company I LLC
   Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Receivable from commission merchants

  $22,731,131    $10,851,264   $6,694,318   $2,944,692  

Open trade equity/(deficit)

   3,215,205    3,473,284     3,469,339    1,369,043  

Options purchased (written)

   35,396     —       76,655     —    

Interest receivable/(payable)

   (2,027   421     (170   (52
  

 

 

   

 

 

   

 

 

   

 

 

 

Total net asset value

$25,979,705 $14,324,969 $10,240,142 $4,313,683  
  

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity

$25,979,705 $14,324,969 $10,240,142 $4,313,683  
  

 

 

   

 

 

   

 

 

   

 

 

 

Condensed Statement of Income - For the Three Months
Ended March 31, 2015

  Frontier Trading
Company II LLC
   Frontier Trading
Company VII LLC
   Frontier Trading
Company XXXVIII LLC
 

Statements of Financial Condition -

December 31, 2014

  Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company VII LLC
 Frontier Trading
Company XV LLC
 Frontier Trading
Company XXXVIII LLC
 

Receivable from commission merchants

  $
 
 
13,015,321
  
  
 $18,121,232   $1,834,790   $11,072,355   $4,826,699  

Open trade equity/(deficit)

   2,937,971   2,107,459   3,617,656   3,510,148   256,729  

Interest receivable/(payable)

   (2,291 607   (160 817   7  

Total assets

  $
 
 
15,951,001
  
  
 $20,229,298   $5,452,286   $14,583,320   $5,083,435  
  

 

  

 

  

 

  

 

  

 

 

Members’ equity

  $
 
 
15,951,001
  
  
 $20,229,298   $5,452,286   $14,583,320   $5,083,435  
  

 

  

 

  

 

  

 

  

 

 

Condensed Statement of Income - For the

Three Months Ended June 30, 2014

  Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company VII LLC
 Frontier Trading
Company XV LLC
 Frontier Trading
Company XXXVIII LLC
 

Interest income

  $(992  $438   $430   $12,520   $(1,560 $857   $2,012   $497  

Net realized gain/(loss) on investments, less commissions

   (8,874,767   (11,505,782   (3,512,349

Net realized gain/(loss) on investments, less

   (4,217,338 (5,965,412 5,454,372   1,510,226   735,318  

Change in open trade equity/(deficit)

   849,059     6,507,341     755,355    (312,487 69,697   (1,329,358 (1,504,440 431,576  
  

 

   

 

   

 

 
  

 

  

 

  

 

  

 

  

 

 

Net income/(loss)

$(8,026,700$(4,998,003$(2,756,564  $(4,517,305 $(5,897,275 $4,125,871   $7,798   $1,167,391  
  

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

 

Condensed Statement of Income - For the Three Months
Ended March 31, 2014

  Frontier Trading
Company II LLC
   Frontier Trading
Company XV LLC
   Frontier Trading
Company XXXVIII LLC
 

Condensed Statement of Income - For the

Six Months Ended June 30, 2014

  Frontier Trading
Company I LLC
 Frontier Trading
Company II LLC
 Frontier Trading
Company VII LLC
 Frontier Trading
Company XV LLC
 Frontier Trading
Company XXXVIII LLC
 

Interest income

  $(960  $225   $1,419   $12,520   $(2,520 $857   $2,237   $1,916  

Net realized gain/(loss) on investments, less commissions

   (1,944,172   (2,824,060   3,795,824 

Net realized gain/(loss) on investments, less

   (4,217,338 (7,909,584 5,454,372   (1,313,834 4,531,142  

Change in open trade equity/(deficit)

   2,144,137    4,241,630    2,832,210    (312,487 2,213,834   (1,329,358 2,737,190   3,263,786  
  

 

   

 

   

 

 
  

 

  

 

  

 

  

 

  

 

 

Net income/(loss)

$199,005 $1,417,795 $6,629,453   $(4,517,305 $(5,698,270 $4,125,871   $1,425,593   $7,796,844  
  

 

   

 

   

 

   

 

  

 

  

 

  

 

  

 

 

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust, with respect to the Series, in order to have a 1% interest in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner is required

to maintain at least a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series so long as it is acting as the Managing Owner of the Trust. Such contribution was made by the Managing Owner before trading commenced for the Trust and will be maintained throughout the existence of the Trust, and the Managing Owner will make such purchases as are necessary to effect this requirement. Additionally, the Managing Owner agreed with certain regulatory bodies to maintain a 1% interest specifically in the Equinox Frontier Balanced Fund Class 1a 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.

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the nominal assets of such Series, calculated on a daily basis. 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 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, 1.0% for the Equinox Frontier Balanced Fund Class 1a, Class 2a and Class 3a, 2.0% for the Equinox Frontier Winton 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.

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

Trading Fees—In connection with each Series’ trading activities, the Equinox Frontier Long/Short Commodity Fund (Classes 1, 2 and 3), Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund pays to the Managing Owner a trading fee, or FCM Fee, up to 0.75% of such Series’ NAV, calculated daily. The Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Classes 1a, 2a and 2a)3a) and Equinox Frontier Masters Fund pays to the Managing Owner a trading fee, or FCM Fee, up to 2.25% 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 by such Series, monthly or quarterly. Because the Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Equinox Frontier Balanced Fund and the Equinox Frontier Diversified Fund and 20% for the Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, Equinox Frontier Long/Short Commodity Fund and Equinox Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series, as applicable, the Series pays monthly or service fees to the Managing Owner of up to 3% of NAV annually, which the Managing Owner pays to selling agents of the Trust, with respect to the Series.

The following table summarizes fees earned by the Managing Owner for the three and six months ended March 31,June 30, 2015 and 2014:

 

                                                                    

Three Months Ended March 31, 2015

  Incentive Fee   Management Fee   Service Fee   Trading Fee 

Equinox Frontier Diversified Fund

  $1,634,242    $246,304    $121,918    $370,802  

Equinox Frontier Masters Fund

   535,302     178,660     65,178     153,633  

Equinox Frontier Long/Short Commodity Fund

   239,217     123,036     31,900     68,928  

Equinox Frontier Balanced Fund

   1,486,957     259,595     562,801     195,344  

Equinox Frontier Select Fund

   158,971     80,072     106,901     29,893  

Equinox Frontier Winton Fund

   715,409     323,105     205,337     76,976  

Equinox Frontier Heritage Fund

   132,676     77,898     77,017     25,691  

                                                                    

Three Months Ended March 31, 2014

  Incentive Fee   Management Fee   Service Fee   Trading Fee 

Three Months Ended June 30, 2015

  Incentive Fee   Management Fee   Service Fee   Trading
Fee
 

Equinox Frontier Diversified Fund

  $432,084    $276,556    $148,411    $342,565    $4,000    $243,004    $108,250    $351,096  

Equinox Frontier Masters Fund

   13,712     277,080     104,283     175,915     41,072     182,496     60,813     147,701  

Equinox Frontier Long/Short Commodity Fund

   —       286,630     38,564     81,977     40,149     131,237     29,629     65,150  

Equinox Frontier Balanced Fund

   551,286     290,385     549,448     187,399     9,517     267,377     556,081     194,144  

Equinox Frontier Select Fund

   —       138,438     105,588     29,402     —       78,206     101,967     28,454  

Equinox Frontier Winton Fund

   —       280,373     182,964     64,595     —       307,212     198,125     74,984  

Equinox Frontier Heritage Fund

   —       80,009     72,725     23,099     —       70,986     74,974     25,063  

Three Months Ended June 30, 2014

  Incentive Fee   Management Fee   Service Fee   Trading
Fee
 

Equinox Frontier Diversified Fund

  $954,829    $271,073    $125,184    $307,242  

Equinox Frontier Masters Fund

   168,094     230,233     76,310     147,195  

Equinox Frontier Long/Short Commodity Fund

   —       223,050     30,304     64,027  

Equinox Frontier Balanced Fund

   902,054     264,152     492,255     167,758  

Equinox Frontier Select Fund

   26,677     140,286     97,799     27,150  

Equinox Frontier Winton Fund

   415,629     287,648     177,981     64,049  

Equinox Frontier Heritage Fund

   86,999     81,966     65,875     21,279  

Six Months Ended June 30, 2015

  Incentive Fee   Management Fee   Service Fee   Trading
Fee
 

Equinox Frontier Diversified Fund

  $1,638,242    $489,308    $230,168    $721,898  

Equinox Frontier Masters Fund

   576,374     361,156     125,991     301,334  

Equinox Frontier Long/Short Commodity Fund

   279,366     254,273     61,529     134,078  

Equinox Frontier Balanced Fund

   1,496,474     526,972     1,118,882     389,488  

Equinox Frontier Select Fund

   158,971     158,278     208,868     58,347  

Equinox Frontier Winton Fund

   715,409     630,317     403,462     151,960  

Equinox Frontier Heritage Fund

   132,676     148,884     151,991     50,754  

Six Months Ended June 30, 2014

  Incentive Fee   Management Fee   Service Fee   Trading
Fee
 

Equinox Frontier Diversified Fund

  $1,386,913    $547,629    $273,595    $649,807  

Equinox Frontier Masters Fund

   181,806     507,313     180,593     323,110  

Equinox Frontier Long/Short Commodity Fund

   —       509,680     68,868     146,001  

Equinox Frontier Balanced Fund

   1,453,340     554,537     1,041,703     355,157  

Equinox Frontier Select Fund

   26,677     278,724     203,387     56,552  

Equinox Frontier Winton Fund

   415,629     568,021     360,945     128,644  

Equinox Frontier Heritage Fund

   86,999     161,975     138,600     44,378  

The following table summarizes amountsfees payable to the Managing Owner as of March 31,June 30, 2015 and December 31, 2014.2014:

As of March 31, 2015

                    
   Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 

Equinox Frontier Diversified Fund

  $1,634,242    $88,283    $17,078    $33,996    $143,660  

Equinox Frontier Masters Fund

   535,301     67,463     6,125     21,211     56,844  

Equinox Frontier Long/Short Commodity Fund

   239,216     43,562     4,460     11,078     25,446  

Equinox Frontier Balanced Fund

   1,486,957     93,825     111,110     176,661     71,244  

Equinox Frontier Select Fund

   158,971     28,962     7,379     35,716     10,852  

Equinox Frontier Winton Fund

   715,409     115,137     66,427     53,254     27,597  

Equinox Frontier Heritage Fund

   132,678     27,355     14,885     23,142     9,353  

As of December 31, 2014

                    
  Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 

As of June 30, 2015

                    
  Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 

Equinox Frontier Diversified Fund

  $2,387,825    $86,486    $16,168    $34,905    $132,984    $4,000    $83,476    $15,798    $36,650    $124,327  

Equinox Frontier Masters Fund

   722,043     64,497     6,898     17,260     55,912     41,071     60,312     5,738     15,452     50,813  

Equinox Frontier Long/Short Commodity Fund

   158,660     45,361     3,713     10,562     24,436     40,149     45,710     3,616     9,149     21,626  

Equinox Frontier Balanced Fund

   1,793,318     101,208     84,976     167,151     66,037     9,517     91,646     101,040     156,201     65,193  

Equinox Frontier Select Fund

   185,791     27,835     13,263     32,520     10,119     —       26,065     6,451     29,617     9,285  

Equinox Frontier Winton Fund

   1,178,364     114,823     63,722     52,753     26,690     —       102,252     61,319     46,288     24,963  

Equinox Frontier Heritage Fund

   239,327     27,944     14,543     20,964     8,676     —       23,699     13,738     19,744     8,305  

As of December 31, 2014

                    
  Incentive Fees   Management Fees   Interest Fees   Service Fees   Trading Fees 

Equinox Frontier Diversified Fund

  $2,387,825    $86,486    $16,168    $34,905    $132,984  

Equinox Frontier Masters Fund

   722,043     64,497     6,898     17,260     55,912  

Equinox Frontier Long/Short Commodity Fund

   158,660     45,361     3,713     10,562     24,436  

Equinox Frontier Balanced Fund

   1,793,318     101,208     84,976     167,151     66,037  

Equinox Frontier Select Fund

   185,791     27,835     13,263     32,520     10,119  

Equinox Frontier Winton Fund

   1,178,364     114,823     63,722     52,753     26,690  

Equinox Frontier Heritage Fund

   239,327     27,944     14,543     20,964     8,676  

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

For the threesix months ended March 31,June 30, 2015, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $2,462$4,500 for the Equinox Frontier Balanced Fund, ($338)$530 for the Equinox Frontier Long/Short Commodity Fund, $1,133$1,173 for the Equinox Frontier Diversified Fund, $97$211 for the Equinox Frontier Select Fund, $286$595 for the Equinox Frontier Heritage Fund, $4,220$7,984 for the Equinox Frontier Winton Fund and ($598)$74 for the Equinox Frontier Masters Fund.

For the threesix months ended March 31,June 30, 2014, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were ($2,936) for the Equinox Frontier Balanced Fund, $21 for the Equinox Frontier Long/Short Commodity Fund, ($2,476) for the Equinox Frontier Diversified Fund, ($160) for the Equinox Frontier Select Fund, ($1,171) for the Equinox Frontier Heritage Fund, ($3,280) for the Equinox Frontier Winton Fund and $1,264 for the Equinox Frontier Masters Fund.

Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1, and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner.

The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three and six months ended March 31,June 30, 2015 and 2014:

   2015   2014   2015  2014 
   Gross Amount
Paid to the
Managing
Owner
   Gross Amount
Paid to the
Managing
Owner
   Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
 

Equinox Frontier Diversified Fund Class 1

  $13,441    $18,329     0.07  0.07

Equinox Frontier Diversified Fund Class 2

   24,311     22,729     0.08  0.07

Equinox Frontier Diversified Fund Class 3

   4,562     161     0.13  0.03

Equinox Frontier Masters Fund Class 1

   8,161     15,782     0.07  0.08

Equinox Frontier Masters Fund Class 2

   6,281     7,629     0.08  0.08

Equinox Frontier Masters Fund Class 3

   3,349     407     0.11  0.08

Equinox Frontier Long/Short Commodity Fund Class 2

   895     1,996     0.07  0.08

Equinox Frontier Long/Short Commodity Fund Class 3

   5,174     6,853     0.07  0.08

Equinox Frontier Long/Short Commodity Fund Class 1a

   4,027     6,010     0.07  0.08

Equinox Frontier Long/Short Commodity Fund Class 2a

   1,188     2,152     0.07  0.08

Equinox Frontier Long/Short Commodity Fund Class 3a

   480     302     0.09  0.08

Equinox Frontier Balanced Fund Class 1

   206,350     265,807     0.33  0.36

Equinox Frontier Balanced Fund Class 1AP

   2,192     n/a     0.01  n/a  

Equinox Frontier Balanced Fund Class 2

   69,007     87,195     0.34  0.36

Equinox Frontier Balanced Fund Class 2a

   322     341     0.06  0.07

Equinox Frontier Balanced Fund Class 3a

   1,475     1,584     0.07  0.07

Equinox Frontier Select Fund Class 1

   24,071     50,021     0.19  0.35

Equinox Frontier Select Fund Class 1AP

   85     n/a     0.00  n/a  

Equinox Frontier Select Fund Class 2

   2,762     5,692     0.20  0.35

Equinox Frontier Winton Fund Class 1

   122,407     112,028     0.53  0.45

Equinox Frontier Winton Fund Class 1AP

   177     n/a     0.01  n/a  

Equinox Frontier Winton Fund Class 2

   60,971     46,159     0.57  0.45

Equinox Frontier Heritage Fund Class 1

   30,992     37,170     0.37  0.38

Equinox Frontier Heritage Fund Class 1AP

   188     n/a     0.01  n/a  

Equinox Frontier Heritage Fund Class 2

   10,169     10,045     0.38  0.38
  

 

 

   

 

 

    

Total

$603,037  $698,392  
  

 

 

   

 

 

    
Three Months Ended

  6/30/2015  6/30/2014  6/30/2015  6/30/2014 
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
 

Equinox Frontier Diversified Fund Class 1

 $11,399   $13,962    0.06  0.07

Equinox Frontier Diversified Fund Class 2

  22,235    19,214    0.06  0.07

Equinox Frontier Diversified Fund Class 3

  5,152    699    0.07  0.06

Equinox Frontier Masters Fund Class 1

  7,621    10,192    0.07  0.07

Equinox Frontier Masters Fund Class 2

  6,063    6,395    0.07  0.07

Equinox Frontier Masters Fund Class 3

  3,480    1,270    0.07  0.07

Equinox Frontier Long/Short Commodity Fund Class 2

  801    860    0.06  0.07

Equinox Frontier Long/Short Commodity Fund Class 3

  4,837    5,172    0.06  0.07

Equinox Frontier Long/Short Commodity Fund Class 1a

  3,600    4,191    0.06  0.07

Equinox Frontier Long/Short Commodity Fund Class 2a

  1,075    1,393    0.06  0.07

Equinox Frontier Long/Short Commodity Fund Class 3a

  469    286    0.06  0.07

Equinox Frontier Balanced Fund Class 1

  224,354    214,182    0.30  0.33

Equinox Frontier Balanced Fund Class 1AP

  2,435    N/A    0.01  N/A  

Equinox Frontier Balanced Fund Class 2

  76,515    69,432    0.30  0.33

Equinox Frontier Balanced Fund Class 2a

  358    309    0.06  0.07

Equinox Frontier Balanced Fund Class 3a

  1,642    1,355    0.06  0.07

Equinox Frontier Select Fund Class 1

  17,252    39,857    0.12  0.31

Equinox Frontier Select Fund Class 1AP

  64    N/A    0.00  N/A  

Equinox Frontier Select Fund Class 2

  1,941    4,400    0.12  0.31

Equinox Frontier Winton Fund Class 1

  119,313    101,949    0.44  0.43

Equinox Frontier Winton Fund Class 1AP

  177    N/A    0.00  N/A  

Equinox Frontier Winton Fund Class 2

  42,458    44,763    0.31  0.43

Equinox Frontier Heritage Fund Class 1

  30,474    30,529    0.30  0.35

Equinox Frontier Heritage Fund Class 1AP

  193    N/A    0.01  N/A  

Equinox Frontier Heritage Fund Class 2

  10,079    8,905    0.30  0.35
 

 

 

  

 

 

   

Total

 $593,987   $579,315    
 

 

 

  

 

 

   

Six Months Ended

  6/30/2015  6/30/2014  6/30/2015  6/30/2014 
  Gross Amount
Paid to the
Managing
Owner
  Gross Amount
Paid to the
Managing
Owner
  Ratio to
Average Net
Assets
  Ratio to
Average Net
Assets
 

Equinox Frontier Diversified Fund Class 1

 $24,840   $32,290    0.13  0.15

Equinox Frontier Diversified Fund Class 2

  46,546    41,944    0.13  0.14

Equinox Frontier Diversified Fund Class 3

  9,714    860    0.13  0.08

Equinox Frontier Masters Fund Class 1

  15,782    25,974    0.14  0.18

Equinox Frontier Masters Fund Class 2

  12,344    14,025    0.14  0.16

Equinox Frontier Masters Fund Class 3

  6,829    1,677    0.14  0.09

Equinox Frontier Long/Short Commodity Fund Class 2

  1,696    2,856    0.13  0.24

Equinox Frontier Long/Short Commodity Fund Class 3

  10,011    12,025    0.13  0.17

Equinox Frontier Long/Short Commodity Fund Class 1a

  7,628    10,200    0.13  0.18

Equinox Frontier Long/Short Commodity Fund Class 2a

  2,263    3,544    0.13  0.18

Equinox Frontier Long/Short Commodity Fund Class 3a

  949    588    0.13  0.15

Equinox Frontier Balanced Fund Class 1

  430,704    479,990    0.57  0.73

Equinox Frontier Balanced Fund Class 1AP

  4,627    N/A    0.02  N/A  

Equinox Frontier Balanced Fund Class 2

  145,522    156,628    0.57  0.74

Equinox Frontier Balanced Fund Class 2a

  680    650    0.12  0.14

Equinox Frontier Balanced Fund Class 3a

  3,118    2,939    0.11  0.14

Equinox Frontier Select Fund Class 1

  41,323    89,879    0.29  0.69

Equinox Frontier Select Fund Class 1AP

  149    N/A    0.00  N/A  

Equinox Frontier Select Fund Class 2

  4,702    10,092    0.29  0.70

Equinox Frontier Winton Fund Class 1

  241,720    213,976    0.89  0.90

Equinox Frontier Winton Fund Class 1AP

  354    N/A    0.01  N/A  

Equinox Frontier Winton Fund Class 2

  103,429    90,922    0.76  0.87

Equinox Frontier Heritage Fund Class 1

  61,466    67,699    0.60  0.77

Equinox Frontier Heritage Fund Class 1AP

  381    N/A    0.01  N/A  

Equinox Frontier Heritage Fund Class 2

  20,247    18,948    0.60  0.74
 

 

 

  

 

 

   

Total

$1,197,024  $1,277,706  
 

 

 

  

 

 

   

The Managing Owner, under an amended contract, paid to The Bornhoft Group Corporation, an affiliate of the Trust, an annual payment of $1,100,000 for the first year of the contract and $600,000 for the second year of the contract, and $300,000 for the third and final year for investment and advisor services and 0.1% annually thereafter of the trading level with the Equinox Frontier Balanced Fund in lieu of a monthly service fee. The Managing Owner paid $139,848 and $221,095 respectively under this agreement for the three months ended March 31,June 30, 2015 and 2014, respectively. These amounts have no impact on the Series’ financial statements. This contract will endended April 30, 2015.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $305,000$730,000 and $230,000, respectively,$241,667 for the six months ended June 30, 2015 and 2014, and $425,000 and $91,667 for the three months ended March 31, 2015 andJune 30, 2014, respectively. These amounts have no impact on the Series’ financial statements.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $316,272$623,715 and $208,417,$581,681, respectively, for the six months ended June 30, 2015 and 2014 and $307,442 and $272,694 for the three months ended March 31,June 30, 2015 and 2014.2014, respectively. These amounts have no impact on the Series’ financial statements.

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.

7. Financial Highlights

The following information presents the financial highlights of the Trust, with respect to the Series, for the three and six months ended March 31,June 30, 2015 and 2014.

  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, 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

  0.34    0.37    0.34    0.34    0.37    0.34    0.40    0.40    0.29    0.33    0.33  

Expenses

  (5.23  (4.95  (4.58  (4.79  (4.54  (4.21  (3.70  (3.71  (3.29  (2.98  (2.99

Net gain/(loss) on investments, net of non-controlling interests

  23.46    25.67    23.78    16.22    17.76    16.54    31.20    31.03    22.58    24.79    24.98  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

 18.57   21.09   19.54   11.77   13.59   12.67   27.90   27.72   19.58   22.14   22.32  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, March 31, 2015

$131.66  $145.76  $134.57  $128.38  $142.12  $131.73  $166.20  $166.06  $120.70  $133.49  $134.09  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

Net investment income/(loss)

 -8.00 -5.53 -5.53 -8.34 -6.12 -6.12 -4.59 -4.59 -6.69 -4.59 -4.41

Expenses before incentive fees (4)

 6.48 4.01 4.01 7.40 5.17 5.17 4.32 4.32 6.42 4.32 4.09

Expenses after incentive fees (4)

 9.10 6.63 6.63 9.45 7.23 7.23 5.65 5.65 7.75 5.65 5.47

Total return before incentive fees (2)

 19.04 19.53 19.60 12.15 12.63 12.70 21.50 21.36 20.69 21.21 21.35

Total return after incentive fees (2)

 16.42 16.92 16.99 10.09 10.57 10.64 20.17 20.04 19.36 19.88 19.97

   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, 2014

  $131.54   $133.20   $179.16   $153.02   $152.52   $95.61   $96.82   $128.48  

Net operating results:

         

Interest income

   0.01    0.01    0.01    0.01    0.01    0.00    0.00    0.00  

Expenses

   (3.68  (2.67  (3.59  (3.07  (3.06  (2.46  (1.73  (2.29

Net gain/(loss) on investments, net of non-controlling interests

   20.93    21.26    28.59    24.80    24.72    13.01    13.22    17.54  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

 17.26   18.60   25.01   21.74   21.67   10.55   11.49   15.25  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, March 31, 2015

$148.80  $151.80  $204.17  $174.76  $174.19  $106.16  $108.31  $143.73  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

Net investment income/(loss)

 -6.17 -3.14 -3.14 -3.14 -3.14 -6.75 -3.75 -3.75

Expenses before incentive fees (4)

 4.78 1.76 1.76 1.76 1.76 5.77 2.76 2.76

Expenses after incentive fees (4)

 6.19 3.17 3.17 3.17 3.17 6.75 3.75 3.75

Total return before incentive fees (2)

 14.54 15.38 15.38 15.62 15.62 12.02 12.85 12.85

Total return after incentive fees (2)

 13.12 13.96 13.96 14.21 14.21 11.03 11.87 11.87

  Equinox Frontier Winton Fund (6) Equinox Frontier Heritage Fund (6)     Equinox Frontier Diversified Fund Equinox Frontier Masters Fund Equinox Frontier Long/Short Commodity Fund 
  Class 1 Class 1AP Class 2 Class 1 Class 1AP Class 2     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

  $175.95   $178.18   $226.23   $130.28   $131.93   $176.56  

Net asset value, March 31, 2015

    $131.66   $145.76   $134.57   $128.38   $142.12   $131.73    $166.20   $166.06   $120.70   $133.49   $134.09  

Net operating results:

                      

Interest income

   0.00   0.00   0.00   0.00   0.00   0.00       0.32   0.36   0.33   0.33   0.36   0.34    0.39   0.39   0.28   0.31   0.31  

Expenses

   (6.31 (5.03 (6.38 (3.44 (2.43 (3.26     (2.02 (1.39 (1.28 (2.44 (1.97 (1.82  (2.12 (2.12 (2.11 (1.70 (1.71

Net gain/(loss) on investments, net of non-controlling interests

   22.26   22.62   28.71   21.03   21.36   28.59       (14.41 (16.24 (14.92 (16.26 (18.19 (16.80  (16.31 (16.13 (11.70 (13.07 (13.05
  

 

  

 

  

 

  

 

  

 

  

 

     

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

 

Net income/(loss)

 15.95   17.59   22.33   17.59   18.93   25.33       (16.11 (17.27 (15.87 (18.37 (19.80 (18.28  (18.04 (17.86 (13.53 (14.46 (14.45
  

 

  

 

  

 

  

 

  

 

  

 

     

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

 

Net asset value, March 31, 2015

$191.90  $195.77  $248.56  $147.87  $150.86  $201.89  
  

 

  

 

  

 

  

 

  

 

  

 

 

Net asset value, June 30, 2015

    $115.55   $128.49   $118.70   $110.01   $122.32   $113.45    $148.16   $148.20   $107.17   $119.03   $119.64  
    

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

 

Ratios to average net assets (3)

               

Net investment income/(loss)

 -8.63 -5.63 -5.63 -7.00 -3.99 -3.99     -5.46 -2.97 -2.97 -6.56 -4.36 -4.36  -3.82 -3.82 -5.89 -3.82 -3.79

Expenses before incentive fees (4)

 6.91 3.90 3.90 6.05 3.03 3.03     6.50 4.01 4.01 7.50 5.30 5.30  4.59 4.59 6.67 4.59 4.55

Expenses after incentive fees (4)

 8.63 5.63 5.63 7.00 3.99 3.99     6.51 4.02 4.02 7.67 5.46 5.46  4.83 4.83 6.90 4.83 4.80

Total return before incentive fees (2)

 10.79 11.59 11.59 14.46 15.31 15.30     -12.23 -11.84 -11.79 -14.14 -13.77 -13.71  -10.62 -10.52 -10.98 -10.60 -10.53

Total return after incentive fees (2)

 9.07 9.87 9.87 13.50 14.35 14.35     -12.24 -11.85 -11.79 -14.31 -13.93 -13.88  -10.85 -10.76 -11.21 -10.83 -10.78
    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, March 31, 2015

    $148.80   $151.80   $204.17   $174.76   $174.19     $106.16   $108.31   $143.73    

Net operating results:

               

Interest income

     0.01   0.01   0.02   0.01   0.01     0.00   0.00   0.00    

Expenses

     (1.71 (0.66 (0.89 (0.76 (0.76   (1.42 (0.70 (0.93  

Net gain/(loss) on investments, net of non-controlling interests

     (15.28 (15.66 (21.06 (17.65 (17.59   (17.43 (17.87 (23.71  
    

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

   

Net income/(loss)

     (16.98 (16.31 (21.93 (18.40 (18.34   (18.85 (18.57 (24.64  
    

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

   

Net asset value, June 30, 2015

    $131.82   $135.49   $182.24   $156.36   $155.85     $87.31   $89.74   $119.09    
    

 

  

 

  

 

  

 

  

 

    

 

  

 

  

 

   

Ratios to average net assets (3)

               

Net investment income/(loss)

     -4.76 -1.76 -1.76 -1.76 -1.76   -5.81 -2.81 -2.81  

Expenses before incentive fees (4)

     4.78 1.78 1.78 1.78 1.78   5.81 2.81 2.81  

Expenses after incentive fees (4)

     4.79 1.79 1.79 1.79 1.79   5.81 2.81 2.81  

Total return before incentive fees (2)

     -11.40 -10.74 -10.73 -10.52 -10.52   -17.76 -17.15 -17.14  

Total return after incentive fees (2)

     -11.41 -10.74 -10.74 -10.53 -10.53   -17.76 -17.15 -17.14  
    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, March 31, 2015

    $191.90   $195.77   $248.56   $147.87   $150.86   $201.89        

Net operating results:

               

Interest income

     0.00   0.00   0.00   0.00   0.00   0.00        

Expenses

     (3.06 (1.76 (2.23 (2.01 (1.01 (1.35      

Net gain/(loss) on investments, net of non-controlling interests

     (22.99 (23.55 (29.90 (19.76 (20.24 (27.09      
    

 

  

 

  

 

  

 

  

 

  

 

       

Net income/(loss)

     (26.05 (25.31 (32.13 (21.77 (21.25 (28.44      
    

 

  

 

  

 

  

 

  

 

  

 

       

Net asset value, June 30, 2015

    $165.85   $170.46   $216.43   $126.10   $129.61   $173.45        
    

 

  

 

  

 

  

 

  

 

  

 

       

Ratios to average net assets (3)

               

Net investment income/(loss)

     -6.83 -3.82 -3.82 -5.88 -2.88 -2.88      

Expenses before incentive fees (4)

     6.83 3.82 3.82 5.88 2.88 2.88      

Expenses after incentive fees (4)

     6.83 3.82 3.82 5.88 2.88 2.88      

Total return before incentive fees (2)

     -13.57 -12.93 -12.93 -14.72 -14.09 -14.09      

Total return after incentive fees (2)

     -13.57 -12.93 -12.93 -14.72 -14.09 -14.09      

 

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

 Equinox Frontier Diversified Fund (5) Equinox Frontier Masters Fund Equinox Frontier Long/Short Commodity Fund  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  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 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

 0.23   0.25   0.23   0.28   0.30   0.28   0.38   0.38   0.28   0.30   0.30   0.66   0.73   0.68   0.67   0.74   0.68   0.79   0.79   0.58   0.64   0.64  

Expenses

 (1.97 (1.62 (1.50 (1.82 (1.47 (1.36 (2.03 (2.02 (1.94 (1.62 (1.61 (7.34 (6.43 (5.94 (7.24 (6.53 (6.03 (5.86 (5.86 (5.42 (4.71 (4.73

Net gain/(loss) on investments, net of non-controlling interests

 (2.59 (2.93 (0.02 (2.99 (3.34 (3.03 (12.13 (12.15 (8.65 (9.46 (9.42 9.13   9.51   8.93   (0.03 (0.42 (0.26 14.93   14.93   10.90   11.76   11.96  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net income/(loss)

 (4.33 (4.30 (1.29 (4.53 (4.50 (4.11 (13.78 (13.79 (10.31 (10.78 (10.73 2.46   3.82   3.67   (6.60) (6.21 (5.61 9.86   9.86  6.05   7.68  7.87  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net asset value, March 31, 2014

$82.77  $90.05  $82.92  $87.30  $94.96  $87.80  $111.48  $111.51  $82.42  $89.56  $89.74  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Net asset value, June 30, 2015

 $115.55   $128.49   $118.70   $110.01   $122.32   $113.45   $148.16   $148.20   $107.17   $119.03   $119.64  
 

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

  

 

 

Ratios to average net assets (3)

         

Net investment income/(loss)

 -6.17 -3.86 -3.86 -6.99 -4.87 -4.87 -5.64 -5.64 -7.73 -5.64 -5.64 -8.11 -5.63 -5.63 -8.60 -6.39 -6.39 -5.01 -5.01 -7.10 -5.01 -4.94

Expenses before incentive fees (4)

 6.57 4.26 10.95 8.23 6.11 6.11 6.94 6.94 9.03 6.94 6.94 6.49 4.01% 4.01 7.45% 5.24 5.24 4.45 4.45% 6.54 4.45% 4.31

Expenses after incentive fees (4)

 7.30 4.99 11.68 8.28 6.15 6.11 6.94 6.94 9.03 6.94 6.94 9.18 6.70% 6.70 9.71 7.49 7.49 6.04 6.04 8.13 6.04 5.97

Total return before incentive fees (2)

 -4.24 -3.82 -0.80 -4.89 -4.48 -4.43 -11.00 -11.01 -11.12 -10.74 -10.68 4.86 5.75% 5.88 -3.40 -2.57 -2.45 8.72 8.72 7.57 8.49 8.70

Total return after incentive fees (2)

 -4.97 -4.56 -1.53 -4.93 -4.52 -4.47 -11.00 -11.01 -11.12 -10.74 -10.68 2.18 3.06% 3.19 -5.66 -4.83 -4.71 7.13 7.13 5.98 6.90 7.04
 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

 0.02   0.02  0.03   0.02  0.02    0.00   0.00  0.00    

Expenses

 (5.40 (3.35) (4.51 (3.86) (3.84  (3.89 (2.44) (3.24  

Net gain/(loss) on investments, net of non-controlling interests

 5.66   5.62  7.56   7.17  7.15    (4.41 (4.64) (6.15  
 

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

   

Net income/(loss)

 0.28   2.29  3.08   3.34  3.33    (8.30 (7.08) (9.39  
 

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

   

Net asset value, June 30, 2015

 $131.82   $135.49  $182.24   $156.36  $155.85    $87.31   $89.74  $119.09    
 

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

   

Ratios to average net assets (3)

         

Net investment income/(loss)

 -6.18 -3.17 -3.17 -3.17 -3.17  -6.80 -3.80 -3.80  

Expenses before incentive fees (4)

 4.78 1.77% 1.77 1.77% 1.77  5.79 2.79% 2.79  

Expenses after incentive fees (4)

 6.21 3.20% 3.20 3.20 3.20  6.80 3.80 3.80  

Total return before incentive fees (2)

 1.65 3.15% 3.15 3.62 3.62  -7.67 -6.30 -6.29  

Total return after incentive fees (2)

 0.21 1.72% 1.72 2.18 2.18  -8.68 -7.31 -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, 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

 (9.39 (6.81) (8.65 (5.46) (3.45 (4.62     

Net gain/(loss) on investments, net of non-controlling interests

 (0.71 (0.91) (1.15 1.28  1.13   1.51       
 

 

  

 

  

 

  

 

  

 

  

 

      

Net income/(loss)

 (10.10 (7.72) (9.80 (4.18) (2.32 (3.11     
 

 

  

 

  

 

  

 

  

 

  

 

      

Net asset value, June 30, 2015

 $165.85   $170.46  $216.43   $126.10  $129.61   $173.45       
 

 

  

 

  

 

  

 

  

 

  

 

      

Ratios to average net assets (3)

         

Net investment income/(loss)

 -8.62 -5.62 -5.62 -6.94 -3.93 -3.93     

Expenses before incentive fees (4)

 6.87 3.86% 3.86 5.96% 2.96 2.96     

Expenses after incentive fees (4)

 8.62 5.62% 5.62 6.94 3.93 3.93     

Total return before incentive fees (2)

 -3.99 -2.58 -2.58 -2.23 -0.78 -0.79     

Total return after incentive fees (2)

 -5.74 -4.33 -4.33 -3.21 -1.76 -1.76     

 

   Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
   Class 1  Class 2  Class 2a  Class 3a  Class 1  Class 2 

Per unit operating performance (1)

       

Net asset value, December 31, 2013

  $106.29   $140.49   $118.80   $118.41   $79.86   $104.14  

Net operating results:

       

Interest income

   0.01    0.00    0.37    0.37    0.00    0.00  

Expenses

   (1.81  (1.39  (1.17  (1.17  (1.36  (1.05

Net gain/(loss) on investments, net of non-controlling interests

   (2.49  (3.29  (2.83  (2.81  (3.49  (4.54
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

 (4.30 (4.68 (3.63 (3.61 (4.85 (5.59
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, March 31, 2014

$101.99  $135.81  $115.17  $114.80  $75.01  $98.55  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

Net investment income/(loss)

 -5.42 -2.42 -1.17 -1.17 -7.28 -4.28

Expenses before incentive fees (4)

 4.91 1.91 1.91 1.91 7.28 4.28

Expenses after incentive fees (4)

 5.46 2.46 2.46 2.46 7.28 4.28

Total return before incentive fees (2)

 -3.50 -2.79 -2.51 -2.50 -6.07 -5.37

Total return after incentive fees (2)

 -4.05 -3.33 -3.06 -3.05 -6.07 -5.37

   Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
   Class 1  Class 2  Class 1  Class 2 

Per unit operating performance (1)

     

Net asset value, December 31, 2013

  $139.59   $174.17   $102.05   $134.21  

Net operating results:

     

Interest income

   0.00    0.00    0.00    0.00  

Expenses

   (2.35  (1.68  (1.52  (1.05

Net gain/(loss) on investments, net of non-controlling interests

   (0.31  (0.37  (5.12  (6.75
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

 (2.66 (2.05 (6.64 (7.80
  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, March 31, 2014

$136.93  $172.12  $95.41  $126.41  
  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

Net investment income/(loss)

 -7.01 -4.01 -6.35 -3.35

Expenses before incentive fees (4)

 7.01 4.01 6.35 3.35

Expenses after incentive fees (4)

 7.01 4.01 6.35 3.35

Total return before incentive fees (2)

 -1.91 -1.18 -6.51 -5.81

Total return after incentive fees (2)

 -1.91 -1.18 -6.51 -5.81

 

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

   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, March 31, 2014

  $82.77   $90.05  $82.92   $87.30  $94.96  $87.80   $111.48   $111.51  $82.42   $89.56  $89.74  

Net operating results:

            

Interest income

   0.22    0.24    0.22    0.25    0.28    0.26    0.32    0.32    0.24    0.26    0.26  

Expenses

   (2.93  (2.66  (2.46  (2.42  (2.12  (1.97  (1.95  (1.95  (1.87  (1.57  (1.57

Net gain/(loss) on investments, net of non-controlling interests

   6.71    7.18    6.69    7.84    8.45    7.88    2.32    2.32    1.97    2.07    2.13  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

   4.00    4.76    4.45    5.67   6.61    6.17    0.69    0.69   0.34    0.76   0.82  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

  $86.77   $94.81   $87.37   $92.97   $101.57   $93.97   $112.17   $112.20   $82.76   $90.32   $90.56  
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

          

Net investment income/(loss)

   -7.61  -5.26  -5.26  -7.78  -5.61  -5.61  -5.80  -5.80  -7.89  -5.80  -5.80

Expenses before incentive fees (4)

   6.82  4.47%  4.47  8.26%  6.09%  6.09  6.96  6.96%  9.04  6.96%  6.96

Expenses after incentive fees (4)

   8.65  6.31%  4.47  8.93  6.77%  6.09  6.96  6.96  9.04  6.96  6.96

Total return before incentive fees (2)

   6.67  7.12%  5.37  7.17  7.64%  7.03  0.62  0.62  0.41  0.85  0.91

Total return after incentive fees (2)

   4.83  5.29%  5.37  6.49  6.96%  7.03  0.62  0.62  0.41  0.85  0.91

  Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
  Class 1  Class 2  Class 2a  Class 3a  Class 1  Class 2 

Per unit operating performance (1)

      

Net asset value, March 31, 2014

 $101.99   $135.81   $115.17  $114.80   $75.01   $98.55 

Net operating results:

      

Interest income

  0.01    0.01    0.01   0.01    0.00    0.00 

Expenses

  (2.27  (2.02  (1.72)  (1.71  (1.58  (1.34)

Net gain/(loss) on investments, net of non-controlling interests

  4.13    5.55    5.02   4.99    4.80    6.35 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  1.87    3.54    3.31   3.29    3.22    5.01 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

 $103.86   $139.35   $118.48  $118.09   $78.23   $103.56 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

      

Net investment income/(loss)

  -5.91  -2.91  -2.91  -2.91  -7.82  -4.81

Expenses before incentive fees (4)

  4.94  1.93  1.93%  1.93  7.63  4.63%

Expenses after incentive fees (4)

  5.94  2.94  2.94  2.94  7.82  4.81

Total return before incentive fees (2)

  2.84  3.61  3.88  3.87  4.48  5.27

Total return after incentive fees (2)

  1.83  2.61  2.87  2.87  4.29  5.08

   Equinox Frontier Winton Fund  Equinox Frontier Heritage
Fund
 
   Class 1  Class 2  Class 1  Class 2 

Per unit operating performance (1)

     

Net asset value, March 31, 2014

  $136.93   $172.12   $95.41  $126.41  

Net operating results:

     

Interest income

   0.00    0.00    0.00   0.00  

Expenses

   (4.21  (3.98  (2.38)  (2.19

Net gain/(loss) on investments, net of non-controlling interests

   12.35    15.58    9.55   12.71  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

   8.14    11.60    7.17   10.52  
  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

  $145.07   $183.72   $102.58  $136.93  
  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

     

Net investment income/(loss)

   -8.34  -5.34  -7.41  -4.41

Expenses before incentive fees (4)

   7.13  4.12%  6.65%  3.64

Expenses after incentive fees (4)

   8.34  5.34%  7.41  4.41

Total return before incentive fees (2)

   7.16  7.95  8.28  9.09

Total return after incentive fees (2)

   5.94  6.74  7.51  8.32

(1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.
(3)Annualized with the exception of incentive fees.
(4)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(5)Class 3 began operations on February 24, 2014.

  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

  0.45    0.49    0.45    0.53    0.58    0.54    0.71    0.71    0.52    0.57    0.57  

Expenses

  (4.84  (4.22  (3.88  (4.17  (3.53  (3.30  (4.01  (3.97  (3.82  (3.20  (3.18

Net gain/(loss) on investments, net of non-controlling interests

  4.06    4.19    6.59    4.78    5.06    4.82    (9.79  (9.84  (6.67  (7.39  (7.30
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  (0.33  0.46    3.16    1.14   2.11    2.06   (13.09  (13.10)  (9.97  (10.02)  (9.91
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

 $86.77   $94.81   $87.37   $92.97   $101.57   $93.97   $112.17   $112.20   $82.76   $90.32   $90.56  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

           

Net investment income/(loss)

  -8.08  -5.75  -5.75  -7.67  -5.53  -5.53  -5.71  -5.71  -7.79  -5.71  -5.71

Expenses before incentive fees (4)

  6.67  4.35%  22.48  8.23%  6.10  6.10%  6.94  6.94%  9.03  6.94%  6.94

Expenses after incentive fees (4)

  9.17  6.84%  22.48  8.90  6.76  6.10  6.94  6.94  9.03  6.94  6.94

Total return before incentive fees (2)

  2.12  2.98%  3.75  1.90  2.78  2.24  -10.45  -10.45  -10.75  -9.99  -9.86

Total return after incentive fees (2)

  -0.38  0.49%  3.75  1.24  2.12  2.24  -10.45  -10.45  -10.75  -9.99  -9.86

  Equinox Frontier Balanced Fund  Equinox Frontier Select Fund 
  Class 1  Class 2  Class 2a  Class 3a  Class 1  Class 2 

Per unit operating performance (1)

      

Net asset value, December 31, 2013

 $106.29   $140.49   $118.80  $118.41   $79.86   $104.14  

Net operating results:

      

Interest income

  0.02    0.02    0.02   0.02    0.00    0.00  

Expenses

  (4.05  (3.37  (2.86)  (2.85  (2.93  (2.37

Net gain/(loss) on investments, net of non-controlling interests

  1.60    2.21    2.52   2.51    1.30    1.79  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  (2.43  (1.14  (0.32)  (0.32  (1.63  (0.58
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

 $103.86   $139.35   $118.48  $118.09   $78.23   $103.56  
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

      

Net investment income/(loss)

  -6.41  -3.41  -3.41  -3.41  -7.62  -4.62

Expenses before incentive fees (4)

  4.92  1.92  1.92%  1.92  7.45  4.45

Expenses after incentive fees (4)

  6.45  3.44  3.44  3.44  7.62  4.62

Total return before incentive fees (2)

  -0.76  0.71  1.25  1.25  -1.87  -0.38

Total return after incentive fees (2)

  -2.29  -0.81  -0.27  -0.27  -2.04  -0.56

  Equinox Frontier Winton Fund  Equinox Frontier Heritage Fund 
  Class 1  Class 2  Class 1  Class 2 

Per unit operating performance (1)

    

Net asset value, December 31, 2013

 $139.59   $174.17   $102.05  $134.21  

Net operating results:

    

Interest income

  0.00    0.00    0.00   0.00  

Expenses

  (6.51  (5.60  (3.85)  (3.18

Net gain/(loss) on investments, net of non-controlling interests

  11.99    15.15    4.38   5.90  
 

 

 

  

 

 

  

 

 

  

 

 

 

Net income/(loss)

  5.48    9.55    0.53   2.72  
 

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, June 30, 2014

 $145.07   $183.72   $102.58  $136.93  
 

 

 

  

 

 

  

 

 

  

 

 

 

Ratios to average net assets (3)

    

Net investment income/(loss)

  -8.27  -5.27  -7.22  -4.22

Expenses before incentive fees (4)

  7.06  4.06%  6.49%  3.49

Expenses after incentive fees (4)

  8.27  5.27%  7.22  4.22

Total return before incentive fees (2)

  5.13  6.69  1.25  2.76

Total return after incentive fees (2)

  3.93  5.48  0.52  2.03

(1)Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.
(3)Annualized with the exception of incentive fees.
(4)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(5)Class 3 began operations on February 24, 2014.

8. Derivative Instruments and Hedging Activities

The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815,Derivatives and Hedging (“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of March 31,June 30, 2015 and December 31, 2014 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For the Three Months Ended March 31,June 30, 2015

Monthly average contracts:

 

  Bought   Sold   Bought   Sold 

Equinox Frontier Select Fund

   546     584  

Equinox Frontier Balanced Fund

   1,797     1,774     1,797     1,774  

Equinox Frontier Diversified Fund

   2,769     2,726     2,769     2,726  

Equinox Frontier Select Fund

   546     584  

For the Three Months Ended March 31,June 30, 2014

Monthly average contracts:

 

  Bought   Sold 
  Bought   Sold 

Equinox Frontier Long/Short Commodity Fund

   3,519     3,829     67     66  

Equinox Frontier Balanced Fund

   4,255     4,213     3,740     3,748  

Equinox Frontier Masters Fund

   79     113  

For the Six Months Ended June 30, 2015

Monthly average contracts:

   Bought   Sold 

Equinox Frontier Select Fund

   1,255     1,304  

Equinox Frontier Balanced Fund

   4,039     3,985  

Equinox Frontier Diversified Fund

   6,368     6,338  

For the Six Months Ended June 30, 2014

Monthly average contracts:

   Bought   Sold 

Equinox Frontier Long/Short Commodity Fund

   3,593     3,902  

Equinox Frontier Balanced Fund

   8,390     8,355  

Equinox Frontier Masters Fund

   79     113  

The following tables summarize the trading revenues for the three and six months ended March 31,June 30, 2015 and 2014 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

for the YearThree Months Ended March 31,June 30, 2015

 

Type of contract

  Equinox Frontier
Select Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
   Equinox Frontier Select
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $(545,578  $(373,850  $(480,274  $(201,265  $(370,488  $(145,932

Currencies

   333,693     1,690,865     1,300,174     (645,245   (1,169,704   259,547  

Energies

   693,912     566,049     673,969     (440,367   119,419     (612,864

Agriculturals

   (27,708   40,555     43,268     (104,895   (75,520   (235,594

Interest rates

   1,052,987     2,082,162     4,697,960     (848,640   (1,397,750   427,927  

Stock indices

   778,321     2,269,898     2,166,072     76,440     211,184     787,414  
  

 

   

 

   

 

   

 

   

 

   

 

 

Realized trading income/(loss)(1)

$2,285,627  $6,275,679  $8,401,169    $(2,163,972  $(2,682,859  $480,498  
  

 

   

 

   

 

   

 

   

 

   

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the YearThree Months Ended March 31,June 30, 2014

 

Type of contract

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

Metals

  $(81,704  $(669,721  $(5,850  $21,000    $(318,434

Currencies

   (278,672   200,590     (130,109   —       (391,938

Energies

   (2,017,253   42,957     (783   96,785     (96,424

Agriculturals

   4,242     298,097     (19,987   (257,049   (138,369

Interest rates

   (227,164   3,384,701     471,687     3,989     2,409,585  

Stock indices

   164,056     362,538     10,906     (9,090   2,647,014  
  

 

   

 

   

 

   

 

   

 

 

Realized trading income/(loss)(1)

$(2,436,495$3,619,162  $325,864  

Realized trading income/(loss)(1)

  $(144,365  $4,111,434  
  

 

   

 

   

 

   

 

   

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2015

Type of contract

  Equinox Frontier Select
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $(746,843  $(744,338  $(626,206

Currencies

   (311,552   521,161     1,559,721  

Energies

   253,545     685,468     19,336  

Agriculturals

   (132,603   (34,965   (192,326

Interest rates

   206,485     712,111     5,125,887  

Stock indices

   852,623     2,453,383     2,995,255  
  

 

 

   

 

 

   

 

 

 

Realized trading income/(loss)(1)

  $121,655    $3,592,820    $8,881,667  
  

 

 

   

 

 

   

 

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2014

Type of contract  Equinox Frontier
Long/Short Commodity
Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $(60,704  $(988,064  $(5,850

Currencies

   (278,672   (191,348   (130,109

Energies

   (1,920,468   (53,467   (783

Agriculturals

   (252,807   159,728     (19,987

Interest rates

   (223,175   5,794,195     471,687  

Stock indices

   154,966     3,009,552     10,927  
  

 

 

   

 

 

   

 

 

 

Realized trading income/(loss)(1)

  $(2,580,860  $7,730,596    $325,885  
  

 

 

   

 

 

   

 

 

 

 

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

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

for the Three Months Ended March 31,June 30, 2015

 

Type of contract

  Equinox Frontier
Select Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
   Equinox Frontier
Select Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $406,842    $84,744    $169,599    $138,192    $(77,032  $6,780  

Currencies

   72,173     (201,541   (702,482   (98,437   165,879     (364,623

Energies

   (660,346   (545,488   (310,222   (83,883   (84,762   (92,955

Agriculturals

   78,938     (104,841   294,460     (516,454   218,632     (521,317

Interest rates

   (436,930   (247,430   (313,845   (139,963   (683,706   (1,291,495

Stock indices

   (164,760   (351,259   734,599     (202,114   (586,952   (820,705
  

 

   

 

   

 

   

 

   

 

   

 

 

Change in unrealized trading income/(loss)(1)

$(704,083$(1,365,815$(127,891  $(902,659  $(1,047,941  $(3,084,315
  

 

   

 

   

 

   

 

   

 

   

 

 

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

for the Three Months Ended March 31,June 30, 2014

 

Type of contract

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

Metals

  $(215,309  $(249,447  $73,476    $52,921    $(4,268

Currencies

   7,614     (172,087   (195,840   (14,053   (18,442

Energies

   1,579,466     (11,266   (135,932   51,961     219,801  

Agriculturals

   (2,194,012   167,631     (73,196   1,619,030     396,753  

Interest rates

   298,530     (129,512   55,085     24,050     1,252,653  

Stock indices

   (282,075   (1,764,483   193,070     33,223     (1,222,734
  

 

   

 

   

 

   

 

   

 

 

Change in unrealized trading income/(loss)(1)

$(805,786$(2,159,164$(83,337  $1,767,132    $623,763  
  

 

   

 

   

 

   

 

   

 

 

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

for the Six Months Ended June 30, 2015

Type of contract

  Equinox Frontier
Select Fund
   Equinox Frontier
Balanced Fund
   Equinox Frontier
Diversified Fund
 

Metals

  $545,034    $7,712    $176,379  

Currencies

   (26,264   (35,662   (1,067,105

Energies

   (744,229   (630,250   (403,177

Agriculturals

   (437,516   113,791     (226,857

Interest rates

   (576,893   (931,136   (1,605,340

Stock indices

   (366,874   (938,211   (86,106
  

 

 

   

 

 

   

 

 

 

Change in unrealized trading income/(loss)(1)

  $(1,606,742  $(2,413,756  $(3,212,206
  

 

 

   

 

 

   

 

 

 

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

for the Six Months Ended June 30, 2014

Type of contract

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

Metals

  $(162,388  $(253,715  $73,476  

Currencies

   (6,439   (190,539   (195,840

Energies

   1,631,427     208,535     (135,932

Agriculturals

   (574,982   564,384     (73,196

Interest rates

   322,580     1,123,141     55,085  

Stock indices

   (248,852   (2,987,207   193,070  
  

 

 

   

 

 

   

 

 

 

Change in unrealized trading income/(loss)(1)

  $961,346    $(1,535,401  $(83,337
  

 

 

   

 

 

   

 

 

 

 

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

Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from FCMsfutures 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 March 31,June 30, 2015 and December 31, 2014.

 

As of March 31, 2015  Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statements of
Financial Condition
   Net Amounts
Presented in the
Statements of
Financial
Condition
 
As of June 30, 2015 Gross Amounts
of recognized
Derivative Assets
 Gross Amounts
offset in the
Statements of
Financial Condition
 Net Amounts
Presented in the
Statements of
Financial
Condition
 

Equinox Frontier Balanced Fund

         

Open Trade Equity/(Deficit)

  $895,618    $(626,640  $268,978   $116,357   $(895,320 $(778,963

Swap Contracts

   23,473,632     —       23,473,632   18,491,634    —     18,491,634  

Equinox Frontier Diversified Fund

         

Open Trade Equity/(Deficit)

  $2,761,393    $(191,887  $2,569,506   $—     $(571,551 $(571,551

Options Purchased

   325,003     —       325,003   374,470    —     374,470  

Options Written

   —       (107,167   (107,167  —     (219,660 (219,660

Swap Contracts

  $9,559,124    $—      $9,559,124   $7,615,169   $—     7,615,169  

Equinox Frontier Long/Short Commodity Fund

         

Swap Contracts

  $5,301,972    $—      $5,301,972   $4,304,209   $—     4,304,209  

Equinox Frontier Heritage Fund

         

Swap Contracts

  $9,600,330    $—      $9,600,330   $7,809,251   $—     7,809,251  

Equinox Frontier Select Fund

         

Open Trade Equity/(Deficit)

  $3,215,206    $—      $958,673   $153,408   $(97,452 $55,956  

As of December 31, 2014  Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statements of
Financial Condition
   Net Amounts
Presented in the
Statements of
Financial
Condition
   Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statements of
Financial Condition
   Net Amounts
Presented in the
Statements of
Financial
Condition
 

Equinox Frontier Balanced Fund

            

Open Trade Equity/(Deficit)

  $4,281,391    $(983,842  $3,297,549    $4,281,391    $(983,842  $3,297,549  

Swap Contracts

   18,246,954     —       18,246,954     18,246,954     —       18,246,954  

Equinox Frontier Diversified Fund

            

Open Trade Equity/(Deficit)

  $3,215,206    $—      $3,215,206    $3,215,206    $—      $3,215,206  

Options Purchased

   288,413     —       288,413     288,413     —       288,413  

Options Written

   —       (253,018   (253,018   —       (253,018   (253,018

Swap Contracts

   6,570,408     —       6,570,408     6,570,408     —       6,570,408  

Equinox Frontier Long/Short Commodity Fund

            

Swap Contracts

  $3,633,060    $—      $3,633,060    $3,633,060    $—      $3,633,060  

Equinox Frontier Heritage Fund

            

Swap Contracts

  $7,540,465    $—      $7,540,465    $7,540,465    $—      $7,540,465  

9. Trading Activities and Related Risks

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

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

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

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

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

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

10. Indemnifications and Guarantees noted in Management Discussion and 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 or bad faith. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with UBS of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the guarantees in the accompanying financial statements as it expects any possibility of losses to be remote.

The Trust has guaranteed the obligations of the Trading Companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statement,statements, as it expects any possibility of losses to be remote.

11. Subsequent Events

Effective as of May 1, 2015, Mr. Richard E. Bornhoft no longer serves on the Executive Committee of the Managing Owner. As of May 1, 2015, the members of the Executive Committee are David DeMuth and Robert J. Enck.None.

Equinox Frontier Funds

Consolidated Statements of Financial Condition

March 31,June 30, 2015 (Unaudited) and December 31, 2014

 

  3/31/15   12/31/14 
  6/30/15   12/31/14 
ASSETS        

Cash and cash equivalents

  $9,415,473    $18,977,844    $21,392,438    $18,977,844  

U.S. Treasury securities, at fair value

   163,190,625     139,953,516     128,817,968     139,953,516  

Receivable from futures commission merchants

   74,616,685     65,911,348     61,682,864     65,911,348  

Open trade equity, at fair value

   3,400,773     14,824,422     —       14,824,422  

Options purchased, at fair value

   15,494,973     9,075,883     3,819,429     9,075,883  

Swap contracts, at fair value

   47,935,058     35,990,887     38,220,263     35,990,887  

Prepaid service fees

   22,502     16,042     29,917     16,042  

Interest receivable

   933,358     2,151,018     2,207,897     2,151,018  

Receivables from related parties

   4,726     5,661     5,058     5,661  

Other assets

   10     500,010     10     500,010  
  

 

   

 

   

 

   

 

 

Total Assets

$315,014,183  $287,406,631    $256,175,844    $287,406,631  
  

 

   

 

   

 

   

 

 
LIABILITIES & CAPITAL    

LIABILITIES

    

Open trade deficit, at fair value

$—    $—      $17,281    $—    

Written options, at fair value

 15,201,527   8,963,838     2,581,870     8,963,838  

Pending owner additions

 47,103   41,954     39,168     41,954  

Owner redemptions payable

 295,022   159,066     9,883     159,066  

Incentive fees payable to Managing Owner

 4,902,774   6,665,328     94,737     6,665,328  

Management fees payable to Managing Owner

 464,587   468,154     433,161     468,154  

Interest payable to Managing Owner

 227,324   203,086     207,941     203,086  

Trading fees payable to Managing Owner

 344,996   324,854     304,512     324,854  

Service fees payable to Managing Owner

 355,058   336,115     313,101     336,115  

Payables to related parties

 46,127   37,927     52,391     37,927  

Other liabilities

 —     —       —       —    
  

 

   

 

   

 

   

 

 

Total Liabilities

 21,884,518   17,200,322     4,054,045     17,200,322  
  

 

   

 

 
  

 

   

 

 

CAPITAL

    

Managing Owner Units

 6,627,187   5,736,634     5,851,215     5,672,261  

Limited Owner Units

 286,502,478   264,469,675     246,270,584     264,534,048  
  

 

   

 

   

 

   

 

 

Total Capital

 293,129,665   270,206,309     252,121,799     270,206,309  
  

 

   

 

 
  

 

   

 

 

Total Liabilities and Capital

$315,014,183  $287,406,631    $256,175,844    $287,406,631  
  

 

   

 

   

 

   

 

 

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

Equinox Frontier Funds

Consolidated Condensed Schedule of Investments

March 31,June 30, 2015 (Unaudited)

 

Description

  Value  % of Total Capital
(Net Asset Value)
 

 

LONG FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $(1,325,116  -0.45
 

Various base metals futures contracts (U.S.)

   (10,000  0.00
 

Various currency futures contracts (U.S.)

   220,063    0.08
 

Various energy futures contracts (Europe)

   4,391    0.00
 

Various energy futures contracts (Far East)

   (405  0.00
 

Various energy futures contracts (U.S.)

   (5,316,835  -1.81
 

Various interest rates futures contracts (Canada)

   (8,340  0.00
 

Various interest rates futures contracts (Europe)

   1,818,211    0.62
 

Various interest rates futures contracts (Far East)

   (183,801  -0.06
 

Various interest rates futures contracts (Oceanic)

   816,835    0.28
 

Various interest rates futures contracts (U.S.)

   2,755,627    0.94
 

Various soft futures contracts (Canada)

   (649  0.00
 

Various soft futures contracts (Europe)

   (2,200  0.00
 

Various soft futures contracts (Far East)

   (598  0.00
 

Various soft futures contracts (U.S.)

   (2,783  0.00
 

Various stock index futures contracts (Africa)

   (80,032  -0.03
 

Various stock index futures contracts (Canada)

   (13,956  0.00
 

Various stock index futures contracts (Europe)

   (2,324,161  -0.79
 

Various stock index futures contracts (Far East)

   (1,502  0.00
 

Various stock index futures contracts (Mexico)

   1,140    0.00
 

Various stock index futures contracts (Oceanic)

   246,912    0.08
 

Various stock index futures contracts (U.S.)

   755,950    0.26
 

Various precious metal futures contracts (U.S.)

   (272  0.00
 

Various precious metal futures contracts (Far East)

   60,204    0.02
 

Various soft futures contracts (Africa)

   213,172    0.07
   

 

 

  

 

 

 

Total Long Futures Contracts

$(2,378,145 -0.79
   

 

 

  

 

 

 

 

SHORT FUTURES CONTRACTS *

Various base metals futures contracts (Europe)

$1,314,266   0.45

Various base metals futures contracts (U.S.)

 (57,378 -0.02

Various currency futures contracts (Far East)

 7,405   0.00

Various currency futures contracts (U.S.)

 (167,825 -0.06

Various energy futures contracts (Europe)

 (717 0.00

Various energy futures contracts (Far East)

 (2,526 0.00

Various energy futures contracts (U.S.)

 3,027,788   1.03

Various interest rates futures contracts (Canada)

 335   0.00

Various interest rates futures contracts (Europe)

 (294,697 -0.10

Various interest rates futures contracts (Far East)

 9,046   0.00

Various interest rates futures contracts (U.S.)

 (802,889 -0.27

Various soft futures contracts (Europe)

 4,637   0.00

Various soft futures contracts (Oceanic)

 (79,360 -0.03

Various soft futures contracts (U.S.)

 187,803   0.06

Various stock index futures contracts (Europe)

 (511 0.00

Various stock index futures contracts (Far East)

 2,938,265   1.00

Various stock index futures contracts (U.S.)

 1,224   0.00

Various precious metal futures contracts (U.S.)

 28,034   0.01

Various precious metal futures contracts (Far East)

 (48,936 -0.02
   

 

 

  

 

 

 

Total Short Futures Contracts

$6,063,964   2.05
   

 

 

  

 

 

 

 

CURRENCY FORWARDS *

Various currency forwards contracts (NA)

$(285,046 -0.10
   

 

 

  

 

 

 

Total Currency Forwards

$(285,046 -0.10
   

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

$3,400,773   1.16
   

 

 

  

 

 

 

 

OPTIONS PURCHASED *

Various energy futures contracts (U.S.)

$8,161,080   2.78

Crude Oil Settling 5/18/2015 (Number of Contracts: 2976)

 3,153,130   1.08

Crude Oil Settling 4/20/2015 (Number of Contracts: 2976)

 3,687,630   1.26

Various soft futures contracts (U.S.)

 168,130   0.06

Various stock index futures contracts (U.S.)

 325,003   0.11
   

 

 

  

 

 

 

Total Options Purchased

$15,494,973   5.29
   

 

 

  

 

 

 

 

OPTIONS WRITTEN *

Various energy futures contracts (U.S.)

$(14,807,819 -5.05

Various soft futures contracts (U.S.)

 (286,540 -0.10

Various stock index futures contracts (U.S.)

 (107,168 -0.04
   

 

 

  

 

 

 

Total Options Written

$(15,201,527 -5.19
   

 

 

  

 

 

 

 

SWAPS (1)

Frontier Brevan Howard Swap (U.S.)

$9,600,330   3.28

Frontier XXXIV Balanced Select Swap (U.S.)

 23,473,632   8.01

Frontier XXXV Diversified Select Swap (U.S.)

 9,559,124   3.26

Frontier XXXVII L/S Select Swap (U.S.)

 5,301,972   1.81
   

 

 

  

 

 

 

Total Swaps

$47,935,058   16.36
   

 

 

  

 

 

 

 

U.S. TREASURY SECURITIES

FACE VALUE

  Value  Value 
$15,000,000   

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

  $15,428,906    5.26
$85,000,000   

US Treasury Note 6.000% due 02/15/2026 (Cost $113,142,577)

   118,455,469    40.41
$20,000,000   

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

   29,306,250    10.00
   

 

 

  

 

 

 

Total U.S. Treasury Securities

$163,190,625   55.67
   

 

 

  

 

 

 

Description

    Fair
Value
  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $(2,164,139  -0.86
 

Various base metals futures contracts (U.S.)

   84,814    0.03
 

Various currency futures contracts (Singapore)

   (364  0.00
 

Various currency futures contracts (U.S.)

   (106,166  -0.04
 

Various energy futures contracts (Europe)

   7,576    0.00
 

Various energy futures contracts (Far East)

   (2,367  0.00
 

Various energy futures contracts (U.S.)

   2,559,970    1.02
 

Various interest rates futures contracts (Canada)

   114,607    0.05
 

Various interest rates futures contracts (Europe)

   (74,443  -0.03
 

Various interest rates futures contracts (Far East)

   42,359    0.02
 

Various interest rates futures contracts (Oceanic)

   10,587    0.00
 

Various interest rates futures contracts (U.S.)

   437,966    0.17
 

Various precious metal futures contracts (Far East)

   (4,131  0.00
 

Various precious metal futures contracts (U.S.)

   (1,069,275  -0.42
 

Various soft futures contract (Europe)

   (970  0.00
 

Various soft futures contracts (Africa)

   (454  0.00
 

Various soft futures contracts (Canada)

   22,981    0.01
 

Various soft futures contracts (Europe)

   168,826    0.07
 

Various soft futures contracts (Far East)

   (37,878  -0.02
 

Various soft futures contracts (Oceanic)

   (431  0.00
 

Various soft futures contracts (U.S.)

   2,046,472    0.81
 

Various stock index futures contracts (Africa)

   (1,893  0.00
 

Various stock index futures contracts (Canada)

   (20,034  -0.01
 

Various stock index futures contracts (Europe)

   (583,815  -0.23
 

Various stock index futures contracts (Far East)

   (707,053  -0.28
 

Various stock index futures contracts (Mexico)

   302    0.00
 

Various stock index futures contracts (Oceanic)

   (9,345  0.00
 

Various stock index futures contracts (U.S.)

   (1,400,916  -0.56
   

 

 

  

 

 

 
 

Total Long Futures Contracts

  $(687,214  -0.27
   

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $2,047,404    0.81
 

Various base metals futures contracts (U.S.)

   (55,018  -0.02
 

Various currency futures contracts (U.S.)

   291,247    0.12
 

Various energy futures contracts (Europe)

   (149  0.00
 

Various energy futures contracts (Far East)

   2,424    0.00
 

Various energy futures contracts (U.S.)

   (1,618,118  -0.64
 

Various interest rates futures contracts (Canada)

   (28,296  -0.01
 

Various interest rates futures contracts (Europe)

   (462,927  -0.18
 

Various interest rates futures contracts (Far East)

   (67,118  -0.03
 

Various interest rates futures contracts (Oceanic)

   (33,365  -0.01
 

Various interest rates futures contracts (U.S.)

   (34,253  -0.01
 

Various precious metal futures contracts (Far East)

   4,829    0.00
 

Various precious metal futures contracts (U.S.)

   1,786,770    0.71
 

Various soft futures contract (Europe)

   (830  0.00
 

Various soft futures contracts (Europe)

   (78,844  -0.03
 

Various soft futures contracts (Far East)

   2,939    0.00
 

Various soft futures contracts (U.S.)

   (1,332,886  -0.53
 

Various stock index futures contracts (Africa)

   294    0.00
 

Various stock index futures contracts (Canada)

   5,287    0.00
 

Various stock index futures contracts (Europe)

   39,728    0.02
 

Various stock index futures contracts (Far East)

   (66,787  -0.03
 

Various stock index futures contracts (Oceanic)

   42,871    0.02
 

Various stock index futures contracts (U.S.)

   312,496    0.12
   

 

 

  

 

 

 
 

Total Short Futures Contracts

  $757,698    0.31
   

 

 

  

 

 

 

CURRENCY FORWARDS *

   
 

Various currency forwards contracts (NA)

  $(87,765  -0.03
   

 

 

  

 

 

 
 

Total Currency Forwards

  $(87,765  -0.03
   

 

 

  

 

 

 
 

Total Open Trade Equity (Deficit)

  $(17,281  0.01
   

 

 

  

 

 

 

OPTIONS PURCHASED *

   
 

Various energy futures contracts (U.S.)

  $3,436,940    1.36
 

Various soft futures contracts (U.S.)

   8,020    0.00
 

Various stock index futures contracts (U.S.)

   374,469    0.15
   

 

 

  

 

 

 
 

Total Options Purchased

  $3,819,429    1.51
   

 

 

  

 

 

 

OPTIONS WRITTEN *

   
 

Various energy futures contracts (U.S.)

  $(2,300,699  -0.91
 

Various soft futures contracts (U.S.)

   (61,510  -0.02
 

Various stock index futures contracts (U.S.)

   (219,661  -0.09
   

 

 

  

 

 

 
 

Total Options Written

  $(2,581,870  -1.02
   

 

 

  

 

 

 

SWAPS (1)

   
 

Frontier Brevan Howard swap (U.S.)

  $7,809,251    3.10
 

Frontier XXXIV Balanced select swap (U.S.)

   18,491,634    7.33
 

Frontier XXXV Diversified select swap (U.S.)

   7,615,169    3.02
 

Frontier XXXVII L/S select swap (U.S.)

   4,304,209    1.71
   

 

 

  

 

 

 
 

Total Swaps

  $38,220,263    15.16
   

 

 

  

 

 

 

U.S. TREASURY SECURITIES

   

FACE VALUE

  Fair Value  Fair Value 

$75,000,000

 

US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764)

  $100,558,593    39.88

$20,000,000

 

US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500)

   28,259,375    11.21
   

 

 

  

 

 

 
 

Total U.S. Treasury Securities

  $128,817,968    51.09
   

 

 

  

 

 

 

 

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

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

Equinox Frontier Funds

Consolidated Condensed Schedule of Investments

December 31, 2014

 

Description

     Value  % of Total Capital
(Net Asset Value)
 

 

LONG FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $(4,211,885  -1.56
 

Various base metals futures contracts (U.S.)

   (61,850  -0.02
 

Various currency futures contracts (U.S.)

   300,870    0.11
 

Various energy futures contracts (Europe)

   (12,920  0.00
 

Various energy futures contracts (Far East)

   (2,738  0.00
 

Various energy futures contracts (U.S.)

   (24,310,145  -9.00
 

Various interest rates futures contracts (Canada)

   184,352    0.07
 

Various interest rates futures contracts (Europe)

   3,676,039    1.36
 

Various interest rates futures contracts (Far East)

   585,956    0.22
 

Various interest rates futures contracts (Oceanic)

   558,353    0.21
 

Various interest rates futures contracts (U.S.)

   278,768    0.10
 

Various precious metal futures contracts (Far East)

   6,195    0.00
 

Various precious metal futures contracts (U.S.)

   (113,453  -0.04
 

Various soft futures contracts (Canada)

   (1,360  0.00
 

Various soft futures contracts (Europe)

   33,841    0.01
 

Various soft futures contracts (Oceanic)

   (864  0.00
 

Various soft futures contracts (U.S.)

   (2,494,615  -0.92
 

Various stock index futures contracts (Canada)

   63,167    0.02
 

Various stock index futures contracts (Europe)

   569,188    0.21
 

Various stock index futures contracts (Far East)

   26,010    0.01
 

Various stock index futures contracts (Oceanic)

   44,530    0.02
 

Various stock index futures contracts (U.S.)

   1,412,847    0.52
   

 

 

  

 

 

 

Total Long Futures Contracts

$(23,469,714 -8.68
   

 

 

  

 

 

 

 

SHORT FUTURES CONTRACTS *

Various base metals futures contracts (Europe)

$3,745,111   1.39

Various base metals futures contracts (U.S.)

 101,600   0.04

Various currency futures contracts (Far East)

 (3,383 0.00

Various currency futures contracts (U.S.)

 2,737,797   1.01

Various energy futures contracts (Europe)

 49,517   0.02

Various energy futures contracts (Far East)

 5,389   0.00

Various energy futures contracts (U.S.)

 12,381,217   4.58

Brent Crude Oil Last Day Settling 2/12/2015 (Number of Contracts: 229)

 2,871,660   1.06

Crude Oil Settling 12/1/2015 (Number of Contracts: 718)

 11,036,122   4.08

NYH RBOB Unleaded Gas Settling 12/30/2015 (Number of Contracts: 388)

 4,267,957   1.58

Various interest rates futures contracts (Canada)

 6,583   0.00

Various interest rates futures contracts (Europe)

 (351,916 -0.13

Various interest rates futures contracts (Far East)

 (28,461 -0.01

Various interest rates futures contracts (Oceanic)

 (6,445 0.00

Various interest rates futures contracts (U.S.)

 (602,696 -0.22

Various precious metal futures contracts (Far East)

 (1,052 0.00

Various precious metal futures contracts (U.S.)

 275,350   0.10

Various soft futures contracts (Canada)

 (194 0.00

Various soft futures contracts (Europe)

 117,563   0.04

Various soft futures contracts (Far East)

 (4,709 0.00

Various soft futures contracts (U.S.)

 2,823,283   1.04

Various stock index futures contracts (Africa)

 (8,891 0.00

Various stock index futures contracts (Europe)

 (37,839 -0.01

Various stock index futures contracts (Far East)

 6,134   0.00

Various stock index futures contracts (Mexico)

 (4,380 0.00

Various stock index futures contracts (Oceanic)

 (9,866 0.00

Various stock index futures contracts (U.S.)

 (138,941 -0.05
   

 

 

  

 

 

 

Total Short Futures Contracts

$39,226,510   14.52
   

 

 

  

 

 

 

 

CURRENCY FORWARDS *

Various currency forwards contracts (NA)

$(932,374 -0.35
   

 

 

  

 

 

 

Total Currency Forwards

$(932,374 -0.35
   

 

 

  

 

 

 

Total Open Trade Equity (Deficit)

$14,824,422   5.49
   

 

 

  

 

 

 

 

OPTIONS PURCHASED *

Various energy futures contracts (U.S.)

$8,407,670   3.11

Various soft futures contracts (U.S.)

 379,800   0.14

Various stock index futures contracts (U.S.)

 288,413   0.11
   

 

 

  

 

 

 

Total Options Purchased

$9,075,883   3.36
   

 

 

  

 

 

 

 

OPTIONS WRITTEN *

Various energy futures contracts (U.S.)

$(8,234,010 -3.05

Various soft futures contracts (U.S.)

 (476,810 -0.18

Various stock index futures contracts (U.S.)

 (253,018 -0.09
   

 

 

  

 

 

 

Total Options Written

$(8,963,838 -3.32
   

 

 

  

 

 

 

 

SWAPS (1)

Frontier XXXIV Balanced select swap (U.S.)

$7,540,466   2.79

Frontier Brevan Howard swap (U.S.)

 18,246,952   6.75

Frontier XXXV Diversified select swap (U.S.)

 6,570,409   2.43

Frontier XXXVII L/S select swap (U.S.)

 3,633,060   1.34
   

 

 

  

 

 

 

Total Swaps

$35,990,887   13.31
   

 

 

  

 

 

 

 

U.S. TREASURY SECURITIES

FACE VALUE

Fair Value     Fair Value     
$15,000,000  

US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)

$15,101,953   5.59
$75,000,000  

US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)

 95,954,688   35.51
$20,000,000  

US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)

 28,896,875   10.69
   

 

 

  

 

 

 

Total U.S. Treasury Securities

$139,953,516   51.79
   

 

 

  

 

 

 

Description

    Value  % of Total Capital
(Net Asset Value)
 

LONG FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $(4,211,885  -1.56
 

Various base metals futures contracts (U.S.)

   (61,850  -0.02
 

Various currency futures contracts (U.S.)

   300,870    0.11
 

Various energy futures contracts (Europe)

   (12,920  0.00
 

Various energy futures contracts (Far East)

   (2,738  0.00
 

Various energy futures contracts (U.S.)

   (24,310,145  -9.00
 

Various interest rates futures contracts (Canada)

   184,352    0.07
 

Various interest rates futures contracts (Europe)

   3,676,039    1.36
 

Various interest rates futures contracts (Far East)

   585,956    0.22
 

Various interest rates futures contracts (Oceanic)

   558,353    0.21
 

Various interest rates futures contracts (U.S.)

   278,768    0.10
 

Various precious metal futures contracts (Far East)

   6,195    0.00
 

Various precious metal futures contracts (U.S.)

   (113,453  -0.04
 

Various soft futures contracts (Canada)

   (1,360  0.00
 

Various soft futures contracts (Europe)

   33,841    0.01
 

Various soft futures contracts (Oceanic)

   (864  0.00
 

Various soft futures contracts (U.S.)

   (2,494,615  -0.92
 

Various stock index futures contracts (Canada)

   63,167    0.02
 

Various stock index futures contracts (Europe)

   569,188    0.21
 

Various stock index futures contracts (Far East)

   26,010    0.01
 

Various stock index futures contracts (Oceanic)

   44,530    0.02
 

Various stock index futures contracts (U.S.)

   1,412,847    0.52
   

 

 

  

 

 

 
 

Total Long Futures Contracts

  $(23,469,714  -8.68
   

 

 

  

 

 

 

SHORT FUTURES CONTRACTS *

   
 

Various base metals futures contracts (Europe)

  $3,745,111    1.39
 

Various base metals futures contracts (U.S.)

   101,600    0.04
 

Various currency futures contracts (Far East)

   (3,383  0.00
 

Various currency futures contracts (U.S.)

   2,737,797    1.01
 

Various energy futures contracts (Europe)

   49,517    0.02
 

Various energy futures contracts (Far East)

   5,389    0.00
 

Various energy futures contracts (U.S.)

   12,381,217    4.58
 

Brent Crude Oil Last Day Settling 2/12/2015 (Number of Contracts: 229)

   2,871,660    1.06
 

Crude Oil Settling 12/1/2015 (Number of Contracts: 718)

   11,036,122    4.08
 

NYH RBOB Unleaded Gas Settling 12/30/2015 (Number of Contracts: 388)

   4,267,957    1.58
 

Various interest rates futures contracts (Canada)

   6,583    0.00
 

Various interest rates futures contracts (Europe)

   (351,916  -0.13
 

Various interest rates futures contracts (Far East)

   (28,461  -0.01
 

Various interest rates futures contracts (Oceanic)

   (6,445  0.00
 

Various interest rates futures contracts (U.S.)

   (602,696  -0.22
 

Various precious metal futures contracts (Far East)

   (1,052  0.00
 

Various precious metal futures contracts (U.S.)

   275,350    0.10
 

Various soft futures contracts (Canada)

   (194  0.00
 

Various soft futures contracts (Europe)

   117,563    0.04
 

Various soft futures contracts (Far East)

   (4,709  0.00
 

Various soft futures contracts (U.S.)

   2,823,283    1.04
 

Various stock index futures contracts (Africa)

   (8,891  0.00
 

Various stock index futures contracts (Europe)

   (37,839  -0.01
 

Various stock index futures contracts (Far East)

   6,134    0.00
 

Various stock index futures contracts (Mexico)

   (4,380  0.00
 

Various stock index futures contracts (Oceanic)

   (9,866  0.00
 

Various stock index futures contracts (U.S.)

   (138,941  -0.05
   

 

 

  

 

 

 
 

Total Short Futures Contracts

  $39,226,510    14.52
   

 

 

  

 

 

 

CURRENCY FORWARDS *

   
 

Various currency forwards contracts (NA)

  $(932,374  -0.35
   

 

 

  

 

 

 
 

Total Currency Forwards

  $(932,374  -0.35
   

 

 

  

 

 

 
 

Total Open Trade Equity (Deficit)

  $14,824,422    5.49
   

 

 

  

 

 

 

OPTIONS PURCHASED *

   
 

Various energy futures contracts (U.S.)

  $8,407,670    3.11
 

Various soft futures contracts (U.S.)

   379,800    0.14
 

Various stock index futures contracts (U.S.)

   288,413    0.11
   

 

 

  

 

 

 
 

Total Options Purchased

  $9,075,883    3.36
   

 

 

  

 

 

 
OPTIONS WRITTEN *   
 

Various energy futures contracts (U.S.)

  $(8,234,010  -3.05
 

Various soft futures contracts (U.S.)

   (476,810  -0.18
 

Various stock index futures contracts (U.S.)

   (253,018  -0.09
   

 

 

  

 

 

 
 

Total Options Written

  $(8,963,838  -3.32
   

 

 

  

 

 

 

SWAPS (1)

   
 

Frontier XXXIV Balanced select swap (U.S.)

  $7,540,466    2.79
 

Frontier Brevan Howard swap (U.S.)

   18,246,952    6.75
 

Frontier XXXV Diversified select swap (U.S.)

   6,570,409    2.43
 

Frontier XXXVII L/S select swap (U.S.)

   3,633,060    1.34
   

 

 

  

 

 

 
 

Total Swaps

  $35,990,887    13.31
   

 

 

  

 

 

 
U.S. TREASURY SECURITIES   

FACE VALUE

  Fair Value  Fair Value 

$15,000,000

 US Treasury Note 2.250% due 11/15/2024 (Cost $14,966,695)  $15,101,953    5.59

$75,000,000

 US Treasury Note 6.000% due 02/15/2026 (Cost $99,579,227)   95,954,688    35.51

$20,000,000

 US Treasury Note 6.875% due 08/15/2025 (Cost $28,322,622)   28,896,875    10.69
   

 

 

  

 

 

 
 Total U.S. Treasury Securities  $139,953,516    51.79
   

 

 

  

 

 

 

 

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

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

Equinox Frontier Funds

Consolidated Statements of Operations

For the Three Months Ended March 31,June 30, 2015 and 2014

(Unaudited)

 

  2015 2014 
  2015 2014 

Investment income:

      

Interest - net

  $294,670   $338,223    $274,961   $261,329  
  

 

  

 

   

 

  

 

 

Total Income

 294,670   338,223     274,961   261,329  
  

 

  

 

 
  

 

  

 

 

Expenses:

   

Incentive Fees

 4,902,774   997,327     94,738   2,554,722  

Management Fees

 1,288,670   1,629,685     1,280,518   1,498,648  

Service Fees - Class 1

 1,171,052   1,202,157     1,129,839   1,065,882  

Trading Fees

 921,267   905,120     886,592   798,997  
  

 

  

 

   

 

  

 

 

Total Expenses

 8,283,763   4,734,289     3,391,687   5,918,249  
  

 

  

 

   

 

  

 

 

Investment income/(loss) - net

 (7,989,093 (4,396,066   (3,116,726 (5,656,920
  

 

  

 

 
  

 

  

 

 

Realized and unrealized gain/(loss) on investments:

   

Net realized gain/(loss) on futures, forwards and options

 39,987,665   151,504     (14,178,689 5,361,595  

Net change in open trade equity/(deficit)

 (10,301,441 (11,027,953   (3,193,895 5,985,923  

Net realized gain/(loss) on swap contracts

 —     —       —      —    

Net unrealized gain/(loss) on swap contracts

 10,944,171   (3,699,063   (9,714,795 1,976,879  

Net realized gain/(loss) on U.S. Treasury securities

 —     (554,668   588,474   (86,598

Net unrealized gain/(loss) on U.S. Treasury securities

 2,735,063   6,785,205     (5,876,125 2,699,089  

Trading commissions

 (710,398 (1,053,641   (715,951 (850,912
  

 

  

 

   

 

  

 

 

Net gain/(loss) on investments

 42,655,060   (9,398,616   (33,090,981 15,085,976  
  

 

  

 

 
  

 

  

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

$34,665,967  $(13,794,682  $(36,207,707 $9,429,056  
  

 

  

 

   

 

  

 

 

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

Equinox Frontier Funds

Consolidated Statements of Operations

For the Six Months Ended June 30, 2015 and 2014

(Unaudited)

   2015  2014 

Investment income:

   

Interest - net

  $569,631   $599,552  
  

 

 

  

 

 

 

Total Income

   569,631    599,552  
  

 

 

  

 

 

 

Expenses:

   

Incentive Fees

   4,997,512    3,552,049  

Management Fees

   2,569,188    3,128,333  

Service Fees - Class 1

   2,300,891    2,268,039  

Trading Fees

   1,807,859    1,704,117  
  

 

 

  

 

 

 

Total Expenses

   11,675,450    10,652,538  
  

 

 

  

 

 

 

Investment income/(loss) - net

   (11,105,819  (10,052,986
  

 

 

  

 

 

 

Realized and unrealized gain/(loss) on investments:

   

Net realized gain/(loss) on futures, forwards and options

   25,808,976    5,513,099  

Net change in open trade equity/(deficit)

   (13,495,336  (5,042,030

Net realized gain/(loss) on swap contracts

   —      —    

Net unrealized gain/(loss) on swap contracts

   1,229,375    (1,722,185

Net realized gain/(loss) on U.S. Treasury securities

   588,474    (641,266

Net unrealized gain/(loss) on U.S. Treasury securities

   (3,141,062  9,484,294  

Trading commissions

   (1,426,355  (1,904,552
  

 

 

  

 

 

 

Net gain/(loss) on investments

   9,564,072    5,687,360  
  

 

 

  

 

 

 

NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS

  $(1,541,747 $(4,365,626
  

 

 

  

 

 

 

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

Equinox Frontier Funds

Consolidated Statement of Changes in Owners’ Capital

For the ThreeSix Months Ended March 31,June 30, 2015 (Unaudited)

 

  Managing
Owner
   Limited
Owners
 Total 
  Managing
Owner
   Limited
Owners
 Total 

Owners’ Capital, December 31, 2014

  $5,736,634    $264,469,675   $270,206,309    $5,736,634    $264,469,675   $270,206,309  

Sale of Units

   —       4,097,823   4,097,823     —       9,776,731   9,776,731  

Redemption of Units

   —       (17,052,044 (17,052,044   —       (27,531,104 (27,531,104

Payment made by the Managing Owner

   —       1,211,610   1,211,610     —       1,211,610   1,211,610  

Net increase/(decrease) in Owners’ Capital resulting from operations

   890,553     33,775,414   34,665,967  

Net increase/(decrease) in Owners’

     

Capital resulting from operations

   114,581     (1,656,328 (1,541,747
  

 

   

 

  

 

   

 

   

 

  

 

 

Owners’ Capital, June 30, 2015

  $5,851,215    $246,270,584   $252,121,799  
  

 

   

 

  

 

 

Owners’ Capital, March 31, 2015

$6,627,187  $286,502,478  $293,129,665  
  

 

   

 

  

 

 

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

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

Equinox Frontier Funds

Consolidated Statements of Cash Flows

For the ThreeSix Months Ended March 31,June 30, 2015 and 2014 (Unaudited)

 

  2015 2014 
  2015 2014 

Cash Flows from Operating Activities:

      

Net increase/(decrease) in capital resulting from operations

  $34,665,967   $(13,794,682  $(1,541,747 $(4,365,626

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

   11,423,649   11,953,750     14,841,703   4,160,411  

Net change in options purchased

   (6,419,090 (3,516,654   5,256,454   (2,086,567

Net change in options written

   6,237,689   3,769,808     (6,381,968 537,577  

Net change in allocation of total return swaps

   —      —       —      —    

Net unrealized (gain)/loss on swap contracts

   (10,944,171 3,699,063     (1,229,376 1,722,185  

Net realized (gain)/loss on swap contracts

   —      —       —      —    

Net unrealized (gain)/loss on U.S. Treasury securities

   (2,735,063 (6,785,205   3,141,062   (9,484,294

Net realized (gain)/loss on U.S. Treasuries securities

   —     554,668     (588,474 641,266  

(Purchases) sales of:

      

Sales of swap contracts

   —      —       —      —    

(Purchases) of swap contracts

   (1,000,000  —       (1,000,000  —    

Sales of U.S. Treasury securities

   —     48,655,772     28,542,000   74,122,949  

(Purchases) of U.S. Treasury securities

   (21,196,875  —       (21,196,875  —    

U.S. Treasury interest and premium paid/amortized

   694,829    —       1,237,835    —    

Increase and/or decrease in:

      

Receivable from futures commission merchants

   (8,705,337 (16,544,372   4,228,484   (272,327

Distributions from trading companies

   —      —       —      —    

Prepaid service fees

   (6,460 10,046     (13,875 10,115  

Interest receivable

   1,217,660   1,843,432     (56,879 444,476  

Receivable from related parties

   935   2,453     603   1,495  

Other assets

   500,000   (13,403   500,000   48  

Incentive fees payable to Managing Owner

   (1,762,554 (413,933   (6,570,591 1,143,462  

Management fees payable to Managing Owner

   (3,567 (61,277   (34,993 (116,199

Interest payable to Managing Owner

   24,238   (52,269   4,855   (88,384

Trading fees payable to Managing Owner

   20,142   (57,050   (20,342 (84,734

Service fees payable to Managing Owner

   18,943   (53,632   (23,014 (95,091

Payables to related parties

   8,200   6,285     14,464   11,796  

Other liabilities

   —      —       —     3,500  
  

 

  

 

   

 

  

 

 

Net cash provided by (used in) operating activities

 2,039,135   29,202,800     19,109,326   66,206,058  
  

 

  

 

 
  

 

  

 

 

Cash Flows from Financing Activities:

   

Proceeds from sale of capital

 4,097,823   2,445,428     9,776,731   6,227,081  

Payment for redemption of capital

 (17,052,044 (34,480,489   (27,531,104 (63,229,628

Payment made by the Managing Owner

 1,211,610     1,211,610    —    

Pending owner additions

 5,149   8,812     (2,786 (6,430

Redemptions payable

 135,956   (664,301   (149,183 (640,243
  

 

  

 

   

 

  

 

 

Net cash provided by (used in) financing activities

 (11,601,506 (32,690,550   (16,694,732 (57,649,220
  

 

  

 

 
  

 

  

 

 

Net increase (decrease) in cash and cash equivalents

 (9,562,371 (3,487,750   2,414,594   8,556,838  

Cash and cash equivalents, beginning of period

 18,977,844   9,302,857     18,977,844   9,302,857  
  

 

  

 

   

 

  

 

 

Cash and cash equivalents, end of period

$9,415,473  $5,815,107    $21,392,438   $17,859,695  
  

 

  

 

   

 

  

 

 

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

Equinox Frontier Funds

Notes to Consolidated Financial Statements (Unaudited)

1. Organization and Purpose

Equinox Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. 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.

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, by and among the Managing Owner, Wilmington Trust Company as trustee and the unitholders, as amended from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to 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 (“Swaps”).

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund, and Equinox Frontier Heritage Fund. 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 Trading Company or Companies. Except as otherwise described in these notes, each Trading Company has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s assets and make the trading decisions for the assets of each Series vestedinvested in such Trading Company. Each Trading Company will segregate its assets from any other Trading Company;

 

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

 

calculates the NAV of its Units for each Series separately from the other Series;

 

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

 

maintains each Series of Units in three to six sub-classes—classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%)

 

Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Equinox Frontier Diversified Fund, and Equinox Frontier Masters Fund or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1and1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and

 

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

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

As of March 31,June 30, 2015, the Trust, with respect to the Equinox Frontier Diversified Fund, Equinox Frontier Masters Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Equinox Frontier Balanced Fund and the Equinox Frontier Long/Short Commodity Fund separates Units into a maximum of six separate Classes—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. It is expected that between 10% and 30% of each Series’ assets normally will be invested in one or more Trading Companies to be committed as margin for trading positions, but from time to time these percentages may be substantially more or less. The remainders of each Series’ assets are 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.

Each Series of the Trust may invest a portion of its assets in a single Trading Company or in several different Trading Companies and may have multiple Trading Advisors that manage the assets invested in such Trading Companies.

On November 26, 2014, the Trust’s portfolio management team approved an allocation change in an Emil Van Essen trading program that was not fully implemented as intended. As a result, certain series who invested in Emil Van Essen were not allocated sufficient gains and certain other series who invested in Emil Van Essen suffered greater losses. In January 2015, the Managing Owner determined to make a payment to the affected investors within the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund and Equinox Frontier Long/Short Commodity Fund, in the aggregate amount of $1,247,752$1,211,610 to reimburse the effect of the missed gain or higher loss on such investors in the series, and such amount was recorded in the Statement of Changes in Owners’ Capital as Payment Made by the Managing Owner.

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

2. 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.

Consolidation—Each Series of the Trust invests in Trading Companies who 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, all of which is allocated to the Series. The Trading Companies and Series of the Trust are consolidated by the Trust.

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

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

Interest Income—Aggregate interest income from all sources, including U.S. Treasury securities and assets held at FCMs, up to the first two percentage points or 20% of the aggregate percentage yield (annualized) is paid to the Managing Owner. All interest not paid to the Managing Owner is interest income to the Trust, and shown net on the consolidated statement of operations.

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

Receivable From Futures Commission Merchants—The Trust deposits assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM.

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

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

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

Allocation of Earnings—Each Series of the Trust may maintain three to six classes of Units—Class 1, Class 2, Class 3, Class 1a, Class 2a and Class 3a. 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 and Class 3a Units based on each Class’ respective owners’ capital balances as applicable to the classes maintained by the Series.

Investments and Swaps—The Trust records investment transactions on a trade date basis and all investments are recorded at fair value, with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements of operations. 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 Ownercounterparty values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. This fair value is corroborated by valuations provided by a third party pricing service on a daily basis. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable, and quality control testing procedures in place.

Income Taxes—The Trust applies the provisions of ASC 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the threesix months ended March 31,June 30, 2015. The 2011 through 2014 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees and trading fees of the Trust 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.

Service Fees—The Trust may maintain each Series of Units in three to six sub-classes—classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such Selling Agents.

These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are 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.

Recently Adopted Accounting Pronouncements—In September of 2013, FASB issued ASU 2013-08 to (i) modify Topic 946 for determining whether an entity is an investment company; (ii) update the measurement requirements for noncontrolling interests in

other investment companies; and (iii) require additional disclosures for investment companies under GAAP. This guidance is effective for annual and interim periods beginning on or after December 15, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance did not have a material impact on the financial position or results of operations.

Recently Issued Accounting Pronouncements—Recently Issued Accounting PronouncementsIn May of 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2015-07,Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (a consensus of the FASB Emerging Issues Task Force). This ASU removes the requirement to categorize within the fair value hierarchy investments for which fair values are measured at NAV using the practical expedient. The ASU also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the NAV per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected to measure the fair value using that practical expedient. The ASU is effective for public business entities for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. For all other entities, the ASU is effective for fiscal years beginning after December 15, 2016 and interim periods within those fiscal years. A reporting entity should apply the amendments retrospectively to all periods presented. Earlier application is permitted.

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 is not expected to have a material effect on the Trust’s consolidated financial statements. Early adoption is permitted. In May 2014 the FASB issued a final standard on revenue from contracts with customers. The standard, issued as FASB ASU 2014-09, “Revenue from Contracts with Customers” (“ASU 2014-09”), outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. The ASU is effective for interim and annual reporting periods beginning after December 15, 2016. Early adoption is not permitted. A full retrospective or modified retrospective approach may be taken to adopt the guidance in the ASU. The Trust is currently evaluating the impact of the provisions of ASU 2014-09 on its consolidated financial position, results of operations and related disclosures.

Subsequent Events—The Trust follows the provisions of ASC 855,Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. No events or transactions requiring recognition or disclosure have been identified.

3. 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 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 the parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Ownercounterparty values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. The fair value is corroborated through the use of a third party pricing service (“pricing service”). The valuation of swap contracts requires significant estimates utilizing Level 3 Inputs corroborated by management through the use of the pricing service. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner through the valuation committee charted by the Executive Committee of the Trust,

engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected; the components of the model, both observable and unobservable; and quality control testing procedures in place. The valuation committee meets on a monthly basis and as needed to discuss any updates or changes in the valuation process, reporting to the Executive Committee. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and throughout the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each swap and it’sits subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by a senior financial engineer to ensure design and function of model is stable and perform as expected.

The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Management Committee and the Trust’s Executive Committee. The committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The committee’s designee monitors daily pricing valuation provided by the swap counterparty and daily valuation provided by the third party pricing service to ensure the change in fair value is reasonable and valuations are in accordance with current regulations and best practices. The committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provide by the pricing service.

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, by Series, measured at fair value on a recurring basis as of March 31,June 30, 2015 and December 31, 2014, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

 

March 31, 2015

  Level 1 Inputs       Level 2 Inputs       Level 3 Inputs   Total
Fair Value
 

Open Trade Equity (Deficit)

  $3,685,819    $(285,046  $—      $3,400,773  

Swap Contracts

   —       —       47,935,058     47,935,058  

U.S. Treasury Securities

   163,190,625     —       —       163,190,625  

Purchased Options

   —       15,494,973     —       15,494,973  

Written Options

   —       (15,201,527   —       (15,201,527

December 31, 2014

  Level 1 Inputs       Level 2 Inputs       Level 3 Inputs   Total
Fair Value
 

Open Trade Equity (Deficit)

  $15,756,796    $(932,374  $—      $14,824,422  

Swap Contracts

   —       —       35,990,887     35,990,887  

U.S. Treasury Securities

   139,953,516     —       —       139,953,516  

Purchased Options

   —            9,075,883     —       9,075,883  

Written Options

   —       (8,963,838   —       (8,963,838

June 30, 2015

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Open Trade Equity (Deficit)

  $70,482    $(87,763  $—      $(17,281

Swap Contracts

   —       —       38,220,263     38,220,263  

U.S. Treasury Securities

   128,817,968     —       —       128,817,968  

Purchased Options

   —       3,819,429     —       3,819,429  

Written Options

   —       (2,581,870   —       (2,581,870

December 31, 2014

  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value
 

Open Trade Equity (Deficit)

  $15,756,796    $(932,374  $—      $14,824,422  

Swap Contracts

   —       —       35,990,887     35,990,887  

U.S. Treasury Securities

   139,953,516     —       —       139,953,516  

Purchased Options

   —       9,075,883     —       9,075,883  

Written Options

   —       (8,963,838   —       (8,963,838

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

 

  For the Three Months
Ended March 31, 2015
   For the Six Months
Ended June 30, 2015
 

Balance of recurring Level 3 assets as of January 1, 2015

  $35,990,887    $35,990,887  

Total gains or losses (realized/unrealized):

    

Included in earnings-realized

   —       —    

Included in earnings-unrealized

   10,944,171     1,229,376  

Purchases of investments

   1,000,000     1,000,000  

Sales of investments

   —       —    

Transfers in and/or out of Level 3

   —       —    
  

 

   

 

 

Balance of recurring Level 3 assets as of March 31, 2015

$47,935,058  

Balance of recurring Level 3 assets as of June 30, 2015

  $38,220,263  
  

 

   

 

 
  For the Year Ended
December 31, 2014
 

Balance of recurring Level 3 assets as of January 1, 2014

  $21,455,529  

Total gains or losses (realized/unrealized):

  

Included in earnings-realized

   —    

Included in earnings-unrealized

   14,535,358  

Purchases of investments

   —    

Sales of investments

   —    

Transfers in and/or out of Level 3

   —    
  

 

 

Balance of recurring Level 3 assets as of December 31, 2014

  $35,990,887  
  

 

 

     For the Year Ended  
December 31, 2014
 

Balance of recurring Level 3 assets as of January 1, 2014

  $21,455,529  

Total gains or losses (realized/unrealized):

  

Included in earnings-realized

   —    

Included in earnings-unrealized

   14,535,358  

Purchases of investments

   —    

Sales of investments

   —    

Transfers in and/or out of Level 3

   —    
  

 

 

 

Balance of recurring Level 3 assets as of December 31, 2014

$35,990,887  
  

 

 

 

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 threesix months ended March 31,June 30, 2015 and the year ended December 31, 2014, the Trust did not transfer any assets between Levels 1, 2 and 3.

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at March 31,June 30, 2015.

 

Swaps

$10,944,171  
Swaps$ 1,229,375

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2014.

 

Swaps

$14,535,358  
Swaps$ 14,535,358

4. Swaps

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31,June 30, 2015 and December 31, 2014, approximately 7.9%14.9% or $25,062,058$38,220,263 and 4.9%12.5% or $14,117,887,$35,990,887, respectively, of the Trust’s assets were invested with over-the-counter counterparties in order to initiate and maintain Swaps and is recorded as Swap Contracts, at fair value on the Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted.

The Trust strategically invests assets in one or more swapsSwaps 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 swapSwap entered into by the Trust. In addition, neither the swapSwap counterparty nor any advisor referenced by any such swapSwap is a Trading Advisor to the Trust.

The Trust had invested in the following swaps as of and for the threesix months ended March 31,June 30, 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
 Brevan Howard
Total Return Swap
 XXXIV Balanced Select Swap
Total Return Swap
 XXXV Diversified Select Swap
Total Return Swap
 XXXVII L/S Select Swap
Total Return Swap
 

Counterparty

 DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG  

Notional Amount

 $17,663,283 $70,910,098 $38,500,000 $12,090,513 $15,663,283   $62,910,098   $30,500,000   $10,090,513  

Termination Date

 3/26/2018 8/2/2018 8/2/2018 8/7/2018 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 $5,993,000   $9,600,000   $3,400,000   $3,880,000  

Swap Value

 $3,607,330 $13,873,632 $6,159,124 $1,421,972 $1,816,251   $8,891,634   $4,215,169   $424,209  

Investee Returns

 Total Returns Total Returns Total Returns Total Returns  Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

 $0 $0 $0 $0 $0   $0   $0   $0  
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

Change in Unrealized Gain/(Loss)

$2,059,865$5,226,678$2,988,715$668,912 $268,786   $244,680   $1,044,760   ($328,851
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

Fair Value as of 3/31/2015

$9,660,330$23,473,632$9,559,124$5,301,972

Fair Value as of 6/30/2015

 $7,809,251   $18,491,634   $7,615,169   $4,304,209  
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

The Trust had invested in the following swaps as of and for the year ended December 31, 2014:

 

 Brevan Howard XXXIV Balanced Select Swap XXXV Diversified Select Swap XXXVII L/S Select Swap
 Total Return Swap Total Return Swap Total Return Swap Total Return Swap
 Brevan Howard
Total Return Swap
 XXXIV Balanced Select Swap
Total Return Swap
 XXXV Diversified Select Swap
Total Return Swap
 XXXVII L/S Select Swap
Total Return Swap
 

Counterparty

 DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG DeutscheBank AG   DeutscheBank AG   DeutscheBank AG   DeutscheBank AG  

Notional Amount

 $17,663,283 $67,610,098 $35,500,000 $13,590,513 $17,663,283   $67,610,098   $35,500,000   $13,590,513  

Termination Date

 3/26/2018 8/2/2018 8/2/2018 8/7/2018 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 $5,993,000   $9,600,000   $3,400,000   $3,880,000  

Swap Value

 $1,547,465 $8,646,954 $3,170,408 ($246,940) $1,547,466   $8,646,955   $3,170,409   ($246,940

Investee Returns

 Total Returns Total Returns Total Returns Total Returns  Total Returns    Total Returns    Total Returns    Total Returns  

Realized Gain/(Loss)

 $0 $0 $0 $0 $0   $0   $0   $0  
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

Unrealized Gain/(Loss)

$2,105,282$8,120,784$3,132,777$1,176,515 $2,105,281   $8,120,996   $3,132,777   $1,176,514  
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

Fair Value as of 12/31/2014

$7,540,465$18,246,954$6,570,408$3,633,060 $7,540,466   $18,246,955   $6,570,409   $3,633,060  
 

 

 

 

 

 

 

 

 

 

  

 

  

 

  

 

 

5. Transactions with Affiliates

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

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the nominal assets of such Series, calculated on a daily basis. 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 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, 1.0% for the Equinox Frontier Balanced Fund Class 1a, Class 2a and Class 3a, 2.0% for the Equinox Frontier Winton 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,10-Q, 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.

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

Trading Fees—In connection with each Series’ trading activities of the Trust, the Equinox Frontier Long/Short Commodity Fund (Classes 1, 2 and 3), Equinox Frontier Balanced Fund, Equinox Frontier Select Fund, Equinox Frontier Winton Fund and Equinox Frontier Heritage Fund pays to the Managing Owner a trading fee, or FCM Fee, of up to 0.75% of such Series’ NAV, calculated daily. The Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund (Classes 1a and 2a) and Equinox Frontier Masters Fund pays to the Managing Owner a trading fee, or FCM Fee, of up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

Incentive Fees—Some Series of the Trust pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated by such Series, monthly or quarterly. Because the Equinox Frontier Balanced Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, and Equinox Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Equinox Frontier Balanced Fund and the Equinox Frontier Diversified Fund and 20% for the Equinox Frontier Winton Fund, Equinox Frontier Heritage Fund, Equinox Frontier Select Fund, Equinox Frontier Long/Short Commodity Fund and Equinox Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

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

As of March 31,June 30, 2015, the Trust has a payable to the Managing Owner in the amounts of $4,902,774, $464,587, $227,324, $344,996$94,737, $433,161, $207,941, $304,512 and $355,058$313,101 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2014, the Trust has a payable to the Managing Owner in the amounts of $6,665,328, $468,154, $203,086, $324,854, and $336,115 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended March 31,June 30, 2015, the Trust paid the Managing Owner $4,902,774, $1,288,670, $1,171,052$94,738, $1,280,518, $1,129,839 and $921,267$886,592 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended March 31,June 30, 2014, the Trust paid the Managing Owner $997,327, $1,629,685, $1,202,157$2,554,722, $1,498,648, $1,065,882 and $905,120$798,997 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2015, the Trust paid the Managing Owner $4,997,512, $2,569,188, $2,300,891 and $1,807,859 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2014, the Trust paid the Managing Owner $3,552,049, $3,128,333, $2,268,039, and $1,704,117 for incentive fees, management fees, service fees, and trading fees, respectively.

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the three months ended March 31,June 30, 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 $7,262$14,977 and ($8,738)7,682), respectively.

Aggregate interest income from all sources, including assets held at clearing brokers, up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund, and Equinox Frontier Balanced Fund (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. During the three months ended March 31,June 30, 2015 and 2014, the Trust paid $603,037$593,987 and $698,392,$579,315, respectively, and $1,197,024 and $1,277,706 for the six months ended June 30, 2015 and 2014, respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of operations.

The Managing Owner, under an amended contract, paid to The Bornhoft Group Corporation, an affiliate of the Trust, an annual payment of $1,100,000 for the first year of the contract and $600,000 for the second year of the contract, and $300,000 for the third and final year for investment and advisor services and 0.1% annually thereafter of the trading level with the Equinox Frontier Balanced Fund in lieu of a monthly service fee. The Managing Owner paid $139,848 and $221,095, respectively under this agreement for the three months ended March 31,June 30, 2015 and 2014.2014, respectively. These amounts do nothave no impact on the Trust’sSeries’ financial statements. This contract will endended April 30, 2015.

Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $305,000$730,000 and $230,000,$241,667, respectively, for the six months ended June 30, 2015 and 2014, and $425,000 and $91,667 for the three months ended March 31, 2015 andJune 30, 2014, respectively. These amounts do nothave no impact on the Trust’sSeries’ financial statements.

Solon Capital, LLC, an affiliate of the Trust, provides product development and marketing services. For these services, the Managing Owner paid Solon Capital, LLC, $316,272$623,715 and $208, 417,$581,681, respectively, for the six months ended June 30, 2015 and 2014 and $307,442 and $272,694 for the three months ended March 31,June 30, 2015 and 2014.2014, respectively. These amounts do nothave no impact on the Trust’sSeries’ financial statements.

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.

6. Financial Highlights

The following information presents the financial highlights of the Trust for the three and six months ended March 31,June 30, 2015 and 2014. This data has been derived from the information presented in the consolidated financial statements.

Three months ended   
  2015 2014 
  2015 2014 

Ratios to average net assets (1)

      

Net investment gain/(loss) (1)

   -6.18  -5.31   -4.48  -6.06

Expenses before incentive fees (3)

   4.87  5.45   4.85 5.45

Expenses after incentive fees (3)

   6.61  5.81   4.89 6.49

Total return before incentive fees (2)

   14.05  -4.60   -13.25 4.84

Total return after incentive fees (2)

   12.31  -4.96   -13.28 3.81

Six months ended

   
  2015 2014 

Ratios to average net assets (1)

   

Net investment gain/(loss) (1)

   -6.37  -6.28

Expenses before incentive fees (3)

   4.95 5.40

Expenses after incentive fees (3)

   6.79 6.74

Total return before incentive fees (2)

   1.27 -0.31

Total return after incentive fees (2)

   -0.57  -1.65

 

(1)Annualized with the exception of incentive fees.
(2)Total returns are not annualized.
(3)Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Consolidated Statements of Operations of the Trust. See footnote 5.

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

7. Derivative Instruments and Hedging Activities

The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of March 31,June 30, 2015 and December 31, 2014 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the three and six months ended March 31,June 30, 2015 and 2014, the monthly average of futures contracts bought was approximately 10,92310,232 and 10,603,9,319, respectively and sold was approximately 10,97510,304 and 10,745,9,124, respectively.

The following tables summarize the trading revenues for the three and six months ended March 31,June 30, 2015 and 2014 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2015(1)

Type of contract

    

Metals

  $(1,858,800

Currencies

   10,129,391  

Energies

   11,552,937  

Agriculturals

   (148,685

Interest rates

   9,920,908  

Stock indices

   10,391,914  
  

 

 

 

Realized trading income/(loss)(1)

$39,987,665  
  

 

 

 

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

for the Three Months Ended March 31,June 30, 2015(2)

 

Type of contract

    

Metals

  $787,054  

Currencies

   322,356  

Energies

   3,239,657  

Agriculturals

   250,296  

Interest rates

   (4,205,211

Stock indices

   (3,588,047
  

 

 

 

Change in unrealized trading income/(loss)(1)

  $(3,193,895
  

 

 

 

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

for the Six Months Ended June 30, 2015

 

Type of contract

        

Metals

  $104,184    $891,238  

Currencies

   (2,328,313   (2,005,957

Energies

   (7,926,646   (4,686,989

Agriculturals

   187,764     438,060  

Interest rates

   (190,205   (4,395,416

Stock indices

   (148,225   (3,736,272
  

 

   

 

 

Change in unrealized trading income/(loss)(2)

$(10,301,441

Change in unrealized trading income/(loss)(1)

  $(13,495,336
  

 

   

 

 

 

(1)InAmounts recorded in the Consolidated Statement of Operations under net realized gain/(loss) on futures, forwards and options
(2)In the ConsolidatedConsolidate Statement of Operations under net change in open trade equity (deficit), at fair value.

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2015

Type of contract

    

Metals

  $(1,671,013

Currencies

   (5,995,199

Energies

   (6,800,965

Agriculturals

   66,907  

Interest rates

   (1,770,084

Stock indices

   1,991,665  
  

 

 

 

Realized trading income/(loss)(1)

  $(14,178,689
  

 

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2015

Type of contract

    

Metals

  $(3,529,813

Currencies

   4,134,192  

Energies

   4,751,972  

Agriculturals

   (81,778

Interest rates

   8,150,824  

Stock indices

   12,383,579  
  

 

 

 

Realized trading income/(loss)(1)

  $25,808,976  
  

 

 

 

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

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

for the Three Months Ended June 30, 2014

  

  

Type of contract

    

Metals

  $1,029,170  

Currencies

   450,876  

Energies

   300,637  

Agriculturals

   749,674  

Interest rates

   4,544,705  

Stock indices

   (1,089,139
  

 

 

 

Change in unrealized trading income/(loss)(1)

  $5,985,923  
  

 

 

 

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

for the Six Months Ended June 30, 2014

  

  

Type of contract

    

Metals

  $(947,051

Currencies

   (3,956,074

Energies

   1,967,434  

Agriculturals

   (471,767

Interest rates

   4,765,842  

Stock indices

   (6,400,414
  

 

 

 

Change in unrealized trading income/(loss)(1)

  $(5,042,030
  

 

 

 

(1)Amounts recorded in the Consolidate Statement of Operations under net change in open trade equity (deficit), at fair value.

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2014

  

  

Type of contract

    

Metals

  $(2,663,349

Currencies

   (786,959

Energies

   (234,908

Agriculturals

   (1,684,548

Interest rates

   4,682,671  

Stock indices

   6,048,688  
  

 

 

 

Realized trading income/(loss)(1)

  $5,361,595  
  

 

 

 

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2014

  

Type of contract

    

Metals

  $(3,401,979

Currencies

   (441,730

Energies

   (1,894,183

Agriculturals

   (1,738,025

Interest rates

   7,301,379  

Stock indices

   5,687,637  
  

 

 

 

Realized trading income/(loss)(1)

  $5,513,099  
  

 

 

 
  

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

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

The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the consolidated statements of financial condition as of March 31,June 30, 2015 and December 31, 2014:

Offsetting of Derivative Assets and Liabilities

 

                                                         
As of March 31, 2015  Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statement of
Financial Condition
   Net Amounts
Presented in the
Statement of
Financial
Condition
 
As of June 30, 2015  Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statement of
Financial Condition
   Net Amounts
Presented in the
Statement of
Financial
Condition
 

Open Trade Equity/(Deficit)

  $7,892,086    $(4,491,313  $3,400,773    $—      $(17,281  $(17,281

Options Purchased

   15,494,973     —       15,494,973     3,819,429     —       3,819,429  

Options Written

   —       (15,201,527   (15,201,527   —       (2,581,870   (2,581,870

Swap Contracts

   47,935,058     —       47,935,058     38,220,263     —       38,220,263  

Offsetting of Derivative Assets and Liabilities

 

As of December 31, 2014  Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statement of
Financial Condition
   Net Amounts
Presented in the
Statement of
Financial
Condition
   Gross Amounts
of recognized
Derivative Assets
   Gross Amounts
offset in the
Statement of
Financial Condition
   Net Amounts
Presented in the
Statement of
Financial
Condition
 

Open Trade Equity/(Deficit)

  $17,120,111    $(2,295,689  $14,824,422    $17,120,111    $(2,295,689  $14,824,422  

Options Purchased

   9,075,883     —       9,075,883     9,075,883     —       9,075,883  

Options Written

   —       (8,963,838   (8,963,838   —       (8,963,838   (8,963,838

Swap Contracts

   35,990,887     —       35,990,887     35,990,887     —       35,990,887  

8. Trading Activities and Related Risks

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

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

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

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

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

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

9. Indemnifications and Guarantees

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

The Trust has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

10. Subsequent Events

Effective as of May 1, 2015, Mr. Richard E. Bornhoft no longer serves on the Executive Committee of the Managing Owner. As of May 1, 2015, the members of the Executive Committee are David DeMuth and Robert J. Enck.None.

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

Introduction

The following discussion and tables should be read in conjunction with our unaudited consolidated financial statements and notes thereto included in this quarterly report and our 2014 Annual Report on Form 10-K for the year ended December 31, 2014.

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, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including Swaps). The Trust allocates funds to affiliated Trading Companies, 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 assets, and make the trading decisions for the assets of each Series vested in such Trading Company. In November 2010, the Equinox Frontier Select Fund invested a portion of its assets in an unaffiliated Trading Company, Berkeley Quantitative Colorado Fund LLC which was liquidated on March 16, 2012. The assets of each Trading Company will be segregated from the assets of each other Trading Company. 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.”

Critical Accounting Policies and Estimates

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

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

Investment Transactions and Valuation

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

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

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

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

Selection and Replacement of Trading Advisors

The 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.

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

The managing owner’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 decile 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) onsite due diligence, (4) extensive due diligence questionnaires and (5) written review and periodic updates. This information allows a thorough review of each trading advisor’s trading philosophy, trading systems and corporate structure.

Multi-Manager Approach

A multi-manager approach to portfolio management provides diversification of trading advisors and access to broader global markets. 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 be more consistent returns with lower volatility.

The trading system of each of the major commodity trading advisors used by the Trading Companies is as follows:

 

Major Commodity Trading Advisor

  

Trading System Style

Abraham Trading Company

  Systematic

BH-DG Systematic Trading LLP

  Systematic

Brandywine Asset Management

  Discretionary

Campbell & Company, Inc.

  Systematic

Cantab Capital Partners LLP

  Systematic

Chesapeake Capital Corporation

  Systematic

Commodity Strategies AG

  Systematic

Crabel Capital Management, LLC

  Systematic

Emil Van Essen, LLC

  Discretionary

Fort, L.P.

  Systematic

H2O Asset Management

  Systematic

J E Moody & Company

  Systematic

Quantica Capital AG

  Systematic

Quantitative Investment Management, LLC

  Systematic

QuantMetrics Capital Management LLP

  Systematic

Quest Partners LLC

  Systematic

Red Oak Commodity Advisors, Inc.

  Discretionary

Rosetta Capital Management, LLC

  Discretionary

Skyline Management, Inc.

  Discretionary

Systematic Alpha

Systematic

Tarpon Trading

Systematic

Tiverton Trading

  Discretionary

Transtrend B.V.

  Systematic

Winton Capital Management Ltd.

  Systematic

As of March 31,June 30, 2015, the allocation of the assets of each applicable Series of the Trust betweenamong the Trading Advisors was as follows:

Allocation as of March 31, 2015 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

 Allocation as of June 30, 2015 (expressed as a percentage of aggregate notional exposure to commodity trading programs) 
Advisor Equinox Frontier
Diversified Fund
 Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Masters Fund
 Equinox Frontier
Balanced Fund
 Equinox Frontier
Select Fund
 Equinox Frontier
Winton Fund
 Equinox Frontier
Heritage Fund
  Equinox Frontier
Diversified Fund
 Equinox Frontier
Long/Short
Commodity Fund
 Equinox Frontier
Masters Fund
 Equinox Frontier
Balanced Fund
 Equinox Frontier
Select Fund
 Equinox Frontier
Winton Fund
 Equinox Frontier
Heritage Fund
 

Abraham Trading Company

  —     23%  —      —      —      —      —      —     19%  —      —      —      —      —    

Brandywine Asset Management

  —      —      —     5  —      —      —      —      —      —     5  —      —      —    

BH-DG Systematic Trading LLP

 11  —      —      —     44  —     50% 7%  —      —      —     43%  —     48%

Campbell &Company Inc.

  —      —      —     9  —      —      —      —      —      —     7  —      —      —    

Cantab Capital Partners LLP

  —      —      —     8  —      —      —      —      —      —     8  —      —      —    

Chesapeake Capital Corporation

 10  —     28  —      —      —      —     10%  —     27  —      —      —      —    

Commodity Strategies AG

  —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Crabel Capital Management, LLC

 7  —      —     5  —      —      —     7%  —      —     6%  —      —      —    

Emil Van Essen, LLC

 6 11 17 4  —      —      —     7% 17 20 5  —      —      —    

Fort, L.P.

 10  —      —     8  —      —      —     11%  —      —     11  —      —      —    

H2O Asset Management

 9  —      —     9  —      —      —     8%  —      —     9  —      —      —    

J E Moody & Company

  —     19%  —      —      —      —      —      —     16%  —      —      —      —      —    

Quantica Capital AG

  —      —      —      —      —      —      —      —      —      —     7  —      —      —    

Quantitative Investment Management, LLC

 8  —      —     8  —      —      —     10%  —      —     9  —      —      —    

QuantMetrics Capital Management LLP

 13  —      —     9  —      —      —     15%  —      —     9  —      —      —    

Quest Partners LLC

 11  —      —      —      —      —      —     11%  —      —      —      —      —      —    

Red Oak Commodity Advisors, Inc.

  —     25  —      —      —      —      —      —     24  —      —      —      —      —    

Rosetta Capital Management, LLC

  —     18  —      —      —      —      —      —     20  —      —      —      —      —    

Skyline Management, Inc.

  —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Systematic Alpha

  —      —      —     6  —      —      —    

Tarpon Trading LLC

  —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Tiverton Trading

  —      —      —      —      —      —      —      —      —      —      —      —      —      —    

Transtrend B.V.

  —      —     26  —     56  —      —      —      —     25  —     57  —      —    

Winton Capital Management Ltd.

 11  —     30 9  —     100 50% 10%  —     28 8  —     100 52%

Liquidity and Capital Resources

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

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

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At March 31,June 30, 2015, cash deposited at the clearing brokers was $74,616,685$61,682,864 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Balanced Fund (Class 1a and Class 2a only), and the Equinox Frontier Long/Short Commodity Fund, 20% of the total interest allocated to each Series is paid to the Managing Owner. 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.

Approximately 10% to 30% of the Trust’s assets are expected to be committed as required margin for futures contracts and forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are

maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited withover-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 64% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of March 31,June 30, 2015, total cash and cash equivalents held at banking institutions were $2,117,560$4,827,779 for the Equinox Frontier Diversified Fund, $600,918$1,119,846 for the Equinox Frontier Long/Short Commodity Fund, $896,661$1,978,484 for the Equinox Frontier Masters Fund, $3,273,398$7,863,320 for the Equinox Frontier Balanced Fund, $207,627$401,143 for the Equinox Frontier Select Fund, $1,892,129$4,254,223 for the Equinox Frontier Winton Fund, and $427,180$947,643 for the Equinox Frontier Heritage Fund.

As a commodity pool, the Registrant has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally, the Registrant has not been forced to liquidate positions to fund redemptions. During the threesix months ended March 31,June 30, 2015, the Registrant was able to pay all redemptions.

Off-Balance Sheet Risk

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

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

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

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

Disclosure of Contractual Obligations

The business of the Trust is the speculative trading of commodity interests. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less

than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.

Results of Operations

Series Returns and Other Information

The returns for each Series and Class of Units for the three and six months ended March 31,June 30, 2015 and 2014, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during the three and six months ended March 31,June 30, 2015 and 2014. The performance of each Series was impacted over the course of the periods by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the periods presented.

Three Months Ended March 31,June 30, 2015 Compared to Three Months Ended March 31,June 30, 2014.

Equinox Frontier Diversified Fund

The Equinox Frontier Diversified Fund— Class 1 NAV lost 12.24% and gained 4.83%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Diversified Fund—Class 2 NAV lost 11.85% and gained 5.29%, respectively for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Diversified Fund—Class 3 NAV lost 11.79% and gained 5.37%, respectively for the three months ended June 30, 2015 and 2014.

For the three months ended June 30, 2015, the Equinox Frontier Diversified Fund recorded net loss on investments of $7,276,498, net investment income of $155,143, and total expenses of $706,350 resulting in a net decrease in Owners’ capital from operations of $7,505,363, after non-controlling interests of $322,342. For the three months ended June 30, 2014, the Equinox Frontier Diversified Fund recorded net gain on investments of $4,070,103, net investment income of $135,499, and total expenses of $1,658,328 resulting in a net increase in Owner’s Capital from operations of $2,547,274.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Diversified Fund.”

Equinox Frontier Masters Fund

The Equinox Frontier Masters Fund—Class 1 NAV lost 14.31% and gained 6.49% for the three months ended June 30, 2015 and 2014 net of fees and expenses; the Equinox Frontier Masters Fund —Class 2 NAV lost 13.93% and gained 6.96% for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Masters Fund—Class 3 NAV lost 13.88% and gained 7.03% for the three months ended June 30, 2015 and 2014, net of fees and expenses.

For the three months ended June 30, 2015, the Equinox Frontier Masters Fund recorded net loss on investments of $3,430,447, net investment income of $68,655, and total expenses of $432,082, resulting in a net decrease in Owners’ capital from operations of $3,793,874. For the three months ended June 30, 2014, the Equinox Frontier Masters Fund recorded net gain on investments of $2,119,822, net investment income of $71,429, and total expenses of $621,832, resulting in a net increase in Owners’ capital from operations of $1,569,419.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014—Equinox Frontier Masters Fund.”

Equinox Frontier Long/Short Commodity Fund

The Equinox Frontier Long/Short Commodity Fund—Class 2 NAV lost 10.75% and gained 0.62%, respectively, for the three months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 3 NAV lost 10.76% and gained 0.62%, respectively for the three months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 1a NAV lost 11.22% and gained 0.41%, respectively, for the three months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 2a NAV lost 10.83% and gained 0.85%, respectively, for the three months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund Class 3a NAV lost 10.78% and gained 0.91%, respectively, for the three months ended June 30, 2015, net of fees and expenses.

For the three months ended June 30, 2015, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $1,822,067, net investment income of $43,133, and total expenses of $266,165, resulting in a net increase in Owners’ capital from operations of $2,045,099. For the three months ended June 30, 2014, the Equinox Frontier Long/Short Commodity Fund recorded net gain on investments of $1,521,079, net investment income of $47,605, and total expenses of $317,381, resulting in a net increase in Owners’ capital from operations of $111,679, after non-controlling interests of $1,139,624.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Long/Short Commodity Fund.”

Equinox Frontier Balanced Fund

The Equinox Frontier Balanced Fund—Class 1 NAV lost 11.41% and gained 1.83%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2 NAV lost 10.74% and gained 2.61%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2a NAV lost 10.53% and gained 2.87%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 3a NAV lost 10.53% and gained 2.87%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 1AP NAV lost 10.74% for the three months ended June 30, 2015, net of fees and expenses.

For the three months ended June 30, 2015, the Equinox Frontier Balanced Fund recorded net loss on investments of $11,603,125, net investment income of $8,003, and total expenses of $1,027,119, resulting in a net decrease in Owners’ capital from operations of $12,148,245, after non-controlling interests of $473,996 For the three months ended June 30, 2014, the Equinox Frontier Balanced Fund recorded net gain on investments of $6,379,507, net investment income of $6,543, and total expenses of $1,826,219, resulting in a net increase in Owners’ capital from operations of $1,705,510, after non-controlling interests of $2,854,321.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Balanced Fund.”

Equinox Frontier Select Fund

The Equinox Frontier Select Fund—Class 1 NAV lost 17.76% and gained 4.29%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Select Fund —Class 2 NAV lost 17.14% and gained 5.08% respectively for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Select Fund —Class 1AP NAV lost 17.15% for the three months ended June 30, 2015.

For the three months ended June 30, 2015, the Equinox Frontier Select Fund recorded net loss on investments of $4,071,121, net investment income of $0, and total expenses of $208,627, resulting in a net decrease in Owners’ capital from operations of $2,913,178, after non-controlling interests of $1,366,570. For the three months ended June 30, 2014, the Equinox Frontier Select Fund recorded net gain on investments of $902,903, net investment income of $0, and total expenses of $291,912, resulting in a net increase in Owners’ capital from operations of $610,991.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Select Fund.”

Equinox Frontier Winton Fund

The Equinox Frontier Winton Fund—Class 1 NAV lost 13.57% and gained 5.94%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Winton Fund —Class 2 NAV lost 12.93% and gained 6.74%, respectively, for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Winton Fund —Class 1AP NAV lost 12.93% for the three months ended June 30, 2015.

For the three months ended June 30, 2015, the Equinox Frontier Winton Fund recorded net loss on investments of $5,119,775, net investment income of $27, and total expenses of $580,321, resulting in a net decrease in Owners’ capital from operations of $5,700,069. For the three months ended June 30, 2014, the Equinox Frontier Winton Fund recorded net gain on investments of $2,996,455, net investment income of $0, and total expenses of $945,307, resulting in a net increase in Owners’ capital from operations of $2,051,148.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Winton Fund.”

Equinox Frontier Heritage Fund

The Equinox Frontier Heritage Fund—Class 1 NAV lost 14.72% and gained 7.51%, respectively, for the three months ended June 30, 2015 and 2014 net of fees and expenses; the Equinox Frontier Heritage Fund —Class 2 NAV lost 14.09% and gained 8.32%, respectively for the three months ended June 30, 2015 and 2014, net of fees and expenses; the Equinox Frontier Heritage Fund —Class 1AP NAV lost 14.09% for the three months ended June 30, 2015.

For the three months ended June 30, 2015, the Equinox Frontier Heritage Fund recorded net loss on investments of $2,770,445, net investment income of $0, and total expenses of $171,023, resulting in a net increase in Owners’ capital from operations of $2,941,468. For the three months ended June 30, 2014, the Equinox Frontier Heritage Fund recorded net gain on investments of $1,418,344, net investment income of $0, and total expenses of $256,119, resulting in a net increase in Owners’ capital from operations of $832,265, after non-controlling interests of $329,960.

Please see additional discussion under “Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014 – Equinox Frontier Heritage Fund.”

Six Months Ended June 30, 2015 Compared to Six Months Ended June 30, 2014.

Equinox Frontier Diversified Fund

2015

The Equinox Frontier Diversified Fund—Class 1 NAV gained 16.42% and lost 4.97%, respectively,2.18% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses; the Equinox Frontier Diversified Fund—Class 2 NAV gained 16.92% and lost 4.56%, respectively3.06% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses;expenses, the Equinox Frontier Diversified Fund—Class 3 NAV gained 16.99% and lost 1.53%, respectively3.19% for the threesix months ended March 31, 2015 and 2014. The inception date of the Equinox Frontier Diversified Fund Class 3 was February 24, 2014.June 30, 2015.

For the threesix months ended March 31,June 30, 2015, the Equinox Frontier Diversified Fund recorded net gain on investments of $15,234,471,$7,957,973, net investment income of $169,258,$324,401, and total expenses of $2,373,266$3,079,616 resulting in a net increase in Owners’ capital from operations of $9,717,066,$2,211,703, after non-controlling interests of $3,313,397.$2,991,055. The NAV per Unit, Class 1, increased from $113.09 at December 31, 2014 to $131.66$115.55 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increased from $124.67 at December 31, 2014 to $145.76$128.49 as of March 31,June 30, 2015. The NAV per Unit, Class 3 increased from $115.03115.03 at December 31, 2014 to $134.57$118.70 as of March 31,June 30, 2015. Total Class 1 subscriptions and redemptions for the period were $487,852$1,270,579 and $2,417,127,$5,313,927, respectively. Total Class 2 subscriptions and redemptions for the period were $759,658$1,189,681 and $5,722,101,$6,218,435, respectively. Total Class 3 subscriptions and redemptions for the period were $1,813,483$3,413,795 and $597,357,$1,578,475, respectively. Ending capital at March 31,June 30, 2015 was $20,268,019$15,940,760 for Class 1, $36,055,993$31,718,687 for Class 2 and $7,869,420$7,467,609 for Class 3. Ending capitalCapital at December 31, 2014 was $19,195,036 for Class 1,$35,224,292 $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.

 

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FourOne of the six sectors traded in the Equinox Frontier Diversified Fund was profitable in Q1 2015Q2 2015. Currencies was profitable while and YTD. Currencies,Metals, Energies, Agriculturals, Interest Rates and Stock Indices were profitable while and Metals and Agriculturals finished negative for the quarter.

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

In terms of major CTA performance Doherty, Emil Van Essen, and QIM finished positive for the quarter. Brevan Howard, Chesapeake, Crabel, Fort LP (GC), H20, Quantmetrics, Quest and Winton were negative for the quarter.

Brevan Howard, Doherty, Emil Van Essen, Fort LP (GC), H20, QIM and Quantmetrics were positive YTD while Chesapeake, Crabel, Quest and Winton finished positive for the quarter andwere negative YTD.

2014

The Equinox Frontier Diversified Fund—Class 1 NAV lost 4.97%0.38% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Diversified Fund—Class 2 NAV lost 4.56%gained 0.49% for the threesix months ended March 31,June 30, 2014, net of fees and expenses. Theexpenses the Equinox Frontier Diversified Fund—Class 3 NAV lost 1.53%gained 3.75% for the threesix months ended March 31,June 30, 2014. The inception date of the Equinox Frontier Diversified Fund Class 3 was February 24, 2014.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Diversified Fund recorded net lossgain on investments of $1,584,528,$2,485,576, net investment income of $164,878,$300,377, and total expenses of $1,034,738$2,857,944 resulting in a net decrease in Owners’ capital from operations of $2,944,637,$397,362, after non-controlling interests of 325,371.$325,371. The NAV per Unit, Class 1, decreased from $87.10 at December 31, 2013 to $82.77$86.77 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreasedincreased from $94.35 at December 31, 2013 to $90.05$94.81 as of March 31,June 30, 2014. The NAV per Unit, Class 3 decreased from $84.21 at December 31, 2013 to $82.92was $87.37 as of March 31,June 30, 2014. Class 3 operations began February 25, 2014. Total Class 1 subscriptions and redemptions for the period were $275,409$558,427 and $4,803,463,$8,011,875, respectively. Total Class 2 subscriptions and redemptions for the period were $273,471$349,817 and $2,949,068,$5,909,484, respectively. Total Class 3 subscriptions and redemptions for the period were $754,623$1,809,523 and $10,755,$52,288, respectively. Ending capital at March 31,June 30, 2014 was $22,857,752$20,901,816 for Class 1, $30,465,282$29,073,838 for Class 2 and $731,584.$1,830,141 for Class 3. Ending capital at December 31, 2013 was $28,744,047 for Class 1 and $34,714,991 for Class 2.

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

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OneTwo of the six sectors traded in the Equinox Frontier Diversified Fund was profitable in Q12Q 2014. Interest Rates and Stock Indices were profitable while Stock Indices, Currencies, Metals, Agriculturals and Energies finished negative for the quarter.

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

In terms of major CTA performance Crabel, Doherty, Fort (GC), H20 and Quantmetrics finished positive for the quarter. Brevan Howard, Cantab, Chesapeake, Mesirow, Tiverton, Winton, Emil Van Essen, QIM and Quest Partners finished negative for the quarter. In terms of YTD performance Crabel, Doherty, Fort (GC) and Quantmetrics arewere positive YTD while Brevan Howard, Cantab, Chesapeake, Mesirow,H20, Tiverton, Winton, Emil Van Essen, QIM and Quest Partners arewere negative YTD.

Equinox Frontier Masters Fund

2015

The Equinox Frontier Masters Fund—Class 1 NAV gained 10.09% and lost 4.93%5.66% for the threesix months ended March 31,June 30, 2015, and 2014 net of fees and expenses; the Equinox Frontier Masters Fund —Class 2 NAV gained 10.57% and lost 4.52%4.83% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses; the Equinox Frontier Masters Fund—Class 3 NAV gained 10.64% and lost 4.47%4.71% for the threesix months ended March 31, 2015 and 2014, net of fees and expenses.June 30, 2015.

For the threesix months ended March 31,June 30, 2015, the Equinox Frontier Masters Fund recorded net gain on investments of $3,440,003,$9,556, net investment income of $71,164,$139,819, and total expenses of $932,773, resulting in a net increase in Owners’ capital from operations of $2,578,394. For the three months ended March 31, 2014, the Equinox Frontier Masters Fund recorded net loss on investments of $1,139,641, net investment income of $95,272, and total expenses of $570,990,$1,364,855, resulting in a net decrease in Owners’ capital from operations of $1,615,359.

$1,215,480. For the six months ended June 30, 2014, the Equinox Frontier Diversified Fund recorded net gain on investments of $2,485,576, net investment income of $300,377, and total expenses of $2,857,944 resulting in a net decrease in Owners’ capital from operations of $397,362, after non-controlling interests of $325,371. The NAV per Unit, Class 1, increased from $116.61 at December 31, 2014 to $128.38$110.01 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increased from $128.53 at December 31, 2014 to $142.12$122.32 as of March 31,June 30, 2015. The NAV per Unit, Class 3, increased from $119.06 at December 31, 2014 to $131.73$113.45 as of March 31,June 30, 2015. Total Class 1 subscriptions and redemptions for the period were $197,260$989,895 and $950,034,$3,183,426, respectively. Total Class 2 subscriptions and redemptions for the period were $5,000$10,000 and $247,295,$483,171, respectively. Total Class 3 subscriptions and redemptions for the period were $663,443$2,498,048 and $1,228,567,$1,625,851, respectively. Ending capital at March 31,June 30, 2015 was $12,259,432$9,077,720 for Class 1, $9,548,554$8,004,780 for Class 2 and $4,918,069$5,615,369 for Class 3. 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.

 

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FiveAll of the six sectors traded in Equinox Frontier Masters Fund were profitablenegative in Q1 2015 and YTD. Currencies, Energies, Agriculturals, Interest Rates and Stock Indices were positive while Metals were negative for the quarter and YTD.

In terms of major CTA performance, allone of the four major CTAs in the Equinox Frontier Masters Fund werewas profitable for the quarter. All are alsoEmil Van Essen was positive for the quarter and YTD, while Chesapeake, Transtrend and Winton were negative for the quarter and YTD.

2014

The Equinox Frontier Masters Fund—Class 1 NAV lost 4.93%gained 1.24% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Masters Fund —Class 2 NAV lost 4.52%gained 2.12% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Masters Fund—Class 3 NAV lost 4.47%gained 2.24% for the threesix months ended March 31,June 30, 2014. The inception date of the Equinox Frontier Masters Fund Class 3 was December 17, 2013.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Masters Fund recorded net lossgain on investments of $1,139,641,$980,182, net investment income of $95,272,$166,701, and total expenses of $475,718,$1,192,822, resulting in a net decrease in Owners’ capital from operations of $1,615,359.$45,939. For the threesix months ended March 31,June 30, 2013 the Equinox Frontier Masters Fund recorded a net gainloss on investments of $883,034,$1,692,118, net investment income of $231,188,$455,372, and total expenses of $561,505,$1,588,128, resulting in a net increasedecrease in Owners’ capital from operations of $321,529.$2,824,874. The NAV per Unit, Class 1, decreasedincreased from $91.83 at December 31, 2013 to $87.30$92.97 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreasedincreased from $99.46 at December 31, 2013 to $94.96$101.57 as of March 31,June 30, 2014. The NAV per Unit, Class 3, decreased

increased from $91.91 at December 31, 2013 to $87.80$93.97 as of March 31,June 30, 2014. Total Class 1 subscriptions and redemptions for the period were $36,836$140,294 and $5,237,423,$10,016,182, respectively. Total Class 2 subscriptions and redemptions for the period were $35,000 and $634,052,$1,825,965, respectively. Total Class 3 subscriptions and redemptions for the period were $680,760$2,764,331 and $89,144,$445,554, respectively. Ending capital at March 31,June 30, 2014 was $16,792,778$12,926,946 for Class 1, $9,329,134$8,724,607 for Class 2 and $825,490$2,725,219 for Class 3. Ending capital at December 31, 2013 was $23,115,495 for Class 1, $10,406,162 for Class 2 and $249,127 for Class 3.

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

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Two of the six sectors traded in Equinox Frontier Masters Fund were profitable in Q12Q 2014. AgriculturalsStock Indices and Interest Rates were positive while Metals, Currencies, Energies and Stock IndicesAgriculturals were negative for the quarter.

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

In terms of major CTA performance, none of the major CTAs in the Equinox Frontier Masters Fund were profitable for the quarter orquarter. Transtrend and Winton were positive YTD, while Cantab, Chesapeake, and Tiverton were negative YTD.

Equinox Frontier Long/Short Commodity Fund

2015

The Equinox Frontier Long/Short Commodity Fund—Class 2 NAV gained 20.17%7.13% for the threesix months ended March 31,June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 3 NAV gained 20.04%7.13% for the threesix months ended March 31,June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 1a NAV gained 19.36%5.98%, for the threesix months ended March 31,June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 2a NAV gained 19.88%,6.90% 9, for the threesix months ended March 31,June 30, 2015, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund Class 3a NAV gained 19.97%7.04% for the threesix months ended March 31,June 30, 2015, net of fees and expenses.

For the threesix months ended March 31,June 30, 2015, the Equinox Frontier Long/Short Commodity Fund recorded net gain on investments of $2,732,204,$910,137, net investment income of $47,058,$90,191, and total expenses of $463,081,$729,246, resulting in a net increase in Owners’ capital from operations of $2,316,181.$271,082. For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $4,086,877,$2,565,800, net investment income of $69,247,$116,852, and total expenses of $407,171,$724,549, resulting in a net decrease in

Owners’ capital from operations of $4,424,801,$2,406,675, after non-controlling interests of ($1,906,446)766,822). The NAV per Unit, Class 2, increased from $138.30 at December 31, 2014 to $166.20$148.16 as of March 31,June 30, 2015. The NAV per Unit, Class 3, increased from $138.34 at December 31, 2014 to $166.06$148.20 as of March 31,June 30, 2015. The NAV per Unit, Class 1a, increased from $101.12 at December 31, 2014 to $120.70$107.17 as of March 31,June 30, 2015. The NAV per Unit, Class 2a, increased from $111.35 at December 31, 2014 to $133.49$119.03 as of March 31,

June 30, 2015. The NAV per Unit, Class 3a, increased from $111.77 at December 31, 2014 to $134.09$119.64 as of March 31,June 30, 2015. Total Class 2 redemptions for the period were $46,260.$181,144. Total Class 3 redemptions for the period were $226,216.$454,734. Total Class 1a subscriptions and redemptions for the period were $ $414,752.$23,000 and $874,536, respectively. Class 2a subscriptions and redemptions for the period were $5,000 and $109,918,$281,680, respectively. Class 3a subscriptions and redemptions for the period were $41,303$120,785 and $42,766,$90,453, respectively. Ending capital at March 31,June 30, 2015 was $1,447,695$1,161,998 for Class 2, $8,438,115$7,309,331 for Class 3, $6,448,293$5,306,714 for Class 1a, $1,924,732$1,548,908 for Class 2a and $787,818$734,451 for Class 3a. 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.

 

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ThreeTwo of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q1Q2 2015. Energies, Precious Metals, SoftsGrains and FinancialsMeats finished positive for the quarter while Base Metals, Grains,Energies, Precious Metals, Softs and MeatsFinancials finished negative for the quarterquarter. Energies, Softs and Financials were positive YTD while Base Metals, Grains, Meats, and Precious Metals were negative YTD.

In terms of major CTA performance, four outtwo of the five major CTAs in the Equinox Frontier Long/Short Commodity Fund were profitable in Q1Q2 2015. Abraham, Emil Van Essen and Red OakRosetta were positive for the quarter and arewere positive YTD while RosettaAbraham, JE Moody, and Red Oak finished negative for the quarter and were negative YTD.

2014

The Equinox Frontier Long/Short Commodity Fund—Class 2 NAV lost 11%10.45% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 3 NAV lost 11.01%10.45% for the three month periodsix months ended March 31,June 30, 2014, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 1a NAV lost 11.12%10.75%, for the three month periodsix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 2a NAV lost 10.74%9.99%, for the three month periodsix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund Class 3a NAV lost 10.68%9.86% for the three month periodsix months ended March 31,June 30, 2014, net of fees and expenses.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $4,086,877,$2,565,800, net investment income of $69,247,$116,852, and total expenses of $337,924,$724,549, resulting in a net decrease in Owners’ capital from operations of $2,518,355,$2,406,675, after non-controlling interests of ($1,906,446)766,822). For the threesix months ended March 31,June 30, 2013, the Equinox Frontier Long/Short Commodity Fund recorded net loss on investments of $1,371,456,$4,975,201, net investment income of $297,099,$585,282, and total expenses of $648,989,$1,815,455, resulting in a net decrease in Owners’ capital from operations of $194,728,$3,523,930, after non-controlling interests of ($1,825,717)2,681,444). The NAV per Unit, Class 2, decreased from $125.26 at December 31, 2013 to $111.48$112.17 as of March 31,June 30, 2014. The NAV

per Unit, Class 3, decreased from $125.30 at December 31, 2013 to $111.51$112.20 as of March 31,June 30, 2014. The NAV per Unit, Class 1a, decreased from $92.73 at December 31, 2013 to $82.42$82.76 as of March 31,June 30, 2014. The NAV per Unit, Class 2a, decreased from $100.34 at December 31, 2013 to $89.56$90.32 as of March 31,June 30, 2014. The NAV per Unit, Class 3a, decreased from $100.47 at December 31, 2013 to $89.74$90.56 as of March 31,June 30, 2014. Total Class 2 redemptions for the period were $1,851,384.$1,932,014. Total Class 3 redemptions for the period were $996,055.$1,796,339. Total Class 1a subscriptions and redemptions were $39,949$107,716 and $1,700,961$2,484,658 respectively. Class 2a redemptions for the period were $576,515.$1,228,609. Class 3a subscriptions and redemptions for the period were $263,648$294,261 and $83,636,$125,931, respectively. Ending capital at March 31,June 30, 2014 was $1,246,556$1,173,977 for Class 2, $7,616,070$6,866,592 for Class 3, $6,200,830$5,516,168 for Class 1a, $2,222,795$1,588,411 for Class 2a and $395,536$387,699 for Class 3a. Ending capital at December 31, 2013 was $3,371,798 for Class 2, $9,619,596 for Class 3, $8,752,826 for Class 1a, $3,103,405 for Class 2a and $257,471 for Class 3a.

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

 

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TwoFour of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q1Q2 2014. Base Metals, Grains, Meat and SoftsPrecious Metals finished positive for the quarter while Base Metals, Energies, Grains, Meats, Precious MetalsSofts and Financials finished negative for the quarter. Grains and Softs arewere positive YTD while Base Metals, Energies, Grains, Meats, Precious Metals and Financials were negative YTD.

In terms of major CTA performance, twoone of the ninesix major CTAs in the Equinox Frontier Long/Short Commodity Fund werewas profitable in Q12Q 2014. Abraham and Krom River werewas positive for the quarter and arewere positive YTD while Commodity Strategies, Emil Van Essen, JE Moody, Mesirow, Red Oak, Rosetta and Strategic Ag finished negative for the quarter and iswere negative YTD.

Please see additional discussion under “Three months Ended March 31, 2015 Compared to Three months Ended March 31, 2014 – Equinox Frontier Long/Short Commodity Fund.”

Equinox Frontier Balanced Fund

2015

The Equinox Frontier Balanced Fund—Class 1 NAV gained 13.12% and lost 4.05%, respectively,0.21% for the threesix months ended March 31,June 30, 2015, net of fees and 2014,expenses; The Equinox Frontier Balanced Fund—Class 1AP NAV gained 1.72% for the six months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2 NAV gained 13.96% and lost 3.33%,

respectively,1.72% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2a NAV gained 14.21% and lost 3.06%, respectively,2.18% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 3a NAV gained 14.21% and lost 3.05%, respectively,2.18% for the three months ended March 31,June 30, 2015, and 2014, net of fees and expenses;expenses.

For the Equinox Frontier Balanced Fund —Class 1AP NAV gained 13.96% for the threesix months ended March 31, 2015.

For the three months ended March 31,June 30, 2015, the Equinox Frontier Balanced Fund recorded net gain on investments of $16,254,937,$4,651,800, net investment income of $7,190,$15,193, and total expenses of $2,504,697,$3,531,816, resulting in a net increase in Owners’ capital from operations of $12,927,288,$779,031, after non-controlling interests of $830,142.$356,146. For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Balanced Fund recorded net lossgain on investments of $2,141,831,$4,237,671, net investment income of $8,530,$15,073, and total expenses of $1,578,518,$3,404,737, resulting in a net decreaseincrease in Owners’ capital from operations of $4,165,357$1,705,510, after non-controlling interests of $453,538.$2,854,321. The NAV per Unit, Class 1, increased from $131.54 at December 31, 2014 to $148.80$131.82 as of March 31,June 30, 2015. The NAV per Unit, Class 1AP, increased from $133.20 at December 31, 2014 to $151.80$135.49 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increased from $179.16 at December 31, 2014 to $204.17$182.24 as of March 31,June 30, 2015. The NAV per Unit, Class 2a, increased from $153.02 at December 31, 2014 to $174.76$156.36 as of March 31,June 30, 2015. The NAV per Unit, Class 3a, increased from $152.52 at December 31, 2014 to $174.19$155.85 as of March 31,June 30, 2015. Total Class 1 subscriptions and redemptions for the period were $56,154$117,365 and $3,119,131,$4,065,683, respectively. Total Class 1AP subscriptions and redemptions for the period were $1,457 and $11,615,$39,001, respectively. Total Class 2 subscriptions and redemptions for the period were $4,315$9,409 and $196,584,$524,931, respectively. Total Class 2a, redemptions for the period were $60,850. Total Class 3a redemptions for the period were $47,479.$52,948. Ending capital at March 31,June 30, 2015 was $78,309,904$68,562,471 for Class 1, $842,256$724,876 for Class 1AP, $26,631,212$23,474,966 for Class 2, $618,416$553,306 for Class 2a, and 2,837,703$2,534,161 for Class 3a. Ending capital at December 31, 2014 was $72,098,275 for Class 1, $748,275 for Class 1AP, $23,550,697 for Class 2, $600,287 for Class 2a and $2,528,303 for Class 3a.

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

 

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FiveOne of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q1Q2 2015. Currencies was profitable while Metals, Energies, Agriculturals, Interest RateRates and Stock Indies sectors were profitable while MetalsIndices finished negative for the quarterquarter.

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

In terms of major CTA performance, fourteenfive of the fifteen major CTAs in the Equinox Frontier Balanced Fund were profitable in Q1Q2 2015. Beach Horizon, Brandywine, Campbell, Cantab, Crabel,, Doherty, Emil Van Essen, Fort (GC), Fort (GD), H2O AM, QIM Quantica, Quantmetrics, and Winton were positive for the quarter while Beach Horizon, Campbell, Cantab, Crabel, Fort LP (GP), Fort LP (GD), H20 AM, Quantica, Quantmetrics and YTD. Systematic Alpha finishedWinton are negative for the quarterquarter.

Brandywine, Doherty, Emil Van Essen, Fort LP (GC), H20 AM, QIM and isQuantmetrics were positive YTD, while Beach Horizon, Campbell, Cantab, Crabel, Fort LP (GD), Quantica, Systematic Alpha and Winton were negative YTD.

2014

The Equinox Frontier Balanced Fund—Class 1 NAV lost 4.05%2.29% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2 NAV lost 3.33%0.81% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2a NAV lost 3.06%0.27%, for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 3a NAV lost 3.05%0.27% for the threesix months ended March 31,June 30, 2014, net of fees and expenses.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Balanced Fund recorded net lossgain on investments of $2,141,831,$4,237,674, net investment income of $8,530,$15,073, and total expenses of $1,569,988,$3,404,734, resulting in a net decreaseincrease in Owners’ capital from operations of $4,165,357,$1,705,510, after non-controlling interests of $453,538.$2,854,321. For the threesix months ended March 31,June 30, 2013, the Equinox Frontier Balanced Fund recorded net loss on investments of $3,972,194,$12,914,896, net investment income of $47,281,$122,551, and total expenses of $2,044,258,$4,163,030, resulting in a net decrease in Owners’ capital from operations of $6,016,452.$16,342,353 after non- controlling interests of $613,022. The NAV per Unit, Class 1, decreased from $106.29 at December 31, 2013 to $101.99$103.86 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreased from $140.49 at December 31, 2013 to $135.81$139.35 as of March 31,June 30, 2014. The NAV per Unit, Class 2a, decreasedincreased from $118.80 at December 31, 2013 to $115.17$118.48 as of March 31,June 30, 2014. The NAV per Unit, Class 3a, decreased from $118.41 at December 31, 2013 to $114.80$118.09 as of March 31,June 30, 2014. Total Class 1 subscriptions and redemptions for the period were $39,640$75,943 and $8,033,927,$14,334,761, respectively. Total Class 2 subscriptions and redemptions for the period were $3,529$7,110 and $2,781,047,$5,534,845, respectively. Total Class 2a, redemptions for the period were $2,122.$4,070. Total Class 3a redemptions for the period were $102,488.$190,929. Ending capital at March 31,June 30, 2014 was $69,599,720$64,439,345 for Class 1, $22,961,181$20,739,600 for Class 2, $474,436$486,096 for Class 2a, and $2,149,750$2,120,414 for Class 3a. Ending capital at December 31, 2013 was $80,801,534 for Class 1, $26,611,117 for Class 2, $491,579 for Class 2a and $2,322,629 for Class 3a.

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

 

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Two of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q1Q2 2014. AgriculturalsStock Indices and Interest Rate sectors were profitable while Metals, Currencies, Energies, and Stock IndicesAgriculturals finished negative for the quarter.

Agriculturals and Interest Rate sectors arewas positive YTD while Stock Indices, Metals, Currencies, Energies, and Stock Indices areAgriculturals were negative YTD.

In terms of major CTA performance, eightnine of the sixteenfifteen major CTAs in the Equinox Frontier Balanced Fund were profitable in Q12Q 2014. Beach Horizon, Crabel, Doherty, Fort (GC), Fort (GD), H2O AM, Quantica, Quantmetrics and Winton were positive for the quarter and are positive YTD while Campbell, Cantab, Emil Van Essen, QIM, Systematic Alpha, Tarpon and Tiverton finished negative for the quarter and are negative YTD.

Please see additional discussion under “Three months Ended September 30, 2015 Compared to Three months Ended March 31, 2014 – Equinox Frontier Balanced Fund.”

Equinox Frontier Select Fund

2015

The Equinox Frontier Select Fund—Class 1 NAV gained 11.03% and lost 6.07%, respectively,8.68% for the threesix months ended March 31,June 30, 2015, net of fees and 2014,expenses; the Equinox Frontier Select Fund—Class 1AP NAV lost 7.31% for the six months ended June 30, 2015, net of fees and expenses; the Equinox Frontier Select Fund —Class 2 NAV gained 11.87% and lost 5.37%, respectively7.31% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses;expenses.

For the six months ended June 30, 2015, the Equinox Frontier Select Fund —Class 1AP NAV gained 11.87% forrecorded net loss on investments of $1,329,887, net investment income of $0, and total expenses of $584,464, resulting in a net decrease in Owners’ capital from operations of $684,237, less non-controlling interests of ($684,237). For the threesix months ended March 31, 2015.

For the three months ended March 31, 2015,June 30, 2014, the Equinox Frontier Select Fund recorded net gain on investments of $2,741,233,$132,564, net investment income of $0, and total expenses of $375,837, resulting in a net increase in Owners’ capital from operations of $1,683,063, after non-controlling interests of $682,333. For the three months ended March 31, 2014, the Equinox Frontier Select Fund recorded net loss on investments of $770,338, net investment income of $0, and total expenses of $273,428,$565,340, resulting in a net decrease in Owners’ capital from operations of $1,043,766.$432,776. The NAV per Unit, Class 1, increaseddecreased from $95.61 at December 31, 2014 to $106.16$87.31 as of March 31,June 30, 2015. The NAV per Unit, Class 1AP, increaseddecreased from $96.82 at December 31, 2014 to $108.31$89.74 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increaseddecreased from $128.48 at December 31, 2014 to $143.73$119.09 as of March 31, 2015. TotalJune 30, 2015.Total Class 1 subscriptions and redemptions for the period were $4,734$10,068 and $261,695,$545,555, respectively. Total Class 1AP subscriptions and redemptions for the period were $930.$930 and $0, respectively. Total Class 2 redemptions for the period were $79,199.$152,448. Ending capital at March 31,June 30, 2015 was $14,900,908$12,000,655 for Class 1, $54,412$45,084 for Class 1AP and $1,661,991$1,306,618 for Class 2. Ending capital at December 31, 2014 was $13,663,563 for Class 1, $47,785 for Class 1AP and $1,558,130 for Class 2.

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

 

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ThreeNone of the six sectors traded in the Equinox Frontier Select Fund were profitable in Q1 2015 and YTD. Q2 2015.

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

In terms of major CTA performance, Brevan Howard, and TivertonTranstrend finished positivenegative for the quarter, arewhile Brevan Howard was positive YTD and Transtrend was negative YTD.

2014

The Equinox Frontier Select Fund—Class 1 NAV lost 6.07%2.04% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Select Fund —Class 2 NAV lost 5.37%0.56% for the threesix months ended March 31,June 30, 2014, net of fees and expenses.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Select Fund recorded net lossgain on investments of $770,338,$132,564, net investment income of $0, and total expenses of $273,428,$565,340, resulting in a net decrease in Owners’ capital from operations of $1,043,766.$432,776. For the threesix months ended March 31,June 30, 2013, the Equinox Frontier Select Fund recorded net gain on investments of $1,322,891,$1,354,736, net investment income of $90,594,$178,057, and total expenses of $321,247,$746,269, resulting in a net increase in Owners’ capital from operations of $1,001,644.$786,524. The NAV per Unit, Class 1, decreased from $79.86 at December 31, 2013 to $75.01$78.23 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreased from $104.14 at December 31, 2013 to $98.55$103.56 as of March 31,June 30, 2014. Total Class 1 subscriptions and redemptions for the period were $2,594$4,943 and $1,391,660,$2,484,851, respectively. Total Class 2 redemptions for the period were $151,317.$361,783. Ending capital at March 31,June 30, 2014 was $13,514,210$12,963,579 for Class 1 and $1,513,489$1,373,802 for Class 2. Ending capital at December 31, 2013 was $15,852,947 for Class 1 and $1,758,901 for Class 2.

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

 

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Three of the six sectors traded in the Equinox Frontier Select Fund were profitable in Q1Q2 2014. AgriculturalsEnergies, Stock Indices and Interest Rates were positive while Currencies, Stock Indices,Agriculturals, and Metals and Energies were negative for the quarter.

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

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

Please see additional discussion under “Three months Ended March 31, 2015 Compared to Three months Ended March 31, 2014 – Equinox Frontier Select Fund.”

Equinox Frontier Winton Fund

2015

The Equinox Frontier Winton Fund—Class 1 NAV gained 9.07% and lost 1.91%, respectively,5.74% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses; the Equinox Frontier Winton Fund —Class 2Fund—Class 1AP NAV gained 9.87% and lost 1.18%, respectively,4.33% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses;expenses the Equinox Frontier Winton Fund —Class 1AP2 NAV gained 9.87%lost 4.33% for the threesix months ended March 31, 2015.June 30, 2015, net of fees and expenses.

For the threesix months ended March 31,June 30, 2015, the Equinox Frontier Winton Fund recorded net loss on investments of $122,657, net investment income of $27, and total expenses of $1,901,121, resulting in a net decrease in Owners’ capital from operations of $2,023,778. For the six months ended June 30, 2014, the Equinox Frontier Winton Fund recorded net gain on investments of $4,997,118,$2,893,259, net investment income of $0,$41, and total expenses of $1,320,827,$1,473,239, resulting in a net increase in Owners’ capital from operations of $3,676,291. For the three months ended March 31, 2014, the Equinox Frontier Winton Fund recorded net loss on investments of $103,198, net investment income of $41, and total expenses of $527,891, resulting in a net decrease in Owners’ capital from operations of $631,089.$1,420,061. The NAV per Unit, Class 1, increaseddecreased from $175.95 at December 31, 2014 to $191.90$165.85 as of March 31,June 30, 2015. The NAV per Unit, Class 1AP, increaseddecreased from $178.18 at December 31, 2014 to $195.77$170.46 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increaseddecreased from $226.23 at December 31, 2014 to $248.56$216.43 as of March 31,June 30, 2015. Total Class 1 subscriptions and redemptions for the period were $45,490$93,346 and $940,759,$1,185,987, respectively. There were no subscriptions orTotal Class 2 redemptions for Class 1AP or Class 2 for the period.period were $148,360. Ending capital at March 31,June 30, 2015 was $28,350,789$24,319,904 for Class 1, $41,798$36,395 for Class 1AP and $14,439,668$12,430,155 for Class 2. 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.

 

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FiveNone of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q1Q2 2015.

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

2014

The Equinox Frontier Winton Fund—Class 1 NAV lost 1.91%gained 3.93% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Winton Fund —Class 2 NAV lost 1.18%gained 5.48% for the threesix months ended March 31,June 30, 2014, net of fees and expenses.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Winton Fund recorded net lossgain on investments of $103,198,$2,893,259, net investment income of $41, and total expenses of $527,891,$1,473,239, resulting in a net decreaseincrease in Owners’ capital from operations of $631,089.$1,420,061. For the threesix months ended March 31,June 30, 2013, the Equinox Frontier Winton Fund recorded net gain on investments of $2,311,200,$1,781,248, net investment income of $110,026,$204,611, and total expenses of $439,776,$1,121,735, resulting in a net increase in Owners’ capital from operations of $1,871,424.$864,124. The NAV per Unit, Class 1, decreasedincreased from $139.59 at December 31, 2013 to $136.93$145.07 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreased from$174.17increased from $174.17 at December 31, 2013 to $172.12$183.72 as of March 31,June 30, 2014. Total Class 1 subscriptions and redemptions for the period were $33,929$67,734 and $1,432,112,$3,480,897, respectively. Total Class 2 redemptions for the period were $117,949.$307,865. Ending capital at March 31,June 30, 2014 was $24,258,572$23,611,933 for Class 1 and $10,219,044$10,711,937 for Class 2. Ending capital at December 31, 2013 was $26,164,147 for Class 1 and $10,460,690 for Class 2.

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

 

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TwoThree of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q1Q2 2014. AgriculturalsStock Indices, Energies and Interest Rates were positive while Metals, Currencies Stock Indices and EnergiesAgriculturals were negative for the quarter.

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

Please see additional discussion under “Three months Ended March 31, 2015 Compared to Three months Ended March 31, 2014 – Equinox Frontier Winton Fund.”

Equinox Frontier Heritage Fund

2015

The Equinox Frontier Heritage Fund—Class 1 NAV gained 13.50% and lost 6.51%, respectively,3.21% for the threesix months ended March 31,June 30, 2015, and 2014 net of fees and expenses; the Equinox Frontier Heritage Fund —Class 2Fund—Class 1AP NAV gained 14.35% and lost 5.81%, respectively1.76% for the threesix months ended March 31,June 30, 2015, and 2014, net of fees and expenses;expenses the Equinox Frontier Heritage Fund —Class 1AP2 NAV gained 14.35%lost 1.76% for the threesix months ended March 31, 2015.June 30, 2015, net of fees and expenses.

For the threesix months ended March 31,June 30, 2015, the Equinox Frontier Heritage Fund recorded net gain on investments of $3,048,084,$277,639, net investment income of $0, and total expenses of $313,282, resulting in a net increase in Owners’ capital from operations of $1,767,687, after non-controlling interests of $967,115. For the three months ended March 31, 2014, the Equinox Frontier Heritage Fund recorded net loss on investments of $1,236,579, net investment income of $0, and total expenses of $175,833,$484,305, resulting in a net decrease in Owners’ capital from operations of $874,418$334,182, after non-controlling interests of $537,994.$127,516. For the six months ended June 30, 2014, the Equinox Frontier Heritage Fund recorded net gain on investments of $181,764, net investment income of $0, and total expenses of $431,952, resulting in a net decrease in Owners’ capital from operations of $42,154, after non-controlling interests of ($208,034). The NAV per Unit, Class 1, increaseddecreased from $130.28 at December 31, 2014 to $147.87$126.10 as of March 31,June 30, 2015. The NAV per Unit, Class 1AP, increaseddecreased from $131.93 at December 31, 2014 to $150.86$129.61 as of March 31,June 30, 2015. The NAV per Unit, Class 2, increaseddecreased from $176.56 at December 31, 2014 to $201.89$173.45 as of March 31,June 30, 2015. Total Class 1 subscriptions and redemptions for the period were $10,456$21,905 and $238,356,$356,862, respectively. TotalThere were no subscriptions or redemptions for Class 1AP subscriptions were $1,288.for the period. Total Class 2 redemptions for the period were $93,986.$112,648. Ending capital at March 31,June 30, 2015 was $10,838,892$9,141,028 for Class 1, $68,083$58,494 for Class 1AP and $3,567,493$3,047,359 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.

 

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ThreeNone of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q1Q2 2015.

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

In terms of major CTA performance, bothWinton finished negative for the quarter and YTD while Brevan Howard and Winton finished positivenegative for the quarter. Both arequarter and positive YTD.

2014

The Equinox Frontier Heritage Fund—Class 1 NAV lost 6.51%gained 0.52% for the threesix months ended March 31,June 30, 2014, net of fees and expenses; the Equinox Frontier Heritage Fund —Class 2 NAV lost 5.81%gained 2.03% for the threesix months ended March 31,June 30, 2014, net of fees and expenses.

For the threesix months ended March 31,June 30, 2014, the Equinox Frontier Heritage Fund recorded net lossgain on investments of $1,236,579,$181,764, net investment income of $0, and total expenses of $175,833,$431,952, resulting in a net decrease in Owners’ capital from operations of $874,418,$42,154, after non-controlling interests of ($537,994)208,034). For the threesix months ended March 31,June 30, 2013, the Equinox Frontier Heritage Fund recorded net gain on investments of $1,759,853,$1,345,719, net investment income of $37,238,$72,996, and total expenses of $258,845,$523,679, resulting in a net increase in Owners’ capital from operations of $1,501,008.$895,036. The NAV per Unit, Class 1, decreasedincreased from $102.05 at December 31, 2013 to $95.41$102.58 as of March 31,June 30, 2014. The NAV per Unit, Class 2, decreasedincreased from $134.21 at December 31, 2013 to $126.41$136.93 as of March 31,June 30, 2014. Total Class 1 subscriptions and redemptions for the period were $6,040$11,982 and $1,422,481,$2,465,305, respectively. Total Class 2 redemptions for the period were $112,923.$235,405. Ending capital at March 31,June 30, 2014 was $9,201,795$8,792,828 for Class 1 and $2,572,891$2,654,758 for Class 2. Ending capital at December 31, 2013 was $11,328,406 for Class 1 and $2,850,062 for Class 2.

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

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TwoThree of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q1Q2 2014. AgriculturalsEnergies, Stock Indices and Interest Rates were positive while Metals, Currencies Stock Indices and EnergiesAgriculturals were negative for the quarter.

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

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

 

ITEM 3.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Trust is a speculative commodity pool. The market sensitive instruments which are held by the Trading Companies 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 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 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 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 consequently the Trust. There can be no assurance that the Trading Companies’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- orlong-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) open positions is directly reflected in the Series’ earnings, realized or unrealized.

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 afutures-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 are rarely, if ever, 100% positively correlated have not been reflected.

Value at Risk by Market Sectors

The following tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31,June 30, 2015 and December 31, 2014. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

Equinox Frontier Diversified Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $1,790,577     2.38 $1,276,055     2.13  $1,748,918     2.81 $1,276,055     2.13

Currencies

   3,671,096     4.88 1,670,041     2.78   4,218,978     6.78 1,670,041     2.78

Stock Indices

   4,582,486     6.09 3,152,926     5.25   4,565,527     7.34 3,152,926     5.25

Metals

   237,513     0.32 124,812     0.21   237,513     0.38 124,812     0.21

Agriculturals/Softs

   1,341,935     1.78 854,409     1.42   1,343,451     2.16 854,409     1.42

Energy

   1,229,090     1.63 1,677,590     2.80   1,229,113     1.98 1,677,590     2.80
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$12,852,697   17.08$  8,755,833   14.59  $13,343,500     21.45 $8,755,833     14.59
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Long/Short Commodity Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $55,565     0.29 $86,055     0.52  $54,244     0.34 $86,055     0.52

Currencies

   265,536     1.39 206,375     1.24   264,755     1.65 206,375     1.24

Stock Indices

   211,133     1.11 185,321     1.12   208,503     1.30 185,321     1.12

Metals

   46,572     0.24 32,767     0.20   46,572     0.29 32,767     0.20

Agriculturals/Softs

   640,648     3.36 474,912     2.86   640,648     3.99 474,912     2.86

Energy

   1,630,349     8.56 2,278,884     13.71   1,630,349     10.15 2,278,884     13.71
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$  2,849,803   14.95$  3,264,314   30.56  $2,845,071     17.72 $3,264,314     19.65
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Masters Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $829,630     3.10 $596,543     2.32  $812,109     3.58 $596,543     2.32

Currencies

   1,210,237     4.53 1,004,876     3.91   1,191,217     5.25 1,004,876     3.91

Stock Indices

   1,699,358     6.36 659,851     2.57   1,687,409     7.43 659,851     2.57

Metals

   113,367     0.42 48,364     0.19   113,367     0.50 48,364     0.19

Agriculturals/Softs

   766,398     2.87 394,545     1.53   767,510     3.38 394,545     1.53

Energy

   635,103     2.38 776,846     3.02   635,321     2.80 776,846     3.02
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$  5,254,093   19.66$  3,481,025     9.62  $5,206,933     22.94 $3,481,025     13.45
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Balanced Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $3,180,214     2.87 $3,301,495     3.04  $3,110,405     3.21 $3,301,495     3.04

Currencies

   6,170,333     5.57 4,131,348     3.81   7,162,906     7.38 4,131,348     3.81

Stock Indices

   5,295,447     4.78 4,350,810     4.01   5,260,731     5.42 4,350,810     4.01

Metals

   548,150     0.50 460,411     0.42   547,597     0.56 460,411     0.42

Agriculturals/Softs

   3,097,906     2.80 2,507,574     2.31   3,097,033     3.19 2,507,574     2.31

Energy

   1,960,977     1.77 2,862,415     2.64   1,960,579     2.02 2,862,415     2.64
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$20,253,027   18.29$17,614,053   16.24  $21,139,251     21.78 $17,614,053     16.23
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Select Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $434,226     1.81 $338,847     2.22  $425,425     2.21 $338,847     2.22

Currencies

   736,305     3.07 684,037     4.48   715,904     3.72 684,037     4.48

Stock Indices

   1,095,001     4.57 124,866     0.82   1,087,395     5.65 124,866     0.82

Metals

   48,199     0.20 12,156     0.08   48,199     0.25 12,156     0.08

Agriculturals/Softs

   438,748     1.83 140,093     0.92   439,143     2.28 140,093     0.92

Energy

   64,251     0.27 18,880     0.12   64,510     0.34 18,880     0.12
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$  2,816,730   11.75$  1,318,879     8.64  $2,780,576     14.45 $1,318,879     8.64
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Winton Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $1,648,521     3.85 $1,081,081     2.70  $1,615,476     4.39 $1,081,081     2.70

Currencies

   2,295,860     5.36 1,845,125     4.61   2,288,497     6.22 1,845,125     4.61

Stock Indices

   1,233,376     2.88 847,093     2.12   1,211,219     3.29 847,093     2.12

Metals

   233,173     0.54 112,363     0.28   233,173     0.63 112,363     0.28

Agriculturals/Softs

   645,032     1.51 478,222     1.19   649,201     1.76 478,222     1.19

Energy

   247,776     0.58 141,408     0.35   247,852     0.67 141,408     0.35
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$  6,303,738   14.72$  4,505,292   11.25  $6,245,418     16.96 $4,505,292     11.25
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Equinox Frontier Heritage Fund:

 

  March 31, 2015 December 31, 2014   June 30, 2015 December 31, 2014 
  VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
   VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 VALUE
AT RISK
   % OF TOTAL
CAPITALIZATION
 

MARKET SECTOR

              

Interest Rates

  $312,466     1.65 $228,140     1.38  $306,144     1.93 $228,140     1.38

Currencies

   442,516     2.33 381,353     2.30   441,225     2.78 381,353     2.30

Stock Indices

   262,862     1.38 194,764     1.18   258,246     1.63 194,764     1.18

Metals

   47,000     0.25 23,407     0.14   47,000     0.30 23,407     0.14

Agriculturals/Softs

   133,548     0.70 101,074     0.61   134,298     0.85 101,074     0.61

Energy

   46,336     0.24 28,157     0.17   46,349     0.29 28,157     0.17
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total:

$  1,244,728     6.55$     956,895     5.78  $1,233,262     7.78 $956,895     5.78
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

As of March 31, 2015, a portion of the assets of the Equinox Frontier Balanced Fund, Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity 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 nine months) and time deposits. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of March 31,June 30, 2015, 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 affect 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 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 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 will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Equinox Frontier Balanced Fund (Class 1 and Class 2 only), Equinox Frontier Winton Fund, Equinox Frontier Select Fund, and Equinox Frontier Heritage Fund. For the Equinox Frontier Diversified Fund, Equinox Frontier Long/Short Commodity Fund, Equinox Frontier Masters Fund and Equinox Frontier Balanced Fund (Class 1a and Class 2a only), 20% of the total interest allocated to each Series is paid to the Managing Owner. 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.

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 may lose more than their initial margin deposits on a trade.

The Trading Companies’ 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 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.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

ITEM 4.CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Principal Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), for the Trust and each Series as of March 31,June 30, 2015 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon our evaluation, the Chief Executive Officer and Principal Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filings.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting for the quarter ended March 31,June 30, 2015 that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Scope of Exhibit 31 Certifications

The certifications of the Chief Executive Officer and the Principal Financial Officer of the Managing Owner included as Exhibits 31.1 and 31.2, respectively, to this Form 10-Q apply not only to the Trust as a whole but also to each Series individually.

PART II. OTHER INFORMATION

 

ITEM 1.LEGAL PROCEEDINGS.

There are no material legal preceedingsCommencing in April and May 2013, the Managing Owner was required by the SEC and CFTC, respectively, to which the Trust or anyproduce certain documents and certain of its affiliates iscurrent and former employees were called to provide testimony related to, among other things, the valuation of certain, previously-held, financial instruments entered into between a party orbank/counterparty and certain of which anythe series operated by the Managing Owner at various points between October 2007 and June 2013. In February 2015, the SEC expanded the scope of theirits investigation to include the methodology behind how management fees for certain of the series operated by the Managing Owner were disclosed and calculated. In connection with its investigation, the SEC requested further information and took testimony from certain current and former employees regarding the management fees calculated on notional assets arethat were paid by each series to the subject.Managing Owner prior to March 2011. These matters remain pending with the SEC and CFTC.

 

ITEM 1A.RISK FACTORS.

The section entitled “Risk Factors” beginning on page 18 of the Prospectus filed pursuant to Rule 424(b)(3) (File No. 333-185695) is incorporated by reference into this section.

 

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

The following table provides information regarding the sale of unregistered Units by the Registrant for the three months ended March 31,June 30, 2015. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Registrant claims an exemption from registration of each of the transactions listed below under Section 4(a)(2) of the Securities Act, as a sale by an issuer not involving a public offering.

 

SERIES

  

DATE

  

UNITS

  

CONSIDERATION

NONE

      

One hundred percent of the offering proceeds from the sale of Units are initially available for the Series’ trading activities.

ITEM 3.DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4.MINE SAFETY DISCLOSURES.

Not applicable.

ITEM 5.OTHER INFORMATION.

None

 

ITEM 6.EXHIBITS.

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

 

  31.1Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
  31.2Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
  32.1Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.2Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.3Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.4Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.5Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.6Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.7Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
  32.8Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
101Financials in XBRL format

SIGNATURES

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

 

Equinox Frontier Funds
(Registrant)
Date: May 12, 2015
Date: August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Balanced Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: May 12, 2015
Date: August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Heritage Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: May 12,August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Winton Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: May 12, 2015
Date: August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Select Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: May 12,August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Long/Short Commodity Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: May 12,August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Diversified Fund,

a Series of Equinox Frontier Funds

(Registrant)

Date: May 12,August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

SIGNATURES

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

Equinox Frontier Masters Fund,
a Series of Equinox Frontier Funds
(Registrant)
Date: May 12, 2015
Date: August 14, 2015
By:

/s/ ROBERT J. ENCK

Robert J. Enck
President and Chief Executive Officer of Equinox Fund Management, LLC, the Managing Owner of Equinox Frontier Funds

 

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